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Early SOFR/Treasury Option Roundup: Better Calls Ahead NFP

US TSYS
Better SOFR and Treasury call option flow reported overnight, underlying futures mildly higher in the lead-up to this morning's June employment data release at 0830ET (+190k est vs. +272k prior). Projected rate cut pricing through year end gaining vs. late Wednesday levels (*): July'24 at -8.5% w/ cumulative at -2.1bp at 5.307%, Sep'24 cumulative -20.5bp (-19.6bp), Nov'24 cumulative -29.9bp (-29.1bp), Dec'24 -48.3bp (-47.5bp). Salient flow includes:
  • SOFR Options:
    • +20,000 SFRZ4 95.06/95.18/95.31 call flys, 10k Blocked overnight at 1.75
    • +6,500 0QN4 96.00/96.18/96.37 call flys, 3.0 ref 95.915, partially blocked
    • +5,000 SFRN4 94.75/94.81 put spds, 0.75
    • 2,800 SFRQ4 94.81 puts ref 94.87
    • 2,500 0QN4 96.00/96.12 call spds, 3.5 ref 95.90
    • 2,700 0QU4 96.00/96.50 call spds, ref 95.875
  • Treasury Options:
    • -10,000 TYQ4 110.5 calls, 31
    • +7,500 FVQ4 107.75/108.25 call spds, 4 ref 106-22
    • +4,000 TYU4 110.5/111 call spds, 12
    • 3,300 TYQ4 110 calls, 42
    • 2,300 TYQ4 111.5 calls, 12 ref 109-28.5
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