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Early SOFR/Treasury Option Roundup: Better Calls on Net

US TSYS
Heavy SOFR and Treasury option volume overnight, leaning towards upside calls (some chunky SFRZ4 put trades reported, however) as underlying futures add to Thu's rally back to early Feb levels in Tsys, 10Y yield falling to 3.9243% low ahead of this morning's July NFP. Projected rate cut pricing into year end continue to gain vs. late Thursday levels (*): Sep'24 cumulative -32.9bp (-31.3bp), Nov'24 cumulative -60.4bp (-56.6bp), Dec'24 -87.9bp (-82.8bp). Salient larger trades:
  • SOFR Options:
    • 7,000 SFRZ4 95.06/95.18/95.31 call flys ref 95.555
    • 8,000 SFRZ4 94.93/95.00/95.12 broken put trees
    • Block, 5,000 SFRU4 95.00 calls, 13.0 vs. 95.08/0.60%
    • Block/screen, 6,000 SFRU4 95.25/96.00 1x2 call spds, 2.5
    • Block, 7,000 SFRZ4 95.06/95.18/95.31 call flys, 2.0
    • +8,500 SFRH5 96.37 calls, 23.5 vs. 96.06/0.38%
    • +15,000 SFRQ4 94.87/94.93 put spds, 0.75
    • +13,000 0QZ4 97.50 calls, 10.0 ref 96.67
    • appr 25,000 SFRZ4 95.37/95.50 2x1 put spds, 4.25 ref 95.59
    • over 20,000 SFRU4 94.81/94.87/94.93/95.00 call condors, 2.5 ref 95.07 to -.06
    • 10,000 SFRU4 94.81 puts, 0.5 ref 95.065
  • Treasury Options:
    • 5,000 USU4 125/126 call spds, 16 ref 123-03
    • over 12,900 TYU4 113 calls, 51 ref 113-00
    • Block, -5,000 TYV4 115 calls, 34
    • +4,500 wk2 TY 113/113.5 call spds vs. 111.75 puts, 6
    • +20,000 wk2 TY 113/113.5 call spds vs. 112 put. 2-3 ref 112-28.5
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