Early SOFR/Treasury Option Roundup: Better Treasury Put Volume

Better Treasury put volume in 5s, 10s and 30s overnight vs. lighter SOFR midcurve call spreads. Underlying futures tracking EGBs lower as French election risk premium unwinds. Focus turns to this morning's ISM data at 1000ET. Look ahead: ADP Wednesday, Thursday mkts closed for 4th of July holiday, NFP Friday. Projected rate cut pricing through year end running steady to mildly lower vs. late Friday levels (*): July'24 at -10.5% w/ cumulative at -2.6bp at 5.302%, Sep'24 cumulative -17.6bp (-18.6bp), Nov'24 cumulative -26.1bp (-27.6bp), Dec'24 -45bp (-47.3bp). Salient flow includes:

• SOFR Options:
  • 5,000 0QN4 95.75/95.87 call spds ref 95.835
  • 6,000 0QU4 96.25/96.37 call spds ref 95.855
  • 2,000 0QU4 96.00/96.25 2x3 call spds ref 95.86
• Treasury Options:
  • 5,400 FVQ4 106 puts ref 106-09.75
  • 12,000 FVQ4 108.25 calls, 3.5
  • 3,300 FVQ4 105.5 puts, 10.5 last
  • 2,800 USQ4 112/114 put spds ref 117-13
  • 4,500 TYQ4 108 puts, 12 last
  • over 9,800 TYQ4 108.5 puts, 18-22
  • over 4,500 TYQ4 109.5 puts, 40-44
  • 3,000 wk2 TY 108.5/109 put spds vs. 110/110.5 call spds ref 109-21.5
  • 3,150 wk2 TY 109.75/110.25 call spds vs. 108.75 put ref 109-22
  • 1,700 TYU4 105/106 put spds ref 109-16