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Early SOFR/Treasury Option Roundup, Calls Ebb As Underlying Reverses

US TSYS

Better SOFR and Treasury call volume carried over from overnight with some sporadic downside put flow in early NY trade. Pause in upside calls after underlying futures reversed support, trade moderately weaker post data. Projected rate cut pricing runs steady to mildly softer: May 2024 at -12.9% w/ cumulative -3.2bp at 5.296%; June 2024 -63.1% vs. -65.8% late Monday w/ cumulative rate cut -19.0bp at 5.139%. July'24 cumulative at -29.6bp from -30.1bp earlier.

  • SOFR Options:
    • -2,000 2QM4 96.00 puts, 8.5 vs. 96.33/0.27%
    • +3,000 SFRK4/SFRM4 94.87 put spds, 2.0
    • Block, 6,000 SFRU4 95.87 calls, 7.0 vs. 95.185/0.17%
    • 3,000 SFRN4 95.37/95.75 1x2 call spds
    • 2,500 SFRZ4 95.75/96.00/96.25/96.50 call condors vs. SFRZ4 94.75/95.00 put spds, ref 95.465
    • +4,000 0QZ4 96.75/97.25 call spds .5 over 3QZ4 96.75/97.25 call spds
    • 4,000 SFRN4 95.75 calls, ref 95.17
    • -8,500 SFRJ4 95.06/95.18 call spds, 0.25 ref 94.88
    • 2,000 SFRU4 94.75/94.87 put spds vs. SFRU4 95.37/95.50 call spds ref 95.175
  • Treasury Options:
    • 5,000 USK4 116 puts, 20 ref 119-10
    • over 20,900 wk4 Wednesday 10Y 110.25 puts, 4 last (expire tomorrow)
    • +15,000 wk5 TY 111 calls, 3
    • 3,000 TYK4 108 puts, 6 last
    • 2,000 FVM4 107 calls, 31.5 last
    • 4,500 FVK4 108 calls, 10.5 last
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