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Early SOFR/Treasury Option Roundup: Carry-Over Calls

US TSYS
Carry-over SOFR and Treasury call option interest reported overnight, lighter volumes compared to Thursday's flow. Note: TYU4 112 call open interest up over 100k to 179,634 after yesterday's scale buying supported skew and implied vol. Still off Thursday's highs, underlying futures are trading firmer, while projected rate cut pricing into year end look steady to mildly higher vs. late Thursday levels (*): July'24 at -6.5% w/ cumulative at -1.6bp at 5.313%, Sep'24 cumulative -27.8bp, Nov'24 cumulative -44.6bp (-43.9bp), Dec'24 -67.2bp (-66.2bp). Salient flow includes:
  • SOFR Options:
    • Block/screen, 6,000 SFRV4 95.12/95.25/95.31/95.43 call condors, 3.5 ref 95.345 to -.355
    • over 6,900 SFRZ4 95.37 calls ref 95.355
    • 2,000 SFRZ4 95.62/95.87 call spds ref 95.355
    • 4,000 SFRZ4 95.37/95.50 call spds ref 95.355
  • Treasury Options: Reminder, August options expire today
    • 3,000 TYV4 113.5 calls, 23 last
    • Blocks, total 10,000 TYQ4 110.75 straddles, 18.5 avg
    • 2,000 TYU4 111.5/112.5/113.5 call trees ref 110-26.5
    • 1,600 TYU4 112.5/113.5/114.5/115.5 call condors ref 110-27.5
    • over 10,000 TYU4 111/112 call spds ref 110-28.5
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