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Early SOFR/Treasury Option Roundup: Carry-Over Puts

US TSYS
More moderate SOFR and Treasury option volumes overnight following Wednesday's heavy, bullish trade after lower than expected May CPI inflation data. Carry-over interest in puts as underlying trades weaker, rate cut projections off pre-FOMC levels (*): July'24 at -8% (-14%) w/ cumulative at -2bp (-3.8bp) at 5.307%, Sep'24 cumulative -17bp (-20.9bp), Nov'24 cumulative -25.5bp (-31.7bp), Dec'24 -44.4bp (-50.7bp).
  • SOFR Options:
    • 3,500 SFRU4 94.68/94.75/94.81/94.87 put condors ref 94.845
    • 6,500 SFRU4/SFRZ4 94.62/94.75 put spd spd
    • 24,000 SFRU4 95.12/95.18 call spds ref 94.84
    • 2,000 0QN4 95.75/95.87 call spds ref 95.88
  • Treasury Options:
    • over 7,100 FVN4 106.25 puts, 5 last
    • over 6,400 FVQ4 106.25 puts, 22 last
    • 3,200 FVN4 106.75/FVQ4 107.25 call spds
    • 2,200 FVN4 107/FVQ4 107.25 call spds
    • 7,400 TYN4 109 puts, 3 last ref 110-06
    • 4,000 TYN4 111/112.5 call spds ref 110-08
    • 4,000 TYU4 107.5/108.5/109.5 put trees
    • 1,700 TYQ4 111.5 calls vs. TYQ4 107.5/109 put spds ref 110-07
    • 1,750 wk2 FV 106/106.5 1x2 put spds
    • 5,400 wk1 TY 109.25/109.5/110 put trees, ref 110-06
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