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Early SOFR/Treasury Option Roundup: Heavy Put Buying

US TSYS
Mixed overnight trade on modest volume gave way to some heavy SOFR and Treasury put buying this morning. More coincidental that put buying occurred before underlying futures trimmed gains, accts nevertheless looking to capture downside insurance in the event this week's rally on dovish data reverses. Rate cut projections look steady to slightly higher vs late Thursday (*): July'24 at -14% w/ cumulative at -3.5bp at 5.293%, Sep'24 cumulative -20.2bp, Nov'24 cumulative -31.1bp (-29.3bp), Dec'24 -51.1bp (-50.4bp).
  • SOFR Options:
    • +58,000 SFRZ4 94.68/94.75 put spds, 1.0 - adds to 10k Block
    • Block, 10,000 SFRZ4 94.68/94.75 put spds, 1.0
    • Block, 18,252 SFRZ4 94.68/94.93/95.18 put flys, 6.0-6.5
    • 5,000 0QU4 94.62/95.00/95.25/95.50 broken put condors
    • 4,000 0QM4 95.87/96.00 call spds ref 95.81
    • 4,400 3QU4 97.12/97.62 call spds
    • 2,000 0QU4 96.50/97.00 call spds vs. 3QU4 96.87/97.25 call spds
    • 2,500 SFRZ4 96.00/97.00 call spds ref 95.195
    • 3,300 0QM4 95.75 calls ref 95.77 to -.79
    • 2,000 0QQ4 95.00/95.25 put spds, ref 95.965
    • 2,000 SFRV4 94.81 puts ref 95.17
  • Treasury Options:
    • over +45,000 TYQ4 110 puts, 34-35 vs. 111-00.5 to 110-25/0.34% (expire July 27; open interest 21,209)
    • 5,000 UXYN4 113.5/114.5 call spds
    • 1,500 TYQ4 112/114 1x2 call spds
    • over 6,000 FVQ4 107.25 calls
    • 4,600 TYQ4 104.5/105.5/107 broken put flys, ref 110-22 to -22.5
    • 1,000 TYQ4 104/106/109 2x3x1 put flys ref 110-21.5
    • 3,400 TYN4 111 calls, 12 ref 110-15.5
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