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Early SOFR/Treasury Option Roundup: Jun'24 Tsy Unwinds

US TSYS
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Better call volume in Treasury options overnight including recent 10Y straddle sale, unwinds ahead Jun'24 expiration Friday. Light SOFR option focus on low delta put structures so far. Underlying futures mildly weaker in the short end to firmer out the curve, holding to narrow overnight range. Rate cut projections remain largely in-line with late Friday levels: June 2024 at -10% w/ cumulative rate cut -2.5bp at 5.313%, July'24 at -20% w/ cumulative at -7.5bp at 5.262%, Sep'24 cumulative -20.9bp, Nov'24 cumulative -29bp, Dec'24 -43.9bp.
  • SOFR Options:
    • 8,000 SFRU4 95.00/95.12 put spds ref 94.875
    • 3,000 0QZ4 96.87/97.75/98.25 broken put flys ref 95.895
  • Treasury Options:
    • -9,500 TYM4 109.5 calls, 10 vs. 109-09.5/0.32%
    • Block, -10,000 TYM4 109.25 straddles, 32 ref 109-06.5
    • -14,500 TYM4 109.25 calls, 12 ref 109-06
    • 2,600 TYM4 110.75/111.25 1x2 call spds ref 109-06
    • -19,000 FVM4 106.5/107 call spds ref 105-28.25
    • +2,500 TYM4 108/108.75 2x1 put spds, 5 ref 109-05.5
    • 4,400 TYM4 108.75/109 put spds, 4 ref 109-07.5
    • Block/screen, 28,500 TYM4 110 calls, 3 ref 109-07.5
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Better call volume in Treasury options overnight including recent 10Y straddle sale, unwinds ahead Jun'24 expiration Friday. Light SOFR option focus on low delta put structures so far. Underlying futures mildly weaker in the short end to firmer out the curve, holding to narrow overnight range. Rate cut projections remain largely in-line with late Friday levels: June 2024 at -10% w/ cumulative rate cut -2.5bp at 5.313%, July'24 at -20% w/ cumulative at -7.5bp at 5.262%, Sep'24 cumulative -20.9bp, Nov'24 cumulative -29bp, Dec'24 -43.9bp.
  • SOFR Options:
    • 8,000 SFRU4 95.00/95.12 put spds ref 94.875
    • 3,000 0QZ4 96.87/97.75/98.25 broken put flys ref 95.895
  • Treasury Options:
    • -9,500 TYM4 109.5 calls, 10 vs. 109-09.5/0.32%
    • Block, -10,000 TYM4 109.25 straddles, 32 ref 109-06.5
    • -14,500 TYM4 109.25 calls, 12 ref 109-06
    • 2,600 TYM4 110.75/111.25 1x2 call spds ref 109-06
    • -19,000 FVM4 106.5/107 call spds ref 105-28.25
    • +2,500 TYM4 108/108.75 2x1 put spds, 5 ref 109-05.5
    • 4,400 TYM4 108.75/109 put spds, 4 ref 109-07.5
    • Block/screen, 28,500 TYM4 110 calls, 3 ref 109-07.5