Early SOFR/Treasury Option Roundup: Mixed Ahead CPI

Option desks report mixed SOFR and Treasury option flow overnight, rather muted volumes ahead of this morning's key CPI inflation data. Sep'24 SOFR options seeing some decent volume -- unwinds ahead Friday expiry. Note, CME volume bulletins confirm Tue's -50k sale of SFRZ4 95.25/95.50 call spds at 23.0 (ref 95.50) was an unwind after paper bought over 80k on July 10 at 6.5 (ref 95.21). Underlying futures firmer, the very short end lagging while projected rate cuts through year end look slightly softer vs. late Tuesday (*): Sep'24 cumulative -32.7bp (-33.5bp), Nov'24 cumulative -72.5bp (-73.3bp), Dec'24 -114.5bp (-115.4bp).

• SOFR Options: Reminder, Sep options expire Friday
  • 2,000 SFRZ4 95.56/95.62/95.75 put flys ref 95.94
  • 3,000 0QU4/2QU4 97.25 call spds
  • 4,000 SFRZ4 95.25/95.37/95.50/95.62 call condors ref 95.955
  • over 21,200 SFRU4 95.06 puts
  • over 11,000 SFRU4 98.18 calls
  • 2,000 SFRZ5 96.50/96.87/97.25 put flys ref 97.235
  • 2,500 SFRH5 95.75/96.00 put spds, 4.5 ref 96.61
  • 6,000 SFRM5 97.00 calls, 43.0-42.5
• Treasury Options:
  • 2,000 TUZ4 105/105.5 strangles ref 104-15.12
  • 10,000 TYV4 114 puts, 4-5 ref 115-21.5
  • 11,600 TYV4 115/116 call spds, 32-34 ref 115-21