Early SOFR/Treasury Option Roundup: More Aug'24 10Y Call Buying

Better call flow overnight, volume in Treasury derivatives outpacing SOFR. Underlying futures higher after weak French, German, Gilt and Eurozone composite flash PMIs during early London hours. Carry-over buying in Aug'24 10Y 111.5 calls overnight, adds to +70k late Thursday at 27 vs. 110-14/0.31%, open interest +40k. Reminder, July Tsy options expire today. Projected rate cut pricing remains steady to mildly higher vs. late Thursday levels (*): July'24 at -10% w/ cumulative at -2.5bp at 5.302%, Sep'24 cumulative -18.4bp (-17.5bp), Nov'24 cumulative -27.8bp (-27.3bp), Dec'24 -47.2bp (-46.5bp).

• Treasury Options: Reminder, July options expire today
  • over 28,000 TYQ4 111.5 calls ref 110-21.5 (adds to +70k Thu at 27 vs. 110-14/0.31%, OI +40k)
  • over 12,600 TYN4 111 calls, 2 last
  • over 6,700 TYN4 110.25 puts, 1 last
  • 3,200 TYU4 111/113.5 call spds ref 110-15.5
  • over 6,500 FVN4 107 calls 1-4
  • 1,200 FVN4 106.75 straddles ref 106-30.75
  • 1,500 TUQ4 101.87/102/102.12 put trees ref 12-07.38
• SOFR Options:
  • 1,750 SFRZ4 95.00/95.12/95.25/95.37 call condors ref 95.145