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Early SOFR/Treasury Option Roundup: Ongoing Upside Call Interest

US TSYS
SOFR and Treasury options continue to favor upside calls, carry-over from late last week on decent volumes. Underlying futures are trading firmer, focus on the next FOMC policy annc this Wednesday. Projected rate cut pricing into year end look steady to mildly mixed vs. late Friday levels (*) -- Sep and Nov a touch softer while Dec gains slightly: July'24 at -4% w/ cumulative at -1bp at 5.319%, Sep'24 cumulative -27.6bp (-28.4bp), Nov'24 cumulative -44.6bp (-45.1bp), Dec'24 -68.5bp (-67.9bp).
  • SOFR Options
    • 2,000 SFRZ4 95.50/95.75 call spds
    • 2,000 SFRV4 95.18/95.31/95.43 call flys ref 95.38
    • 4,000 SFRQ4 94.93/95.06/95.12/95.25 call condors ref 94.97
    • 1,500 0QU4 96.87/0QZ4 97.25 call spds
    • 3,100 SFRU4 94.93/95.12/95.31 call flys, ref 94.97
  • Treasury Options:
    • 6,600 TYU4 112.5 calls, 24 ref 111-15
    • 1,100 USU4 124 calls vs. USU4 113/116 put spds ref 119-31
    • 2,500 wk2 TY 110/113 strangles ref 111-14.5
    • 2,000 FVU4 108/109/110 call flys ref 107-23
    • 3,900 TYU4 109.5 calls
    • 11,000 TYU4 112/113 call spds, 18 ref 111-13.5
    • 8,000 TYU 112 calls, 30-32
    • 3,200 TYU4 110.25 puts vs. TYU4 112/113 call spds ref 111-13.5
    • 1,650 Wednesday wkly 10Y 110.25/110.75/111.25 put flys, exp this Wednesday
    • 3,300 TYU4 110.5/111.5 call spds ref 111-13
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