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Early SOFR/Treasury Option Roundup: Pause After Puts

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Carry-over SOFR and Treasury put interest overnight after gaining traction late Wednesday, discounting the underlying rally after the Fed left rates steady while Chairman Powell left door open to first cut in September. Current option volume a little muted as desks reevaluate this morning's post-data underlying support. Projected rate cut pricing into year end have gained slightly vs. late Wednesday levels (*): Sep'24 cumulative -29.0bp (-28.4bp), Nov'24 cumulative -47.9bp (-46.9bp), Dec'24 -73.2bp (-72.4bp).
  • SOFR Options:
    • -5,000 SFRH5 95.81/96.00 call spds, 7.25 ref 95.895
    • Block, 4,400 SFRU4 94.81 puts, 1.5
    • over 7,100 SFRZ4 95.12 puts ref 95.42
    • 2,500 SFRH5 95.87 straddles ref 95.845
    • Block, 7,500 SFRU4 94.68/94.81/94.87/94.93 put condors, 1.0 vs. 94.945/0.04%
    • Block/screen -5,000 SFRU4 95.00/95.18 call spds, 3.25
    • Block/screen -5,000 SFRQ4 95.00/95.12 call spds, 2.0
    • Block, 3,000 SFRU4 94.81 puts, 1.5 ref 94.965
    • 1,500 0QQ4 96.18/96.43 call spds vs. 0QU4 96.18/96.43 call spds ref 96.36
    • 4,000 SFRZ4 95.12/95.87 strangles vs. 2,000 0QU4 96.75/97.12 strangles
    • -4,000 SFRQ4 95.00/95.12/95.25 call flys, 1.0 ref 94.965
    • +4,000 SFRH5 95.50//95.87/96.25 call flys, 8.0
    • 3,000 SFRU4 94.81/94.87 put spds ref 94.965
    • 2,000 SFRU4 94.87/94.93 3x2 put spds ref 94.97
    • 2,000 0QU4/3QU4 97.00 call spd
  • Treasury Options:
    • 2,000 TYU4 113/TYV4 114 call spds, 7 net Oct over
    • 2,500 TYU4 112.75/113.5 1x2 call spds, 5 net ref 112-11
    • 1,200 TYU4 111/112 straddle spd ref 112-03.5
    • +5,000 wk1 TY 112 straddles, 44-45
    • over 9,100 FVU4 107.5 puts, 15 ref 108-04.25
    • Block, 5,000 FVU4 107.75/108.75/109 broken call tree, 16 ref 108-03.25
    • over -21,300 TYU4 111.5 puts, 27-29
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Carry-over SOFR and Treasury put interest overnight after gaining traction late Wednesday, discounting the underlying rally after the Fed left rates steady while Chairman Powell left door open to first cut in September. Current option volume a little muted as desks reevaluate this morning's post-data underlying support. Projected rate cut pricing into year end have gained slightly vs. late Wednesday levels (*): Sep'24 cumulative -29.0bp (-28.4bp), Nov'24 cumulative -47.9bp (-46.9bp), Dec'24 -73.2bp (-72.4bp).
  • SOFR Options:
    • -5,000 SFRH5 95.81/96.00 call spds, 7.25 ref 95.895
    • Block, 4,400 SFRU4 94.81 puts, 1.5
    • over 7,100 SFRZ4 95.12 puts ref 95.42
    • 2,500 SFRH5 95.87 straddles ref 95.845
    • Block, 7,500 SFRU4 94.68/94.81/94.87/94.93 put condors, 1.0 vs. 94.945/0.04%
    • Block/screen -5,000 SFRU4 95.00/95.18 call spds, 3.25
    • Block/screen -5,000 SFRQ4 95.00/95.12 call spds, 2.0
    • Block, 3,000 SFRU4 94.81 puts, 1.5 ref 94.965
    • 1,500 0QQ4 96.18/96.43 call spds vs. 0QU4 96.18/96.43 call spds ref 96.36
    • 4,000 SFRZ4 95.12/95.87 strangles vs. 2,000 0QU4 96.75/97.12 strangles
    • -4,000 SFRQ4 95.00/95.12/95.25 call flys, 1.0 ref 94.965
    • +4,000 SFRH5 95.50//95.87/96.25 call flys, 8.0
    • 3,000 SFRU4 94.81/94.87 put spds ref 94.965
    • 2,000 SFRU4 94.87/94.93 3x2 put spds ref 94.97
    • 2,000 0QU4/3QU4 97.00 call spd
  • Treasury Options:
    • 2,000 TYU4 113/TYV4 114 call spds, 7 net Oct over
    • 2,500 TYU4 112.75/113.5 1x2 call spds, 5 net ref 112-11
    • 1,200 TYU4 111/112 straddle spd ref 112-03.5
    • +5,000 wk1 TY 112 straddles, 44-45
    • over 9,100 FVU4 107.5 puts, 15 ref 108-04.25
    • Block, 5,000 FVU4 107.75/108.75/109 broken call tree, 16 ref 108-03.25
    • over -21,300 TYU4 111.5 puts, 27-29