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Early SOFR/Treasury Option Roundup: Put Buying Resumes

US TSYS
Mixed SOFR options reported overnight, while Treasury options see better downside put flow on net. Carry over hedging higher (steady) for longer rates. Underlying futures extending lows while projected rate cut pricing continues to ebb: May 2024 at -6.7bp w/ cumulative -1.7bp at 5.312%; June 2024 at -46% vs -52.4% late Friday w/ cumulative rate cut -13.2bp at 5.181%. July'24 cumulative at -22.6bp vs -24.9bp earlier, Sep'24 cumulative -37.9bp vs. -41.3bp earlier. Salient overnight trade includes:
  • SOFR Options:
    • 5,000 SFRJ4 94.62/94.75 put spds ref 94.82
    • 2,500 2QM4 94.93/95.06/95.18 put flys
    • +5,000 0QM4 96.25/96.75 call spds, 4.0 vs. 94.69/0.14%
    • +5,000 SFRQ4 94.93/95.06/95.18 put flys, 1.75
    • +7,000 SFRM4 94.87/95.00 call spds 3.0
    • +6,000 SFRN4 95.00/95.18/95.37 call flys, 3.75
    • 2,500 SFRJ4 94.87/94.93 call spds ref 94.815
    • 2,300 SFRU4 95.06/95.18/95.50/95.62 call condors ref 95.04
  • Treasury Options:
    • +30,000 FVM4 106 puts, 42 vs. 106-00.25
    • +6,500 wk2 FV 105.25/105.5 put spds 3
    • +3,000 Wed wk2 108/108.5 2x1 put spds 2
    • Block/screen -15,000 TYK4 111.25/111.5 call spds, 2 vs. 109-10/0.08
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