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Early SOFR/Treasury Option Roundup: Puts Gain, Projected Rate Cuts Cool

US TSYS
Overnight SOFR and Treasury options look mixed ahead the NY open, leaning towards puts as underlying futures look weaker - still above Friday's pre-NFP levels. Projected rate cut pricing into year end continue to cool, current vs. late Monday levels (*): Sep'24 cumulative -45.3bp (-49.9bp), Nov'24 cumulative -80.8bp (-86.5bp), Dec'24 -110.8bp (-118.6bp).
  • SOFR Options:
    • 6,000 SFRU4 95.00/95.06 put spds ref 95.255
    • -6,250 SFRZ4 95.62/95.87/96.12 call flys, 4 ref 95.855 to -.86
    • 5,300 SFRQ4 95.25 calls ref 95.245 to -.25
    • +6,700 SFRQ4 94.43/94.87/95.06 put trees vs. 95.56 calls, 0.0
    • 4,000 SFRX4 95.12/95.25 put spds ref 95.56
    • 4,000 0QZ4/3QZ4 97.25/98.00 call spds
    • -5,000 0QU4 96.25/96.43 put spds, 4.5
    • 3,000 SFRV4 95.50 puts vs. 2QV4 96.00/96.50 put spds
    • 7,000 SFRZ4 95.62/96.00 call spds ref 95.84
    • +5,000 SFRU4 95.00/95.06 put spds, 1.75 ref 95.28
  • Treasury Options:
    • +6,000 TYU4 109/110 put spds, 1 ref 113-17
    • over 5,300 FVU4 108.75 puts, 22.5 last
    • over 5,400 FVU4 109 calls, 35 last
    • 4,900 FVU4 110 calls ref 109-03.75
    • 4,200 wk2 TY 113 puts vs. 114/114.5 call spds, 0.0 ref 113-22
    • +7,500 TYU4 115/115.5 call spds, 5 ref 113-23
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