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Early SOFR/Treasury Option Roundup: Rate Cut Hedging Cools

US TSYS

Mixed overnight trade has continued in early NY trade, more consistent put trade in SOFR options, call on lighter volume in Treasury options so far. Weaker underlying futures extended lows on surge in corporate bond hedging. Selling sees rate cut projections cooling vs. late Friday levels (*): July'24 at -10% w/ cumulative at -2.5bp at 5.302%, Sep'24 cumulative -17.5bp (20bp), Nov'24 cumulative -26.6bp (-29.9bp), Dec'24 -46.1bp (-50.5bp).

  • SOFR Options:
    • +4,000 0QU4 96.25/96.50/96.75 call fly 2.25 ref 95.925
    • +4,000 SFRH5 94.50/94.68/94.87/95.06 put condor 4.25 ref 95.445
    • SFRN4 94.93/95.06 1x2 call spds, 0.0 ref 94.845
    • +6,000 SFRV4 94.87/95.00/95.12 put trees 2.25 ref 95.155
    • +5,000 SFRV4 94.87/95.00/95.12 put trees, 2.25, sizing offers
    • +5,000 SFRU4 94.62/94.68/94.75 put trees, 2.0
    • 5,000 SFRU4 94.62/94.75 2x1 put spds ref 94.855
    • 3,000 SFRZ4 95.37/95.50 put spds ref 95.175
    • 2,000 SFRU4 95.12/95.18 call spds ref 94.855
    • 1,000 SFRZ4 95.50/96.00/96.50 call flys ref 95.17
  • Treasury Options:
    • 2,000 USU4 115 puts, 50
    • 1,300 USN4/USU4 120 call calendar spd, 1-63
    • 2,900 WNN4 125/WNQ4 127 call spds ref 127-19
    • 1,500 TYN4 110/110.75 put spds, 16 ref 110-19.5
    • 1,900 TYU4 111/112.5 1x2 call spds ref 110-20
    • 1,328 TYU4 112/113.5/115 call flys ref 110-22.5
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