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Early SOFR/Treasury Option Roundup: Sep'24 SOFR Re-Positioning

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Decent volume in Sep'24 SOFR option volume ahead this Friday's expiration: SFRU4 95.25 calls lead with 43,248, followed by 34,050 SFRU4 95.18 calls. Underlying SOFR futures trading moderately lower, narrow overnight range compared to last Friday's post-data and dovish Fed-speak related range. Projected rate cuts through year end have receded slightly from late Fri levels: Sep'24 cumulative -31.5bp (-33.1bp), Nov'24 cumulative -71.2bp (-72.3bp), Dec'24 -112.2bp (-113.7bp).
  • SOFR Options:
    • Block, 4,000 SFRU4 95.18/95.25 call spds, 0.75
    • Block, 6,250 SFRH5 95.50 puts vs. 5,000 SFRH5 95.75 puts, 8.5 net vs. 96.52
    • 4,500 SFRH5 96.25/97.75 call spds ref 96.52 to -.515
    • 2,500 SFRX4 95.75/95.37/95.12 call flys ref 95.895
    • Block, 3,250 SFRH5 96.25/96.50 call spds 9.0> SFRH5 95.50/95.75 put spds
    • 3,500 SFRU4 95.12/95.25/95.37 call flys
    • 2,000 0QV4 96.56/96.68/96.75/96.87 put condors ref 97.075
    • Block, 2,789 SFRU4 95.12/95.25/95.37 call flys, 1.0
    • 5,000 SFRU4 95.18/95.25/95.31/95.37 call condors ref 95.0925
    • 2,800 SFRU4 95.18/95.31 call spds vs. SFRV4 96.00/96.12 call spds & SFRV4 95.25/95.62 put spds
    • 2,500 SFRU4 94.93/95.25 strangles ref 95.0975
    • 1,500 SFRU4 95.18/95.25/95.31 call flys ref 95.115
  • Treasury Options:
    • Block, 4,250 FVV4 108.5/109.25 put spds vs. 2,125 FVX4 108.75/109.5 3x2 put spds, 11.5 net
    • over 5,400 TYV 114 puts
    • 2,000 TYX4 116/117/118 call flys ref 114-21 to -21.5
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Decent volume in Sep'24 SOFR option volume ahead this Friday's expiration: SFRU4 95.25 calls lead with 43,248, followed by 34,050 SFRU4 95.18 calls. Underlying SOFR futures trading moderately lower, narrow overnight range compared to last Friday's post-data and dovish Fed-speak related range. Projected rate cuts through year end have receded slightly from late Fri levels: Sep'24 cumulative -31.5bp (-33.1bp), Nov'24 cumulative -71.2bp (-72.3bp), Dec'24 -112.2bp (-113.7bp).
  • SOFR Options:
    • Block, 4,000 SFRU4 95.18/95.25 call spds, 0.75
    • Block, 6,250 SFRH5 95.50 puts vs. 5,000 SFRH5 95.75 puts, 8.5 net vs. 96.52
    • 4,500 SFRH5 96.25/97.75 call spds ref 96.52 to -.515
    • 2,500 SFRX4 95.75/95.37/95.12 call flys ref 95.895
    • Block, 3,250 SFRH5 96.25/96.50 call spds 9.0> SFRH5 95.50/95.75 put spds
    • 3,500 SFRU4 95.12/95.25/95.37 call flys
    • 2,000 0QV4 96.56/96.68/96.75/96.87 put condors ref 97.075
    • Block, 2,789 SFRU4 95.12/95.25/95.37 call flys, 1.0
    • 5,000 SFRU4 95.18/95.25/95.31/95.37 call condors ref 95.0925
    • 2,800 SFRU4 95.18/95.31 call spds vs. SFRV4 96.00/96.12 call spds & SFRV4 95.25/95.62 put spds
    • 2,500 SFRU4 94.93/95.25 strangles ref 95.0975
    • 1,500 SFRU4 95.18/95.25/95.31 call flys ref 95.115
  • Treasury Options:
    • Block, 4,250 FVV4 108.5/109.25 put spds vs. 2,125 FVX4 108.75/109.5 3x2 put spds, 11.5 net
    • over 5,400 TYV 114 puts
    • 2,000 TYX4 116/117/118 call flys ref 114-21 to -21.5