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Early SOFR/Treasury Option Roundup, Sep SOFR Options Expiring

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Aside from the heavy volume in Sep'24 SOFR option that expire today, option desks report mixed SOFR and Treasury options overnight - leaning towards upside calls. Carry-over support in underlying futures after late Thursday WSJ article rekindled some hope over a 50bp cut at next week's meeting. Short end SOFR futures have climbed to 95.14 high vs. yesterday's 95.0475 low. Projected rate hikes through year end have gained momentum vs. late Thursday levels (*) : Sep'24 cumulative -36.5bp (-31.5bp), Nov'24 cumulative -75.6bp (-68.6bp), Dec'24 -115.9bp (-107.5bp).
  • SOFR Options:
    • 5,000 SFRZ4 97.00 calls ref 95.945
    • 2,000 SFRV4 96.00/96.06/96.12/96.18 call condors
    • 2,500 2QZ4 96.50/96.62/96.75/96.87 put condors ref 97.155
    • 5,000 SFRZ4 95.87/96.12/96.37 call flys ref 95.945
    • 5,000 SFRV4 96.12/96.31 call spds ref 95.96
    • 1,500 SFRH5 96.50/96.87 call spds vs. 2QH5 97.37/97.75 call spds
    • 2,000 0QV4 96.62/96.87 put spds vs. 2QV4 97.37/97.50 call spds
    • 3,500 SFRV4 96.00/96.25 call spds ref 95.95
    • Block, 5,000 SFRH5 97.00/97.25 call spds, 5.5 vs. 96.63/0.08%
    • 2,000 SFRX4 95.93/96.00/96.06 call flys ref 95.95
    • 2,500 SFRZ4 95.62/95.75/95.87 call flys
    • 6,000 SFRV4 96.00/96.18/96.50 broken call flys ref 95.945 to -.935
    • Block, 4,000 SFRU4 95.06 puts, cab
    • 5,000 SFRU4 95.06/95.12/95.18 call flys
    • 6,500 SFRX4 95.25/95.37/95.50 put flys, ref 95.955
  • Treasury Options:
    • over 5,400 TYV4 114 puts
    • 2,000 TYV4 114.25 puts, 4
    • 1,500 TUV4 104.62/104.87 call spds ref 104-13.38
    • 3,500 FVX4 109.5//111.5 strangles ref 110-21.75
    • 1,500 FVZ4 111/112 call spds
    • 1,200 TUV4 103.87/104.12 put spds
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Aside from the heavy volume in Sep'24 SOFR option that expire today, option desks report mixed SOFR and Treasury options overnight - leaning towards upside calls. Carry-over support in underlying futures after late Thursday WSJ article rekindled some hope over a 50bp cut at next week's meeting. Short end SOFR futures have climbed to 95.14 high vs. yesterday's 95.0475 low. Projected rate hikes through year end have gained momentum vs. late Thursday levels (*) : Sep'24 cumulative -36.5bp (-31.5bp), Nov'24 cumulative -75.6bp (-68.6bp), Dec'24 -115.9bp (-107.5bp).
  • SOFR Options:
    • 5,000 SFRZ4 97.00 calls ref 95.945
    • 2,000 SFRV4 96.00/96.06/96.12/96.18 call condors
    • 2,500 2QZ4 96.50/96.62/96.75/96.87 put condors ref 97.155
    • 5,000 SFRZ4 95.87/96.12/96.37 call flys ref 95.945
    • 5,000 SFRV4 96.12/96.31 call spds ref 95.96
    • 1,500 SFRH5 96.50/96.87 call spds vs. 2QH5 97.37/97.75 call spds
    • 2,000 0QV4 96.62/96.87 put spds vs. 2QV4 97.37/97.50 call spds
    • 3,500 SFRV4 96.00/96.25 call spds ref 95.95
    • Block, 5,000 SFRH5 97.00/97.25 call spds, 5.5 vs. 96.63/0.08%
    • 2,000 SFRX4 95.93/96.00/96.06 call flys ref 95.95
    • 2,500 SFRZ4 95.62/95.75/95.87 call flys
    • 6,000 SFRV4 96.00/96.18/96.50 broken call flys ref 95.945 to -.935
    • Block, 4,000 SFRU4 95.06 puts, cab
    • 5,000 SFRU4 95.06/95.12/95.18 call flys
    • 6,500 SFRX4 95.25/95.37/95.50 put flys, ref 95.955
  • Treasury Options:
    • over 5,400 TYV4 114 puts
    • 2,000 TYV4 114.25 puts, 4
    • 1,500 TUV4 104.62/104.87 call spds ref 104-13.38
    • 3,500 FVX4 109.5//111.5 strangles ref 110-21.75
    • 1,500 FVZ4 111/112 call spds
    • 1,200 TUV4 103.87/104.12 put spds