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Early SOFR/Treasury Option Roundup: SOFR Calls, Large 10Y Put Block

US TSYS
SOFR options seeing better call volume this morning, Tsys options mixed leaning towards puts with large Oct'24 10Y put blocked recently. Projected rate cuts through year end near steady vs. to late Friday levels (*): Sep'24 cumulative -33.2bp (-33.8bp), Nov'24 cumulative -68.8bp (-68.8bp), Dec'24 -103.7bp (-103.1bp).
  • SOFR Options:
    • SFRU4 95.18/95.37/95.56 call flys, 2.75 ref 95.0925
    • SFRU4 95.12/95.18/95.25 call flys, .25 ref 95.0925
    • +10,000 SFRU4 95.18/95.25/95.31/95.37 call condors, 1.25 vs 95.1075/0.05%
    • +10,000 SFRU4 95.18/95.37/95.56 call flys, 2.75 ref 95.0925
    • Block, 2,500 SFRH5 96.00/96.50/97.00 call flys vs. 2QH5 97.25/97.50 call spds, 11.5 net/SFRH5 over
    • Block, 5,000 SFRH5 96.00/96.50/97.00 call flys vs. 3QH5 97.25/97.50 call spds, 4.5 net/SFRH5 over
  • Treasury Options:
    • Block, +50,000 TYV4 113 puts, 18 ref 114-13
    • 10,000 TYV4 111.75 puts
    • over 8,800 TYV4 113.5 puts
    • 3,300 TYV4 115 calls
    • 4,500 TYV4 116 calls
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