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Early SOFR/Treasury Option Roundup: SOFR Puts Pick Up Pre-Data

US TSYS
Generally mixed SOFR/Treasury option flow overnight, with a pick-up in SOFR puts ahead the open. Underlying futures modestly lower, narrow ranges, lighter volumes ahead Weekly Jobless Claims, Retail Sales, Imp/Exp prices. Current projected rate cuts recede vs. late Wednesday levels (*) post-CPI: Sep'24 cumulative -35.2bp (-37.2bp), Nov'24 cumulative -69.6bp (-72.4bp), Dec'24 -104.1bp (-106.2bp).
  • SOFR Options:
    • Block, 15,000 SFRX4 95.06/95.18 put spds, 0.5 ref 95.79
    • Block/screen over 10,800 SFRQ4 95.06 puts, .75 last
    • 3,000 0QQ4 96.56/96.62 put spds ref 96.755
    • 3,000 SFRX4 96.00/96.18/96.37 call flys
    • 6,200 0QZ4/3QZ4 96.75 put spds, 4.0-4.5
    • 4,100 SFRZ4 95.81 calls
    • 2,700 SFRZ4 95.31/95.43/95.56 put flys
    • over 8,100 SFRZ4 95.62 puts ref 95.785
    • 4,000 SFRZ4 95.43 puts, 0.5 ref 95.785
    • 2,000 SFRU4 95.18/95.31/95.43 call flys ref 95.105
    • 6,000 SFRU4 95.12/95.25 call spds
  • Treasury Options:
    • 3,000 FVU4 109.5/110.5 call spds vs. 108.5 puts ref 109-05.75
    • 1,500 TYX4 111/112.5/114 put flys ref 114-05.5
    • 4,800 TYU4 114.75 calls ref 113-19.5
    • 6,000 TYV4 112.5 puts, 20 ref 114-05.5
    • 4,400 TYU4 115 calls, 4 ref 113-20.5
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