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Early SOFR/Treasury Option Roundup: Tactical Bulls

US TSYS
Mixed overnight trade on lighter volume belies the heavy overnight volume in 10s at least (TYM4>1.13M already) after targeted Israeli strike in Iran late Thursday. Safe haven bid pushed underlying futures higher (TYM4 tapped 108-22.5 high) - but risk off tone has gradually cooled since as both side play down attack. TYM4 currently +9.5 at 108-00, curves flatter with the short end lagging (2s10s -2.109 at -37.674).
  • Projected rate cut pricing largely steady vs. late Thursday lvls: May 2024 -2.6% w/ cumulative -0.6bp at 5.322%; June 2024 at -13.5% w/ cumulative rate cut -4.5bp at 5.283%. July'24 cumulative at 12.1bp, Sep'24 cumulative -22.7bp. More recent trade leaning bullish:
  • SOFR Options:
    • 2,000 SFRH5 94.00/94.37 put spds ref 95.235
    • 7,250 SFRU4/SFRZ4 94.50/94.62 put spd spd, 2.0 net flattener
    • +10,000 0QK4 97.50 calls, 5.5 ref 95.45
    • 2,000 0QK4 95.00/95.18 put spds ref 95.43
    • +3,000 SFRK4 94.68/64.75 2x1 put spds 2.25
    • -2,000 0QK4 95.18/95.37/95.43 broken put trees, 1.5 ref 95.435/0.18%
    • 1,500 SFRU4 94.75/94.87/94.93/95.06 put condors ref 94.925
    • 1,000 SFRK4 94.75/94.81/94.87/94.93 put condors vs. SFRU4 94.75/94.87/95.00 put flys
  • Treasury Options:
    • -10,000 TYM4 107 puts, 32
    • +5,000 TYK4 109 calls, 7-10 ref 108-00 to -04
    • +5,000 wk4 US 109/111 put spds, 11 ref 115-01
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