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Early SOFR/Treasury Option Roundup: Upside Call Focus

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SOFR and Treasury option flow centered on upside calls overnight, albeit on light volumes at the moment. Underlying futures mildly higher after a narrow overnight range. Rate cut projections are largely steady vs. late Wednesday levels: June 2024 at -5% w/ cumulative rate cut -1.2bp at 5.323%, July'24 at -16.0% w/ cumulative at -5.2 at 5.283%, Sep'24 cumulative -17.8bp, Nov'24 cumulative -26.2bp, Dec'24 -40.6bp.
  • SOFR Options:
    • Block, 5,000 SFRZ4/SFRH5 95.00/95.50 2x1 put spd spds, 10.0 net/Dec over
    • 1,500 SFRU4 95.00/95.12/95.25 call spds
    • 4,000 SFRV4 95.50/95.87 call spds vs. 94.68 puts ref 95.055
    • 2,000 0QM4 95.56/95.75/95.93 call flys ref 95.495
    • 2,000 0QM4 95.62/95.75 call spds vs. 95.25/95.37 put spds ref 95.515
  • Treasury Options: Reminder, June options expire Friday
    • 6,000 TYN4 110.5 calls, 18 ref 109-12.5 to -13
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SOFR and Treasury option flow centered on upside calls overnight, albeit on light volumes at the moment. Underlying futures mildly higher after a narrow overnight range. Rate cut projections are largely steady vs. late Wednesday levels: June 2024 at -5% w/ cumulative rate cut -1.2bp at 5.323%, July'24 at -16.0% w/ cumulative at -5.2 at 5.283%, Sep'24 cumulative -17.8bp, Nov'24 cumulative -26.2bp, Dec'24 -40.6bp.
  • SOFR Options:
    • Block, 5,000 SFRZ4/SFRH5 95.00/95.50 2x1 put spd spds, 10.0 net/Dec over
    • 1,500 SFRU4 95.00/95.12/95.25 call spds
    • 4,000 SFRV4 95.50/95.87 call spds vs. 94.68 puts ref 95.055
    • 2,000 0QM4 95.56/95.75/95.93 call flys ref 95.495
    • 2,000 0QM4 95.62/95.75 call spds vs. 95.25/95.37 put spds ref 95.515
  • Treasury Options: Reminder, June options expire Friday
    • 6,000 TYN4 110.5 calls, 18 ref 109-12.5 to -13