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Early SOFR/Treasury Option Roundup: Upside Risk Hedging Ahead CPI

US TSYS
Option desks reported better upside SOR and Treasury call structure trade overnight, modest volumes in the lead-up to this morning's headline CPI data. Underlying futures near recent highs (TYU4 113-25.5) after breaking through narrow overnight range, albeit on modest summer volumes. Projected rate cut pricing into year end looking steady to mildly higher vs. late Tuesday levels (*): Sep'24 cumulative -39.7bp (-40.1bp), Nov'24 cumulative -74.2bp (-73.8bp), Dec'24 -108.1bp (-107.4bp).
  • SOFR Options:
    • 3,000 SFRU4 95.37/95.50 call spds ref 95.155
    • 3,500 SFRU4 95.31/95.43 call spds ref 95.155
    • 3,500 2QQ4 97.00/97.12 1x2 call spds ref 96.965
    • Block, 3,000 SFRZ4 94.75/95.00 put spds, 0.5
    • 3,000 0QU4 96.37/96.56/96.87 broken call trees
    • 2,000 SFRZ4 95.75/96.00 3x2 put spds ref 95.81
    • 2,000 SFRU4 94.93/95.00/95.06/95.12 call condors
  • Treasury Options:
    • 12,500 wk3 TY 114/114.5 call spds ref 113-24.5, expire Fri
    • 5,000 TYV4 114/116.5 1x2 call spds ref 114-08
    • 15,000 wk3 FV 109.75/110.25 call spds ref 109-07.25, expire Fri
    • 10,000 TYU4 112.75/113.25 2x1 put spds, ref 113-19.5
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