Early SOFR/Treasury Options Roundup

SOFR options continue to favor upside calls Tuesday, Treasury options more mixed on lighter volumes overnight as underlying futures trade mildly weaker. Projected rate cut pricing looks steady to fractionally lower by year end vs. late Monday levels (*): July'24 at -4.5% w/ cumulative at -1.1bp at 5.318%, Sep'24 cumulative -19.7bp (-20.0bp), Nov'24 cumulative -30.1bp (-31.2bp), Dec'24 -50.1bp (-50.3bp). Salient flow includes:

• SOFR Options:
  • +5,000 SFRM5 97.00 calls, 12.0 vs. 95.77/0.15%
  • +5,000 SFRU4 95.50/95.75 call spds, 0.25 vs. 94.895/0.05%
  • +15,000 SFRU4 95.00/95.06 call spds, 0.5 ref 94.87 (ongoing buyer)
  • +2,000 0QZ4 96.00 straddles, 68.0 ref 95.195
  • over 11,300 SFRV4 95.31 calls, 10.5 last
  • over 5,600 SFRV4 94.43 calls and 4,800 SFRV4 95.50 calls
  • Block, 4,000 SFRZ4 95.25/95.37/95.50/95.62 call condors, 1.75 ref 95.195
  • 2,000 SFRV4 94.75/95.18 put spds ref 95.205
  • 6,000 0QU4 96.12/96.50 call spds vs. 3QU4 96.50/96.87 call spds
• Treasury Options:
  • over 11,300 TYQ4 109 puts, 7
  • 3,700 TYQ4 111 calls, 21 last
  • 4,000 TYQ4 111.5 calls, 13 last
  • 1,145 FVU4 105.5/106.25 put spds vs. 107.25/108.75 call spds