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Large SOFR Calls vs. 10Y Put Buyers

US TSYS
SOFR options seeing better call volume on the week opener, Tsys options mixed leaning towards puts with large Oct'24 10Y put blocked recently. Projected rate cuts through year end near have declined vs. this morning's levels (*): Sep'24 cumulative -32.1 bp (-33.2bp), Nov'24 cumulative -65.9bp (-68.8bp), Dec'24 -100.3bp (-103.7bp).
  • SOFR Options:
    • Block, 5,000 SFRZ4 96.25/96.37 call spds, 1.5 ref 95.755
    • Block 18,979 SFRU4 95.25/95.50 call spds 1.25 vs. 95.075/0.15%
    • +15,000 SFRU4 95.31/95.43 call spds, 0.5 vs. 95.09/0.05%
    • 4,400 SFRF5 96.75/97.25/97.75 call trees ref 96.28
    • +4,000 SFRU4 95.18/95.31 call spds 2.5 ref 95.085
    • +5,000 SFRV4 96.00/96.12 call spds 2.25 ref 95.785
    • -1,500 SFRM5 96.62 straddles, 85.5 ref 96.625
    • SFRU4 95.18/95.37/95.56 call flys, 2.75 ref 95.0925
    • SFRU4 95.12/95.18/95.25 call flys, .25 ref 95.0925
    • +10,000 SFRU4 95.18/95.25/95.31/95.37 call condors, 1.25 vs 95.1075/0.05%
    • +10,000 SFRU4 95.18/95.37/95.56 call flys, 2.75 ref 95.0925
    • Block, 2,500 SFRH5 96.00/96.50/97.00 call flys vs. 2QH5 97.25/97.50 call spds, 11.5 net/SFRH5 over
    • Block, 5,000 SFRH5 96.00/96.50/97.00 call flys vs. 3QH5 97.25/97.50 call spds, 4.5 net/SFRH5 over
  • Treasury Options:
    • 1,300 TUZ4 102/102.5/103 put flys, ref 103-29.62
    • +19,000 TYV4 112.5 puts, 14 ref 114-13
    • Block/screen, +51,000 TYV4 112.75 puts, 18 ref 114-08
    • Block, +50,000 TYV4 113 puts, 18 ref 114-13
    • 10,000 TYV4 111.75 puts
    • over 8,800 TYV4 113.5 puts
    • 3,300 TYV4 115 calls
    • 4,500 TYV4 116 calls
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