May 20, 2024 19:14 GMT
Late SOFR/Treasury Option Roundup
US TSYS
Rather modest overall volumes stuck with better call call interest in Treasury options, SOFR option more pared on the day. Underlying futures modestly weaker - near the middly of the session range after gradually climbing off early session lows. Rate cut projections have receded vs. this morning's levels (*): June 2024 at -5% w/ cumulative rate cut -1.2bp at 5.318%, July'24 at -20% w/ cumulative at -6.3bp (-7.5bp) at 5.267%, Sep'24 cumulative -19.6bp (-20.9bp), Nov'24 cumulative -27.1bp (-29bp), Dec'24 -41.5bp (-43.9bp).
- SOFR Options:
- Block, 5,000 SFRM4 95.37/95.50 call spds 0.25, vs. 94.7125/0.05%
- +17,000 0QH5 94.25/94.75 put spds vs. 95.97/0.08%/0.08%
- +15,000 SFRH5 97.00/98.00 call spds, 3.5 ref 95.34
- +7,000 SFRU6 96.37/96.87 call spds, 18.0 vs. 96.06/0.10%
- -5,000 SFRM4 94.81 calls, .75 ref 94.69
- -5,000 SFRM4 94.62/94.68 put spds vs. 94.75/94.81 call spds, 1.25
- 8,000 SFRU4 95.00/95.12 put spds ref 94.875
- 3,000 0QZ4 96.87/97.75/98.25 broken put flys ref 95.895
- Treasury Options:
- 2,500 TYM4 109.5/109.75 1x2 call spds, 1 net 2-legs over ref 109-00.5
- 3,000 FVN4 107/107.5/108 call flys ref 106-05
- 16,000 TYM4 110 calls vs. 4,000 TYN4 110/110.5 call spds
- Block, -10,000 TYM4 109.25 straddles, 32 ref 109-06.5
- -14,500 TYM4 109.25 calls, 12 ref 109-06
- 2,600 TYM4 110.75/111.25 1x2 call spds ref 109-06
- 19,000 FVM4 106.5/107 call spds ref 105-28.25
- 2,500 TYM4 108/108.75 2x1 put spds, 5 ref 109-05.5
- 4,400 TYM4 108.75/109 put spds, 4 ref 109-07.5
- Block/screen, 28,500 TYM4 110 calls, 3 ref 109-07.5
213 words