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Late SOFR/Treasury Option Roundup

US TSYS
Treasury and SOFR options saw a modest pick-up in downside put structure buying Tuesday, underlying futures mildly higher, off midday lows by the bell. Projected rate cut pricing through year end are running steady mildly lower vs. morning levels: July'24 at -10% w/ cumulative at -2.5bp at 5.302%, Sep'24 cumulative -18.4bp, Nov'24 cumulative -27.1bp, Dec'24 -46.8bp. Salient flow includes:
  • SOFR Options:
    • +20,000 SFRU4 94.06 puts, 0.25 ref 94.845
    • +10,000 SFRU5 95.25/95.75 2x1 put spds 3.5 cr ref 95.915
    • +20,000 SFRH5 96.75/97.75 call spds, 4.75
    • 4,500 SFRZ4 94.81/95.00/95.25 2x3x1 put flys
    • 5,800 SFRZ4 95.06/95.12/95.18/95.25 call condors
    • +5,000 SFRU4 94.56/94.81/94.93 put fly 1.25 vs. 94.85
    • -2,500 0QZ4 96.50/3QZ4 96.75 call spds 2.0
    • +3,000 SFRN4 94.68/94.93/95.31/95.56 iron condor, 10.5 vs. 94.845/0.75%
    • +10,000 SFRH5 96.00/0QH5 97.00 call spds 0.5
    • 4,000 SFRH5 95.50/95.75 call spds vs. 0QH5 96.62/96.87 call spds
    • 4,000 SFRU4 95.25/95.62 call spds, 0.5 ref 94.85
  • Treasury Options:
    • 5,000 TYQ4 108 puts, 6 ref 110-16.5
    • 5,000 TYU4 112 calls, 36 ref 110-21.5
    • 3,000 FVQ4 108 calls, 11.5 last
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