Late SOFR/Treasury Option Roundup

SOFR and Treasury options traded mixed on net Monday, SOFR favored call spreads on lighter volumes while Treasury options centered on put in 5s, 10s and 30s. Underlying futures weaker on carry-over month end positioning, curve flattener unwinds ahead ADP Wednesday, Thursday mkts closed for 4th of July holiday, NFP Friday. Projected rate cut pricing through year end running steady to mildly lower vs. late Friday levels (*): July'24 at -8.5% w/ cumulative at -2.1bp at 5.307%, Sep'24 cumulative -17.4bp (-18.6bp), Nov'24 cumulative -26.8bp (-27.6bp), Dec'24 -45bp (-47.3bp). Salient flow includes:

• SOFR Options:
  • +10,000 0QQ4 97.75 calls, cab ref 95.79
  • +10,000 SFRH5 96.75/97.75 call spds 4.375 ref 95.385
  • -5,000 0QN4 95.75/95.87 call spds, 6.0 ref 95.835
  • 6,000 0QU4 96.25/96.37 call spds ref 95.855
  • +2,000 0QU4 96.00/96.25 2x3 call spds, 5.5 ref 95.86
• Treasury Options:
  • 6,000 FVQ4 106 puts, 25 ref 106-07.5
  • 2,000 TYQ4 107.5/109/109.75 broken put flys, 9 ref 109-09
  • 3,000 USQ4 119 calls, 50 ref 117-04
  • Block, 2,000 TUQ4 102.12/102.37/102.62 call flys, 2.5 vs. 102-01.75/0.06%
  • 5,400 FVQ4 106 puts ref 106-09.75
  • 12,000 FVQ4 108.25 calls, 3.5 ref 106-11.5
  • 3,300 FVQ4 105.5 puts, 10.5 last
  • 2,800 USQ4 112/114 put spds ref 117-13
  • 4,500 TYQ4 108 puts, 12 last
  • over 9,800 TYQ4 108.5 puts, 18-22
  • over 4,500 TYQ4 109.5 puts, 40-44
  • 3,000 wk2 TY 108.5/109 put spds vs. 110/110.5 call spds ref 109-21.5
  • 3,150 wk2 TY 109.75/110.25 call spds vs. 108.75 put ref 109-22
  • 1,700 TYU4 105/106 put spds, 11.5 ref 109-16