Late SOFR/Treasury Option Roundup

While Treasury option focus segued to puts by late morning, SOFR options continued to lean toward upside calls as underlying futures drifted tear this morning's post-June employment data highs. Projected rate cut pricing looks steady to higher at year end vs' pre data levels (*): July'24 at -8.5% w/ cumulative at -1.6bp at 5.313%, Sep'24 cumulative -20.5bp, Nov'24 cumulative -31.7bp (-29.9bp), Dec'24 -50.8bp (-48.3bp). Salient flow includes:

• SOFR Options:
  • Block, 6,750 SFRU4 94.75/94.81/94.87/94.93 call condors, 1.25 ref 94.885
  • Block, 8,000 0QN4 96.00 puts, 8.5 vs. 96.00/0.50%
  • Block, 10,000 SFRZ4 95.12/95.37/95.50/95.75 call condors, 5.5 ref 95.22
  • Block, 10,000 SFRU4 94.75/94.81/94.87/94.93 call condors, 1.5 ref 94.89
  • +5,000 SFRZ4 95.25 calls, 17.0 ref 95.215
  • -10,000 SFRH5 96.25/96.75 call spds, 5.0
  • 5,000 SFRU4 94.87 puts, 6.0 ref 94.88
  • Block, 8,000 SFRZ4 94.75/94.87 put spds, 2.5 vs. 95.18/0.10%
  • ongoing +1,500 SFRZ4 95.06/95.18/95.31 call flys
  • 10,000 SFRU4 94.75 puts ref 94.87
  • 3,000 SFRQ4 94.93 calls, 3.5 ref 94.87
  • 1,500 SFRH5 94.62/95.12 2x1 put spds
  • +20,000 SFRZ4 95.06/95.18/95.31 call flys - adds to 10k Blocked O/N at 1.75
  • +6,500 0QN4 96.00/96.18/96.37 call flys, 3.0 ref 95.915, partially blocked
  • +5,000 SFRN4 94.75/94.81 put spds, 0.75
  • 2,800 SFRQ4 94.81 puts ref 94.87
  • 2,500 0QN4 96.00/96.12 call spds, 3.5 ref 95.90
  • 2,700 0QU4 96.00/96.50 call spds, ref 95.875
• Treasury Options:
  • 5,000 Wednesday weekly/TYQ4 110.5 straddle spds, 40
  • 4,600 USU4 108/112 put spds, 13 ref 118-09
  • 10,000 wk2 TY 107.25/108 2x1 put spds ref 110-12, exp July 12
  • 7,000 Wednesday weekly TY 109.5/110.5 strangles ref 110-11 exp next Wed
  • 2,000 TYU4 108/109 2x1 put spds, ref 110-12
  • -12,000 TYU4 108 puts, 19 vs. 110-02.5/0.20%
  • -10,000 TYQ4 110.5 calls, 31
  • +7,500 FVQ4 107.75/108.25 call spds, 4 ref 106-22
  • +4,000 TYU4 110.5/111 call spds, 12
  • 3,300 TYQ4 110 calls, 42
  • 2,300 TYQ4 111.5 calls, 12 ref 109-28.5