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LATE SOFR/Treasury Option Roundup

US TSYS
While FI option volumes remained tepid Friday, trade remained mixed in SOFR options while Treasury options saw better call trade on net. Underlying futures remain weaker, near the low end of the session range. Projected rate cut pricing into year end look steady to mixed vs. late Thursday levels (*) -- Sep gains while Nov and Dec decline: July'24 at -4.5% w/ cumulative at -1.1bp at 5.318%, Sep'24 cumulative -25.9bp (-25.2bp), Nov'24 cumulative -40.6bp (-41.1bp), Dec'24 -62.9bp (-64.6bp). Salient flow includes:
  • SOFR Options:
    • 6,500 SFRZ5 95.2595.75 2x1 put spds
    • +15,000 SFRZ4 95.25/95.50 call spds 1.5 over 2QZ4 96.75/97.00 call spds
    • +5,000 SFRM5 97.00 calls, 13.0 vs. 95.98/0.18%
    • +7,000 0QZ4 96.50/96.75 call spds 8.0 vs. 96.30/0.10%
    • +20,000 SFRH5 95.50 put vs 2QH5 95.75 puts +5.5-6.0
    • +8,000 SFRH5 95.00/95.25/95.50 put trees, 4.75
    • +5,000 SFRZ4 95.31/95.50/95.68 call tree 0.5
    • +5,000 SFRZ4 95.25/95.50cs vs S2Z 96.75/97.00cs 1.5
    • +6,000 SFRH4 95.50p vs 2QH4 95.75 puts 5.5
    • 2,000 SFRU4 94.81/94.93/95.06 call flys
    • 1,000 0QQ4 96.62/97.00 2x3 call spds
  • Treasury Options:
    • 10,000 FVQ4/wk1 FV 107.75/108.25 call spd spds
    • over 15,000 TYQ4/TYU4 111 call spd, 31 ref 110-27.5
    • +6,000 FVU4 107.25 straddles, 105-105.5
    • over 5,100 TYQ4 111.5 calls, 10 last
    • 4,000 TYQ4 110.5 puts, 8 last
    • over 4,400 TYQ4 110.25 puts, 5
    • +10,000 Monday weekly 10Y 111.75 calls, 2 ref 111-06.5
    • over 6,400 Wednesday weekly 5Y 107 puts, 2 ref 107-13.25 (expire next Wed)
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