Late SOFR/Treasury Option Roundup

SOFR and Treasury options looked mixed late Thursday, but still favored upside calls in the second half while underlying futures see-sawed near lows (TYU4 -7 at 112-21.5). Projected rate cut pricing into year end off early morning levels (*): Sep'24 cumulative -40.5bp (-44.8bp), Nov'24 cumulative -71.5bp (-77.6bp), Dec'24 -103.2bp (-109.3bp).

• SOFR Options:
  • Block, 5,000 0QU4 96.50 puts, 5.0 vs. 96.745/0.30%
  • +10,000 SFRH5 96.25/96.50 call spds 1.5 over SFRH5 95.50/95.75 put spds
  • -7,000 SFRZ5 93.75/94.25/94.75 put flys, 1.5 ref 96.73
  • -4,000 0QZ4 96.25/96.75 call spds vs. 3QZ4 96.50/96.75 call spds, 5.75 net
  • Block, 5,000 SFRZ4 95.50/95.75 call spds 11.5 ref 95.74
  • Block, 5,000 SFRH5 96.00/96.31 3x2 put spds, 11.5
  • -5,000 SFRQ4 95.00/95.12 call spds w/ SFRU4 95.00/95.18 call spd strip, 17.5
  • +5,000 0QH4 96.00 puts sv 3QH4 96.00 puts 1.5 net/flattener
  • +5,000 SFRZ4 95.75/96.00 call spds 7.5 ref 95.73
  • +5,000 0QV4 96.00/96.50 put spds v 2QV4 96.06/96.56 put spds 1.5
  • +5,000 SFRU4 95.00 puts, 2.0
  • -5,000 2QU4/3QU4 97.00/98.50 call spd spd, 3.0 net cr flattener
  • +4,000 SFRV4/SFRX4 95.87/96.00/96.12 call fly strip, 2.25
  • over -32,000 SFRU4 95.25 calls, 9.0 ref 95.20 (closer, OI>293k)
  • 6,000 SFRU4 95.18/95.31/95.43 call flys ref 95.21
  • over -40,000 SFRZ4 95.25/95.50 call spds, 19.5 ref 95.855 to -.85 (closer, OI 325k-365k)
  • 2,000 SFRZ4 95.06/95.18/95.31 put flys ref 95.875
• Treasury Options:
  • Block/screen, +18,000 Monday weekly 10Y 112 puts, 3
  • Block, 12,500 TYU4 112 vs. TYV4 116 1x2 call spds, 25 net vs. 112-24/0.30%
  • 9,000 TYV4 115.5 calls, 25 ref 113-06.5
  • 1,500 FVU4 110/111 2x3 call spds 7.5 ref 108-21.25
  • 1,500 TYU4 111/111.75/112.5 put flys ref 112-23
  • 7,500 wk3 TY 114/114.5 2x3 call spds, 8 net ref 113-06.5 (exp Aug 16)
  • +6,000 TYU4 113.5/114.5 call spds vs. 112.5 puts, 0.0-2.0 ref 113-09
  • over 10,500 FVU4 111.5 calls, 3 last ref 108-31.75
  • 3,000 wk2 FV 108.5/108.75 put spds expire tomorrow