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Late SOFR/Treasury Option Roundup

US TSYS
SOFR and Treasury option flow were mixed on net as underlying futures see-sawed lower following an unexpected increase in Core CPI inflation measures Wednesday. Better call buying in anticipation of as much as 150bp in rate cuts by year end, turned two-way after this morning's data. Projected rate cuts through year end remain soft vs. pre-data levels (*): Sep'24 cumulative -28.5bp (-32.7bp), Nov'24 cumulative -65.1bp (-72.5bp), Dec'24 -105.3bp (-114.5bp).
  • SOFR Options: Reminder, Sep options expire Friday
    • Block, 5,000 SFRZ4 95.75/96.00/96.25 call flys, 4.75 ref 95.87
    • +10,000 SFRZ4 95.87/96.12/96.37 call flys, 4.25 vs. 95.87/0.06%
    • +5,000 SFRV4 96.00/96.50 call spds, 5.25 ref 95.875
    • -5,000 SFRM5 96.37 puts, 19.0 vs. 96.88/0.28%
    • -4,000 SFRZ4 96.00/97.00 1x2 call spds, 7.25 ref 95.865
    • -8,000 SFRZ4 96.00/96.25 call spds vs 95.62 puts, 0.75 put over
    • -6,000 SFRV4 95.50 put v SRX4 95.43 put, 0.75 net/Nov over
    • +4,000 SFRZ4 95.81/96.06/96.31 call flys, 4.0 ref 95.86
    • -15,000 SFRZ4 96.25/96.75 call spds, 3.5-3.75 ref 95.845 to -0.855
    • +5,000 SFRU4 95.06/95.12/95.18 call flys, 0.75 ref 95.055
    • -10,000 SFRV4 97.43 calls 1.0 over 96.87/97.12 put spds ref 95.93
    • +10,000 SFRV4 96.87/97.12 put spds .5 over 97.50 calls, ref 95.93
    • Block, 4,000 SFRU4 95.12 calls
    • 2,000 SFRZ4 95.56/95.62/95.75 put flys ref 95.94
    • 3,000 0QU4/2QU4 97.25 call spds
    • 4,000 SFRZ4 95.25/95.37/95.50/95.62 call condors ref 95.955
    • over 21,200 SFRU4 95.06 puts
    • over 11,000 SFRU4 98.18 calls
    • 2,000 SFRZ5 96.50/96.87/97.25 put flys ref 97.235
    • 2,500 SFRH5 95.75/96.00 put spds, 4.5 ref 96.61
    • 6,000 SFRM5 97.00 calls, 43.0-42.5
  • Treasury Options:
    • 2,000 FVX4 108.5/109.5 put spds ref 110-25
    • 5,000 Wednesday weekly 10Y 115/115.25 2x1 put spds ref 115-20.5
    • 2,000 TUZ4 105/105.5 strangles ref 104-15.12
    • 10,000 TYV4 114 puts, 4-5 ref 115-21.5
    • 11,600 TYV4 115/116 call spds, 32-34 ref 115-21
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