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Late SOFR/Treasury Option Roundup

US TSYS
Aside from the heavy volume in Sep'24 SOFR option that expire today (over 350,000 in the SFRU4 95.12 strike alone), option desks reported continued interest in SOFR and Treasury option upside calls Friday. Carry-over support in underlying futures (SFRU4 +.050 at 95.1425; SFRZ4 +0.080 at 95.965) remained strong as speculation over more than a 25bp rate cut at next week's FOMC continued. Projected rate hikes through year end firmer vs. late Thursday levels (*) : Sep'24 cumulative -38.1bp (-31.5bp), Nov'24 cumulative -76.6bp (-68.6bp), Dec'24 -117.4bp (-107.5bp).
  • SOFR Options: Reminder, Sep options expire today
    • +20,000 SFRV4 96.25/96.37/96.50/96.62 call condors 1.0 ref 95.965
    • +7,000 SFRZ4 95.68/95.75/95.81 put flys, 0.75 vs. 95.86/0.02%
    • +40,000 SFRZ4 95.50 puts, 2.25
    • -10,000 SFRH5 96.37/96.75 call spds 11.0 over 0QH5 97.25/97.37 call spds
    • Block, 33,750 SFRH5 95.50/95.75/96.00/96.25 call condors, 5.5 ref 96.625
    • +10,000 SFRV4 95.81/96.06/96.18 call trees, 6.75-7.0 ref 95.965
    • +5,000 SFRX4 96.12/96.25/96.37/96.50 call condors, 1.75 vs. 95.98/0.05%
    • +4,000 SFRH5 95.50/96.00/96.37 put flys, 6.5 ref 96.61
    • -10,000 SFRU4 95.12 calls, 1.5 vs. 95.1275/0.53%
    • 10,000 SFRV4 95.62/95.68/95.75/95.81 put condors ref 95.955
    • Block, 5,000 SFRH5 95.50/95.75/96.25/96.50 iron condors, 11.5 vs. 96.61/0.18%
    • 5,000 SFRZ4 97.00 calls ref 95.945
    • 2,000 SFRV4 96.00/96.06/96.12/96.18 call condors
    • 2,500 2QZ4 96.50/96.62/96.75/96.87 put condors ref 97.155
    • 5,000 SFRZ4 95.87/96.12/96.37 call flys ref 95.945
    • 5,000 SFRV4 96.12/96.31 call spds ref 95.96
    • 1,500 SFRH5 96.50/96.87 call spds vs. 2QH5 97.37/97.75 call spds
    • 2,000 0QV4 96.62/96.87 put spds vs. 2QV4 97.37/97.50 call spds
    • 3,500 SFRV4 96.00/96.25 call spds ref 95.95
    • Block, 5,000 SFRH5 97.00/97.25 call spds, 5.5 vs. 96.63/0.08%
    • 2,000 SFRX4 95.93/96.00/96.06 call flys ref 95.95
    • 2,500 SFRZ4 95.62/95.75/95.87 call flys
    • 6,000 SFRV4 96.00/96.18/96.50 broken call flys ref 95.945 to -.935
    • Block, 4,000 SFRU4 95.06 puts, cab
    • 5,000 SFRU4 95.06/95.12/95.18 call flys
    • 6,500 SFRX4 95.25/95.37/95.50 put flys, ref 95.955
  • Treasury Options:
    • 2,000 TYV4 113.25/113.5/114 broken put flys ref 115-14.5
    • -7,500 TYX 114 puts, 27
    • +3,500 FVX4 109.5/111.5 call over risk reversals, 9
    • -3,000 FVX4 113/114 put spds 2
    • over 5,400 TYV4 114 puts
    • 2,000 TYV4 114.25 puts, 4
    • 1,500 TUV4 104.62/104.87 call spds ref 104-13.38
    • 3,500 FVX4 109.5//111.5 strangles ref 110-21.75
    • 1,500 FVZ4 111/112 call spds
    • 1,200 TUV4 103.87/104.12 put spds
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