May 31, 2024 19:16 GMT
Late SOFR/Treasury Option Roundup: Better Call Buying on Net
US TSYS
SOFR and Treasury options continued to favor upside calls as underlying futures rallied off dovish (non-hawkish) data this morning. Holding steady for the next couple meetings -- late year rate cut projections have gained slightly post data: June 2024 at -0% w/ cumulative rate cut 0.0bp at 5.328%, July'24 at -12% w/ cumulative at -3.5bp at 5.293%, Sep'24 cumulative -14.7bp (-13.9bp pre-data), Nov'24 cumulative -21.7bp (-20bp pre-data), Dec'24 -35.5bp (-32.9bp pre-data).
- SOFR Options:
- -5,000 SFRZ4 94.68/94.81 put spds, 4.5 ref 95.015
- -10,000 0QU4 95.00/96.50 put over risk reversals 1.0-1.5 vs. 95.59/0.28%
- +5,000 0QN4 95.75/96.00 1x2 call spds 1.5 vs. 95.55/0.08%
- -3,000 SFRZ4 94.62/94.87 put spds, 9.5
- 11,800 SFRZ4 96.00 calls, 5.0 ref 95.00 to -00.5
- 2,500 SFRZ4 94.68 puts
- +5,000 SFRV4/SFRZ4 94.68 put spds, 2.0 ref 94.99 to -.995
- 2,000 SFRQ4 95.00/95.12/95.25 call flys, ref 94.805
- 1,000 SFRQ4 94.68/94.81/94.93 put flys, ref 94.805
- Treasury Options: Late weekly midcurve block/strip, more on screen
- Block, +30,000 wk1 (Jun 7 exp) 10Y 109.5 calls at 9 w/
- Block, +50,000 wk2 (Jun 14 exp) 5Y 106.25 calls at 14.5
- 1,800 TUQ4 101.62/102 2x1 put spds
- +4,000 TYN4 107.5/109.5 risk reversals, 4 ref 108-25
- -5,000 TYN4 107 puts, 7 ref 108-24
- 4,000 USQ4 98/103 put spds
- 2,500 USN4 112 puts, 13 last
191 words