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Late SOFR/Treasury Option Roundup: Better Put Buying, Call Unwinds

US TSYS
SOFR and Treasury options leaned towards puts as underlying futures fell back near Friday's pre-NFP levels. Projected rate cut pricing into year end continue to cool, current vs. early Tuesday levels (*): Sep'24 cumulative -44.3bp (-45.3bp), Nov'24 cumulative -75.9bp (-80.8bp), Dec'24 -105.8bp (-110.8bp).
  • SOFR Options:
    • Block, 6,000 SFRZ4 98.00/98.12/98.50/99.00 broken call condors, 0.0
    • -20,000 0QZ4 96.25/96.75 call spds v 2QZ4 96.37/96.75 call spds 6.0
    • +5,000 SFRU4 95.18/95.31/95.43 call flys, 2.0 ref 95.24
    • -20,000 SFRX4/SFRZ4 95.31/95.43/95.56 call fly strip, 3.25
    • 5,000 SFRU4 94.75/94.87/95.00 put trees ref 95.23
    • 6,000 SFRU4 95.00/95.06 put spds ref 95.255
    • 6,250 SFRZ4 95.56/95.87/95.62 call flys ref 95.855 to -.86
    • 5,300 SFRQ4 95.25 calls ref 95.245 to -.25
    • 6,700 SFRQ4 94.87/95.06 put spds vs. 95.43/95.56 call spds ref 95.245
    • 4,000 SFRX4 95.12/95.25 put spds ref 95.56
    • 4,000 0QZ4/3QZ4 97.25/98.00 call spds
    • 3,000 SFRV4 95.50 puts vs. 2QV4 96.00/96.50 put spds
    • 7,000 SFRZ4 95.62/96.00 call spds ref 95.84
    • 2,000 SFRU4 95.00/95.06 put spds ref 95.28
  • Treasury Options:
    • +5,000 TYV4 110.5/115 strangles w/ 109.5/116 strangles 130-131
    • Block, -12,500 TYU4 114 calls, 29 vs. 113-11.5/0.40%
    • -7,000 TYU4 112 calls, 159 vs. 113-25.5/0.85%
    • 3,000 TYU4 112.5 calls vs. TYV4 116 calls
    • 1,100 USU4 127/129/131 call flys
    • 6,000 TYU4 109/110 put spds ref 113-17
    • over 5,300 FVU4 108.75 puts, 22.5 last
    • over 5,400 FVU4 109 calls, 35 last
    • 4,900 FVU4 110 calls ref 109-03.75
    • 4,200 wk2 TY 113 puts vs. 114/114.5 call spds ref 113-22
    • 7,500 TYU4 115/115.5 call spds ref 113-24
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