Late SOFR/Treasury Option Roundup: Better Put Trade As Rate Cuts Reset

Heavy SOFR/Treasury option volume in downside puts reported Thursday as underlying futures reset lower after flood of economic data, focus on better than expected Retail Sales. Tsy curves bear flattened while projected rate cuts recede vs. earlier pre-data levels (*): Sep'24 cumulative -31.8bp (-35.2bp), Nov'24 cumulative -62.0bp (-69.6bp), Dec'24 -93.5bp (-104.1bp).

• SOFR Options:
  • +4,000 SFRZ4 95.12/95.25/95.50/95.56 put condor 2.0 ref 95.665
  • +10,000 SFRZ4 96.50/96.62/96.75 call flys 0.625 ref 95.665
  • -4,000 SFRU4 95.12/95.18/95.25/95.31 call condors, 0.75 ref 95.055
  • +12,000 SFRZ4 95.62/95.75/95.87 call flys 1.0 ref 95.67
  • Block, 5,500 SFRZ4 95.87/96.00 call spds, 2.5
  • -5,000 SFRQ4 95.06 puts 2.25 ref 95.045
  • -5,000 SFRU4 94.87/95.00 put spds 3.0 ref 95.05
  • -5,000 SFRZ4 95.50 calls 26.0-25.5 ref 95.655
  • +3,000 2QX4 97.25/97.75 2x3 call spds 10.0 ref 96.80
  • -5,000 SFRZ4 9537/9550 2x1 put spds 1.0 ref 95.68
  • +6,000 SFRU4 95.50 calls vs SFRZ4 97.00/98.00 call spds 1
  • +20,000 SFRZ4 95.50/95.62/95.75 call flys, .62 ref 95.67 to -.665
  • BLOCKs 27,500 SFRU4 95.12/95.25 call spds 2.5 ref 95.11 -- open interest over 310k in both of the strikes
  • -20,000 SFRZ4 96.00/96.50/97.00/97.50 call condors, 6.5 ref 95.79
  • Block, 15,000 SFRX4 95.06/95.18 put spds, 0.5 ref 95.79
  • Block/screen over 10,800 SFRQ4 95.06 puts, .75 last
  • 3,000 0QQ4 96.56/96.62 put spds ref 96.755
  • 3,000 SFRX4 96.00/96.18/96.37 call flys
  • 6,200 0QZ4/3QZ4 96.75 put spds, 4.0-4.5
  • 4,100 SFRZ4 95.81 calls
  • 2,700 SFRZ4 95.31/95.43/95.56 put flys
  • over 8,100 SFRZ4 95.62 puts ref 95.785
  • 4,000 SFRZ4 95.43 puts, 0.5 ref 95.785
  • 2,000 SFRU4 95.18/95.31/95.43 call flys ref 95.105
  • 6,000 SFRU4 95.12/95.25 call spds
• Treasury Options:
  • 5,000 TYU4 112/112.5 put spds, 8 ref 112-30
  • 2,000 TYV4 109/111/113 put flys ref 113-13
  • over 55,000 TYV4 113.5 puts 58 ref 113-17.5
  • +15,000 wk3 TY 113.75 calls, 12
  • 3,000 FVU4 109.5/110.5 call spds vs. 108.5 puts ref 109-05.75
  • 1,500 TYX4 111/112.5/114 put flys ref 114-05.5
  • 4,800 TYU4 114.75 calls ref 113-19.5
  • 6,000 TYV4 112.5 puts, 20 ref 114-05.5
  • 4,400 TYU4 115 calls, 4 ref 113-20.5