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Late SOFR/Treasury Option Roundup: Better Treasury Puts

US TSYS

SOFR options remained mixed in late Friday trade while Treasury options saq some chunky downside put and put spread buying in 10s and 30s as underlying futures extended lows in late trade. Projected rate cut pricing through year end running steady to mildly higher vs. pre-data levels (*): July'24 at -10% w/ cumulative at -2.5bp at 5.302%, Sep'24 cumulative -18.6bp (-17.5bp), Nov'24 cumulative -27.6bp (-26.6bp), Dec'24 -47.3bp (-45.3bp). Salient flow includes:

  • SOFR Options:
    • +5,000 SFRU4 94.81/94.87/94.93/95.00 call condors, 2.75 vs. 94.88/0.05%
    • +5,000 SFRU4 95.75/97.00 call spds, 0.75
    • +5,000 SFRQ4 94.87 puts, 7.0
    • +5,000 0QU4 96.25 calls, 11.0 vs. 95.92/0.28%
    • Block, 3,500 SFRU4 94.62/94.68 put spds vs. SFRN4 94.62/94.68 put spds x2, 0.5
    • 2,000 SFRU4 94.81/94.87/94.93/95.00 call condors, ref 94.85
    • 4,000 SFRQ4 94.68/94.75/94.87 put trees ref 94.845
    • 2,500 SFRZ4 95.75/96.00/96.25/96.50 call condors, ref 95.135
  • Treasury Options:
    • 25,000 TYU4 109 puts, 42 on screen a couple seconds later
    • Block, 13,000 TYU4 108.5/109 put spds, 10 vs. 109-29/0.33%
    • Over 10,000 USQ4 112/114 put spds, 9 ref 118-12
    • +7,500 TYU4 110 straddles, 205-208
    • 2,500 TYQ4 109/109.5 put spds, 14 ref 110-15
    • 4,200 TYQ4 106 puts, 1 ref 110-05 to -05.5
    • Over 15,700 wk4 TY 110.5 calls, 2 ref 110-05 (expire today)
    • Over 11,000 TYQ4 109 puts, 19-17, 17 last ref 110-16
    • 1,500 FVQ 107/108/108.5 broken call flys ref 106-20.25
    • 2,000 TYU4 108/112 strangles, ref 110-03.5
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