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Late SOFR/Treasury Option Roundup, Better Upside Call Trade on Net

US TSYS
SOFR and Treasury options leaned towards better call structures as Monday progressed, fading the weaker price action in the underlying after futures extended lows around the London close. Projected rate cut pricing into year end has receded vs. early Monday levels (*): July'24 at -2.5% w/ cumulative at -0.6bp at 5.323%, Sep'24 cumulative -24.3bp (-25bp), Nov'24 cumulative -38.5bp (-39.5bp), Dec'24 -60.7bp (-62bp). Salient flow includes:
  • SOFR Options:
    • +52,000 SFRH5 96.75/97.75 call spds 4.37 to 4.5
    • +5,000 0QU4 96.25/96.50/96.75 call fly 3.5 ref 96.13
    • +5,000 SFRU4 94.87/95.00 put spds 2x1 1.125 ref 94.915
    • +7,500 SFRX4 95.06/95.18 2x1 put spds, 0.0
    • -2,500 SFRZ4 94.87/95.12/95.50/95.75 iron condor 8.0 ref 95.29
    • +10,000 SFRX4 95.31/95.43/95.56 call flys 1.625 ref 95.295
    • +6,000 SFRZ4 95.25/95.37/96.00/97.00 call condors 2.25
    • +4,000 SFRH5 95.00/95.25/95.50 put trees 5.0
    • 5,500 SFRX4 95.12/95.25/95.31/95.43 call condors ref 95.30
    • Block/screen, -9,000 SFRU4 94.87/95.00/95.12 call flys, 3.25
    • -15,000 SFRV4 95.43/95.56 call spds, 30.5
    • 1,250 0QZ4 96.50/96.75 call spds ref 96.28
    • 1,000 0QV4 97.00/97.50 call spds ref 96.295
    • 1,000 SFRQ4/SFRU4 94.93 call spds
  • Treasury Options:
    • 4,000 USU4 115/117 put spds ref 119-08
    • 11,100 wk1 TY 111.25/112.25 call spds w/ TYQ4 111/111.5 call spds, 24 total
    • 5,000 FVU4 107.75 calls, 22.5 last
    • 1,400 FVQ4 107.75/108 call spds ref 107-10.25
    • 3,000 TYU4 108.5/110.5 put spds vs. TYU4 113.5 calls ref 110-31.5
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