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Late SOFR/Treasury Option Roundup: Bullish Positioning

US TSYS

Thursday's SOFR and Treasury option trade was decidedly bullish as underlying futures rallied on the back of higher than expected weekly claims (little react to BoE dovish hold). Steeper most of the session, curves bull flattened late as bonds rallied/extended highs after the 30Y auction traded through. Projected rate cut pricing look steady vs. post-claims: June 2024 at -10.0% w/ cumulative rate cut -2.5bp at 5.302%, July'24 at -28% w/ cumulative at -9.5bp at 5.233%, Sep'24 cumulative -22bp, Nov'24 cumulative -31.1bp, Dec'24 -45.8bp.

  • SOFR Options:
    • +5,000 SFRM4 94.75/94.81/94.93 call flys ref 94.705
    • +10,000 SFRU5 95.50/96.50 call spreads 39.0 vs. 95.755/0.28%
    • -5,000 SFRN4 94.56/94.62/94.75 2x3x1 put flys, 1.125 ref 94.91
    • +50,000 SFRU4 94.93/95.12/95.25/95.43 call condors 2.75-2.87 ref 94.90
    • -27,500 SFRZ4 94.43/94.68 put spds, 3.0 vs. 95.115/0.10%
    • -10,000 SFRU4 94.87 straddles 25.5 ref 94.90
    • -15,000 SFRM4 94.68 puts 1.75 ref 94.71
    • -12,000 SFRU4 94.50 puts 1.0 vs. 94.915/0.05%
    • +7,000 SFRH5 95.25/95.87 call spds 21.0 vs. 95.38/0.20%
    • +6,000 SFRN4/SFRQ4 95.00 call spds 2.25 ref 94.91
    • +2,500 SFRM4 94.62/94.68 put spds 1.00 ref 94.71
    • Block, +10,750 SFRZ4 94.37/94.62/94.87 put flys, 6.0 ref 95.15
    • 1,000 SFRZ4 94.62/94.75/95.00/95.06 broken put condors ref 95.115
    • 2,000 SFRZ4 94.62/94.68 put spds ref 95.115
  • Treasury Options:
    • 5,000 TYN4 108/109/110 call flys ref 109-07.5
    • -1,300 USQ4 107/109 put spds
    • over +24,400 TYN4 111.5 calls, 13 last
    • over 24,800 TYN4 112 calls, 9 last
    • 1,500 FVU4 106/107/107.5 broken call trees ref 105-29.75
    • 3,000 wk2 TY 108.5/108.75 put spds, 6 ref 108-21.5 expire Friday
    • 1,250 FVM4 103/103.5/104/104.5 put condors ref 105-18
    • 3,000 TYM4 109.25 calls, 21 ref 108-21
    • 1,500 TYM4 106.75/110.5 strangles ref 108-21
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