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Late SOFR/Treasury Option Roundup: Call Buyer Return, Underlying Gains

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SOFR and Treasury option volume turned mixed as decent call buying emerged in the second half as underlying futures climbed to the highest levels since early February. Heavy short end buying in SOFR white pack (100-150k in each expiry into the close) helped projected rate cut pricing into year end gain momentum vs late Wednesday levels (*): Sep'24 cumulative -31.3bp (-28.4bp), Nov'24 cumulative -56.6bp (-46.9bp), Dec'24 -82.8bp (-72.4bp).
  • SOFR Options:
    • Block, 15,800 SFRV4 96.00/96.50 call spds, 2.75 ref 95.52
    • Blocks, 15,000 0QU4 96.25 puts, 8.0 vs. 96.50/0.28%
    • Block, 20,000 SFRM5 96.25/97.00 call spds 23.5 ref 96.31
    • Block, 5,000 SFRZ4 95.75/96.25 call spds, 5.5
    • Block, 13,000 SFRZ4 95.87/96.00 call spds 1.5 ref 95.49
    • -3,000 SFRZ4 94.93/95.12/95.25/95.31 put condor 0.75 ref 95.44
    • -5,000 SFRU4 95.12/95.25 call spds vs 94.87 puts 0.25 ref 94.975
    • +4,000 SFRU4 94.75/94.81/94.87 put flys 0.25 ref 94.975
    • -5,000 SFRH5 95.81/96.00 call spds, 7.25 ref 95.895
    • Block, 4,400 SFRU4 94.81 puts, 1.5
    • over 7,100 SFRZ4 95.12 puts ref 95.42
    • 2,500 SFRH5 95.87 straddles ref 95.845
    • Block, 7,500 SFRU4 94.68/94.81/94.87/94.93 put condors, 1.0 vs. 94.945/0.04%
    • Block/screen -5,000 SFRU4 95.00/95.18 call spds, 3.25
    • Block/screen -5,000 SFRQ4 95.00/95.12 call spds, 2.0
    • Block, 3,000 SFRU4 94.81 puts, 1.5 ref 94.965
    • 1,500 0QQ4 96.18/96.43 call spds vs. 0QU4 96.18/96.43 call spds ref 96.36
    • 4,000 SFRZ4 95.12/95.87 strangles vs. 2,000 0QU4 96.75/97.12 strangles
    • -4,000 SFRQ4 95.00/95.12/95.25 call flys, 1.0 ref 94.965
    • +4,000 SFRH5 95.50//95.87/96.25 call flys, 8.0
    • 3,000 SFRU4 94.81/94.87 put spds ref 94.965
    • 2,000 SFRU4 94.87/94.93 3x2 put spds ref 94.97
    • 2,000 0QU4/3QU4 97.00 call spd
  • Treasury Options:
    • 2,000 FVV4 106.5/109.5 strangles, 30
    • 4,500 TYU4 113.5 calls, 25 ref 112-22.5
    • 6,000 FVV4 106/107 put spds, 3.5 ref 109-00.5
    • -5,500 TYV4 111/115 strangles, 45
    • +10,000 FVU4 107/107.5 2x1 put spds 1.5 ref 108-09.5
    • 2,000 TYU4 113/TYV4 114 call spds, 7 net Oct over
    • 2,500 TYU4 112.75/113.5 1x2 call spds, 5 net ref 112-11
    • 1,200 TYU4 111/112 straddle spd ref 112-03.5
    • +5,000 wk1 TY 112 straddles, 44-45
    • over 9,100 FVU4 107.5 puts, 15 ref 108-04.25
    • Block, 5,000 FVU4 107.75/108.75/109 broken call tree, 16 ref 108-03.25
    • over -21,300 TYU4 111.5 puts, 27-29
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SOFR and Treasury option volume turned mixed as decent call buying emerged in the second half as underlying futures climbed to the highest levels since early February. Heavy short end buying in SOFR white pack (100-150k in each expiry into the close) helped projected rate cut pricing into year end gain momentum vs late Wednesday levels (*): Sep'24 cumulative -31.3bp (-28.4bp), Nov'24 cumulative -56.6bp (-46.9bp), Dec'24 -82.8bp (-72.4bp).
  • SOFR Options:
    • Block, 15,800 SFRV4 96.00/96.50 call spds, 2.75 ref 95.52
    • Blocks, 15,000 0QU4 96.25 puts, 8.0 vs. 96.50/0.28%
    • Block, 20,000 SFRM5 96.25/97.00 call spds 23.5 ref 96.31
    • Block, 5,000 SFRZ4 95.75/96.25 call spds, 5.5
    • Block, 13,000 SFRZ4 95.87/96.00 call spds 1.5 ref 95.49
    • -3,000 SFRZ4 94.93/95.12/95.25/95.31 put condor 0.75 ref 95.44
    • -5,000 SFRU4 95.12/95.25 call spds vs 94.87 puts 0.25 ref 94.975
    • +4,000 SFRU4 94.75/94.81/94.87 put flys 0.25 ref 94.975
    • -5,000 SFRH5 95.81/96.00 call spds, 7.25 ref 95.895
    • Block, 4,400 SFRU4 94.81 puts, 1.5
    • over 7,100 SFRZ4 95.12 puts ref 95.42
    • 2,500 SFRH5 95.87 straddles ref 95.845
    • Block, 7,500 SFRU4 94.68/94.81/94.87/94.93 put condors, 1.0 vs. 94.945/0.04%
    • Block/screen -5,000 SFRU4 95.00/95.18 call spds, 3.25
    • Block/screen -5,000 SFRQ4 95.00/95.12 call spds, 2.0
    • Block, 3,000 SFRU4 94.81 puts, 1.5 ref 94.965
    • 1,500 0QQ4 96.18/96.43 call spds vs. 0QU4 96.18/96.43 call spds ref 96.36
    • 4,000 SFRZ4 95.12/95.87 strangles vs. 2,000 0QU4 96.75/97.12 strangles
    • -4,000 SFRQ4 95.00/95.12/95.25 call flys, 1.0 ref 94.965
    • +4,000 SFRH5 95.50//95.87/96.25 call flys, 8.0
    • 3,000 SFRU4 94.81/94.87 put spds ref 94.965
    • 2,000 SFRU4 94.87/94.93 3x2 put spds ref 94.97
    • 2,000 0QU4/3QU4 97.00 call spd
  • Treasury Options:
    • 2,000 FVV4 106.5/109.5 strangles, 30
    • 4,500 TYU4 113.5 calls, 25 ref 112-22.5
    • 6,000 FVV4 106/107 put spds, 3.5 ref 109-00.5
    • -5,500 TYV4 111/115 strangles, 45
    • +10,000 FVU4 107/107.5 2x1 put spds 1.5 ref 108-09.5
    • 2,000 TYU4 113/TYV4 114 call spds, 7 net Oct over
    • 2,500 TYU4 112.75/113.5 1x2 call spds, 5 net ref 112-11
    • 1,200 TYU4 111/112 straddle spd ref 112-03.5
    • +5,000 wk1 TY 112 straddles, 44-45
    • over 9,100 FVU4 107.5 puts, 15 ref 108-04.25
    • Block, 5,000 FVU4 107.75/108.75/109 broken call tree, 16 ref 108-03.25
    • over -21,300 TYU4 111.5 puts, 27-29