Late SOFR/Treasury Option Roundup: Call Volume Surge/Rate Cuts Rising

Heavy SOFR and Treasury call option volume overnight, focus on Sep 50bp rate cut hedge in SOFR options via call condors (over 50k so far) and call flys -- Sep'24 SOFR options expire on September 13, the Friday before the next FOMC annc on September 18. Short end has led a creeping crawl off midmorning lows while projected rate cuts through year end have gained vs. early Tuesday levels: Sep'24 cumulative -34.1bp (-31.8bp), Nov'24 cumulative -67.4bp (-64.7bp), Dec'24 -104.6bp (-99.2bp).

• SOFR Options:
  • -20,000 SFRZ4 96.00/97.00 2x3 call spds, 16.0 ref 95.785
  • -7,000 SFRZ4 95.31/95.43 call spds, 10.25 ref 95.775
  • -10,000 SFRU4 94.81/94.93 call spds, 12.0 ref 95.0875
  • +10,000 SFRX4/SFRZ4 95.87/96.00 call spd/spd, 0.25 net vs. 95.78/0.05%
  • +5,000 SFRU4 95.06/95.12/95.18 call flys, 0.25 ref 95.07
  • +10,000 SFRU4 95.18/95.37/95.56 call flys, 2.0 ref 95.0675
  • +5,000 SFRU4 95.06/95.12/95.18/95.25 call condors, 0.5 ref 95.07
  • +20,000 SFRU4 95.25/95.31/95.43 call flys, 0.5 ref 95.07
  • +51,000 SFRU4 95.18/95.25/95.31/95.37 call condors, 1.0 ref 95.07 to -.065
  • +35,000 SFRU4 95.12/95.18/95.25/95.31 call condors, 1.0 ref 95.07
  • +20,000 SFRU4 95.25/95.31/95.43 call flys, 0.5 ref 95.07
  • 9,500 SFRU4 95.12/95.18/95.25 call flys ref 95.0675, 0.25
  • 5,000 SFRZ4 95.8/96.06/96.31 call flys ref 95.75
  • 10,000 SFRU4 95.12/95.18 call spds ref 95.07
  • 4,000 SFRV4 95.37/95.50 put spds ref 95.745
  • 7,500 SFRX4 95.25/95.37 call spds ref 95.745
  • 7,500 SFRU4 95.31/95.56 call spds ref 95.0675
  • Block, 10,000 SFRM5 97.00/97.18 call spds, 4.5
  • Block, 2,500 SFRZ4 95.93/96.25 5x6 call spds, 20.0
  • Block, 2,500 SFRZ4 95.31/95.56 call spds, 0.5
  • 5,000 SFRU4 95.06/95.12/95.18 call flys
• Treasury Options:
  • Block, 9,000 TUV4 102.62/102.75 put spds .5 vs. 103-22/0.02%
  • +17,000 TYV 114 calls, 49 vs. 113-29.5/0.50%
  • +50,000 wk1 TY 114 calls, 33 vs. 113-30/0.49%
  • 7,000 TYV4 113/114 2x1 put spds ref 114-02.5