Late SOFR/Treasury Option Roundup: Calls Persist Despite PMI Reversal

Trading desks reported better Treasury and SOFR call buying despite this morning's post-flash PMI sell-off in underlying FI futures. Carry-over buying in Aug'24 10Y 111.5 calls adds to +70k late Thursday at 27 vs. 110-14/0.31%. Reminder, July Tsy options expire today. SOFR call buying picked up with buyer of over 60,000 Mar'25 96.75/97.75 call spds. Projected rate cut pricing remains steady to mildly lower vs. this morning's levels (*): July'24 at -10% w/ cumulative at -2.5bp at 5.302%, Sep'24 cumulative -17.6bp (-18.4bp), Nov'24 cumulative -26.6bp (-27.8bp), Dec'24 -46.7bp (-47.2bp).

• Treasury Options: Reminder, July options expire today
  • Update, over 69,000 TYQ4 111.5 calls from 27-29, ref 110-15.5 (adds to +70k Thu at 27 vs. 110-14/0.31%, OI +40k)
  • over 4,100 TYQ4 111 calls, 46
  • 1,000 FVQ4 104.5/106/107 put flys ref 106-31.75
  • 3,300 USQ4 114 puts, 12 ref 120-07
  • over 12,600 TYN4 111 calls, 2 last
  • over 6,700 TYN4 110.25 puts, 1 last
  • 3,200 TYU4 111/113.5 call spds ref 110-15.5
  • over 6,500 FVN4 107 calls 1-4
  • 1,200 FVN4 106.75 straddles ref 106-30.75
  • 1,500 TUQ4 101.87/102/102.12 put trees ref 12-07.38
• SOFR Options:
  • Over +60,000 SFRH5 96.75/97.75 call spds, 4.5-4.75
  • Block, 10,000 SFRH5 96.00/0QH5 97.00 call spds, 0.0 net, front March over
  • 4,000 TYN4 110.5 calls, 1 ref 110-14.5
  • 3,000 Wednesday weekly 10Y 109.25/109.5/109.75/110 put condors (expire June 26)
  • +8,000 SFRQ4 94.37/94.43 put strip 0.5 vs. 94.84/0.05
  • +15,000 0QU4 95.50/95.75 2x1 put spds 1.0 ref 95.94
  • -10,000 SFRU4 94.75 puts, 3.25 vs. 94.88/0.05%
  • +5,000 2QQ4 96.37/96.87/97.25 call flys, 11.25 ref 96.365
  • -20,000 SFRZ5 97.50/98.50 call spds, 9.75 vs. 96.125/0.10%
  • -13,000 SFRN4/SFRQ4 95.12/95.37 call spd strip, 0.5
  • 1,750 SFRZ4 95.00/95.12/95.25/95.37 call condors ref 95.145