Late SOFR/Treasury Option Roundup: Heavy Bullish Trade Post-CPI Miss

Heavy SOFR and Treasury options leaned bullish Thursday as underlying futures held strong gains in the aftermath of this morning's lower than expected June CPI inflation data. The bull steepening rally that saw 2- and 5Y yields slip to mid-March levels, also saw projected rate cut pricing into year end gain momentum: July'24 at -4.5% w/ cumulative at -2.1bp at 5.307%, Sep'24 cumulative -24.9bp (-18.6bp pre-data), Nov'24 cumulative -40.1bp (-31bp pre-data), Dec'24 -61.5bp (-50.5bp pre-data). Salient flow includes:

• SOFR Options:
  • +5,000 SFRU4 95.18/95.31 call spds 0.5 ref 94.94
  • +5,000 SFRU4 95.00/95.12 call spds vs 94.75 puts +1.0 ref 94.945
  • +15,000 SFRZ4 95.00/95.18/95.37 call flys 5.25 ref 95.315
  • +10,000 SFRH5 95.37/95.75 2x1 put spds +3.5-3.75 ref 95.66
  • -6,000 SFRQ4 94.87 puts 2.25 vs. 94.92/0.26%
  • +5,000 SFRQ4 95.00/95.12 call spds, 1.0 ref 94.93
  • 8,000 SFRU4 95.06/95.12 call spds, 0.62 ref 94.93
  • -5,000 SFRU4 94.68/94.81/95.00 call flys, 0.75 vs. 94.91/0.24%
  • +10,000 SFRZ4 95.50 calls, 11.5 vs. 95.31/0.34%
  • +5,000 SFRZ4 94.93/95.06/95.25/95.37 call condors 4.5 ref 95.295
  • -5,000 0QU4 96.25/965.0 call spds, 8 ref 96.19
  • -5,000 SFRZ4 94.75/95.00 put spds .25 over 95.50/95.75 calls spd
  • Block, 5,000 SFRU4 94.68/94.93 put spds, 5.5
  • 5,000 SFRU4 94.75/94.87 put spds ref 94.93
  • Block, 8,000 SFRU4 95.12/95.25 call spds, 0.75 vs. 94.94/0.05%
  • Block, -60,000 SFRZ4 94.75 puts, 2.0 from 0750-0801ET, more on screen
  • Block, 4,000 SFRV4 95.37/95.87 call spds 5.5 vs. 95.23/0.10%
  • Block, 4,000 SFRZ4 95.00 puts, 8.0 ref 95.195/0.20%
  • 10,000 0QU4 96.37/96.87 call spds vs. 2QU4 96.75/97.25 call spds
  • 4,000 SFRZ4 94.93 puts ref 95.20
  • Block, 3,000 SFRZ4 95.00 puts, 8.0 ref 95.205
  • 3,000 SFRZ4 94.87/95.00 put spds vs. 95.25/95.37 call spds ref 95.20
  • 10,000 SFRZ4 95.25/95.37/95.50 call flys ref 95.205
  • 7,000 SFRZ4 95.25/95.37/95.50/95.62 call condors
  • 6,000 SFRZ4 95.00/95.25/95.50 call flys
• Treasury Options:
  • -13,000 TYU4 107/108/109 put trees, 3 ref 111-06.5 to -05
  • 2,000 TYU4 111.5 straddles, 152
  • 2,000 TYU4 111 straddles, 147
  • 1,500 TYU4 108/109.5 2x1 put spds
  • 14,000 wk2 FV 107.75 calls, 0.5 ref 106-29 to -29.25
  • Block, 4,000 wk1 TY 109.5/110.5/111.5 call flys, expire Aug 2
  • 5,500 wk2 TY 111.5/111.75 call spds, expire tomorrow
  • 4,700 TYU4 109.5 puts, 31 ref 110-16.5
  • 4,800 TYQ4 111.25 calls, 14 ref 110-15 to -14.5
  • 17,000 TYQ4 111/111.5 call spds, 9 ref 110-13