Late SOFR/Treasury Option Roundup: Heavy Volumes on Mixed Trade

SOFR and Treasury option flow remained mixed late Thursday, two-way trade on heavy volumes with some large unwinds and position adds in calls and puts alternating through the day. Underlying futures see-sawed higher in late trade as stocks climbed back to pre-CPI levels. Projected rate cut pricing gained slightly vs. late Wednesday levels: May 2024 at -2.6% w/ cumulative -.6bp at 5.322%; June 2024 at -22.6bs vs. -16.2% earlier (-55.1% pre-CPI) w/ cumulative rate cut -6.3bp at 5.226%. July'24 cumulative at -14.1bp, Sep'24 cumulative -25bp.

• SOFR Options:
  • 9,000 SFRJ4 94.75/94.81/95.00/95.06 put condors
  • Block, 6,000 SFRM4 94.56 puts, 1.0 vs. 94.74/0.10%
  • -20,000 SFRK4 94.75/94.81/94.87/94.93 put condors, 1.0 ref 94.74
  • -5,000 0QU4 95.62 straddles, 70.0 ref 95.595
  • +4,000 SRM4 94.81/94.93/95.06 call flys 1.5 ref 9474
  • -4,000 SRM4/SRN4 95.00 call spds 9.25
  • +5,000 SRM4 9462/9468 put spds .25 over 9475/9481 call spds
  • +10,000 SRM4 94.75/95.00 call spds 3.75 ref 9474.5
  • -5,000 SFRM4 94.68/94.75 put spds, 4.25 ref 94.73
  • Block, 8,200 SFRZ4 93.75/94.50 2x1 put spds, 4.0
  • Block, 16,000 SFRU4 94.75/94.87 put spds 7.0
  • 2,650 SFRU4 94.50/94.75/95.00/95.12 broken put condors ref 94.875
  • 3,500 SFRZ4 93.75/94.50 2x1 put spds ref 95.07 to -.075
  • 1,000 SFRM4 94.68/94.81/94.87/95.00 call condors ref 94.73
  • 4,000 SFRN4 95.75 calls vs. SFRU4 95.62/96.50 call spds
  • 4,000 SFRU4 94.62/94.87/94.93/95.06 put condors ref 94.865
  • 2,500 SFRU4 94.62/94.87 put spds ref 94.865
  • 1,500 SFRU4 95.00/95.25/95.50/95.75 call condors ref 94.87
  • 2,000 SFRU4 94.87/95.12/95.37/95.62 call condors ref 94.88
  • 1,000 SFRK4 94.62/94.68/94.75/94.71 call condors ref 94.725
• Treasury Options:
  • 10,000 TYM4 110.5/111.5/112.5 call flys, 3 ref 108-06.5
  • 5,000 USK4 115/116 put spds, 34 ref 115-03
  • +10,000 TYM4 109 calls, 43 vs. 108-03
  • +10,000 TYK4 109.5/110 call spds, 3
  • +29,545 TYM4 108 puts, 61 ref 108-06 to -05
  • +8,900 FVM4 105.25 puts, 47 ref 105-08
  • 2,000 TYM4 111/112/113 call flys, 5 ref 108-04.5
  • Block, 14,000 TYM4 108 puts, 56 vs. 108-09/0.30%
  • +30,000 TYM4 111/112/113 call flys, 3 ref 108-11 to -10
  • 2,500 TYK4 107/108 put spds, 16 ref 108-09.5
  • over 5,000 USK4 112/114 put spds, 29 ref 115-24
  • +6,000 TYM4 109.5 calls, 33, total volume over 18k
  • 15,000 TYM4 109 calls, 43
  • 3,500 TYM4 107 puts, 36 ref 108-06.5 to -07
  • over 17,500 FVK4 104.75/105.25 put spds vs. FVK4 105.75 calls
  • 1,500 FVM4 105/106.5 put spds ref 105-08.75
  • 2,500 TYK4 107/107.5 put spds ref 108-09.5
  • 5,000 TYK4 108/109 put spds ref 108-09
  • 5,000 TYK4 107/108 put spds
  • 7,500 TYK4 107/107.5/108 put flys, 1 ref 108-12.5