Late SOFR/Treasury Option Roundup: Large Call Buys, Put Unwinds Noted

Better SOFR, Treasury option put trade reported on net early Monday followed by some large unwinds/repositions and upside calls in the second half as the sell-off in underlying futures stalled since midday. Projected rate cut pricing recedes from Friday's levels: May 2024 at -4.7% w/ cumulative -1.2bp at 5.317%; June 2024 at -19.8% vs. -22.6% (compares to -55.1% pre-CPI) w/ cumulative rate cut -6.1bp at 5.286%. July'24 cumulative at -14.4bp vs -16.9bp earlier, Sep'24 cumulative -25.9bp vs. -28.8bp.

• SOFR Options:
  • +65,000 SFRZ4 98.50/99.00 call spds 0.5 vs. 95.065/0.05%
  • -20,000 SFRM4 94.81/94.93 put spds 1.75 over SFRU4 94.87/95.00 put spreads
  • -10,000 SRM4 94.87 calls vs 0QM'4 96.50 calls 1.75
  • +10,000 0QN4 94.37/94.75 put spread vs SRK4 94.68 puts 0.75
  • +3,500 SRN4 94.62/94.75/94.87 put trees 3.25
  • -7,500 0QK4 95.75 calls 5.0 ref 95.40
  • +5,000 SFRZ4 97.50/98.50 call spds 8.5
  • +2,000 SRQ4 94.62/94.87/95.00 put flys 3.75 ref 94.875
  • -5,000 0QK4 95.62 calls, 7.5 vs. 95.385 to -.39/0.30%
  • -12,500 0QK4 96.00 calls, 2.5-2.0 vs. 95.37/0.10%
  • Block, 5,000 SFRU4 95.75/96.00 call spds, 1.0 ref 94.89
  • 2,000 0QZ4 96.00/96.50 call spds ref 95.715
  • 2,000 SFRK4 94.68 puts vs. 3,000 SFRM4 94.62/94.68 put spds
  • 5,000 SFRH5 94.62 puts ref 95.265
  • +29,250 SFRU4 94.75 puts, 9.0 vs. 94.94/0.32%
  • 1,000 SFRH4 94.62/95.12 2x1 put spds vs. 3,000 SFRU4 94.75 puts
  • 1,500 SFRM4 94.62/94.68/94.75/94.81 call condors
• Treasury Options:
  • 3,750 TYM4 108/109.5 1x2 call spds, 8 ref 107-29
  • 9,250 TYK4 109.75 calls, 4 ref 107-28.5
  • 3,350 USK4 115 puts, 1-23 ref 114-04
  • 10,000 TYM4 108.5 calls, 51 ref 107-27
  • Block, -14,000 TYM4 108 puts, 106 vs. 107-27/0.50%
  • +10,000 TYK4 107.75 puts, 28 vs. 107-30.5
  • 7,800 wk3 10Y 107.5 puts, 7 ref 108-07.5
  • +9,000 TYK4 110.25 calls, 5
  • 2,000 wk1 10Y midcurve 107/107.25/108/108.25 put condors ref 108-12
  • -10,000 Monday 10Y midcurve 108/108.5 put spds 12-14