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Late SOFR/Treasury Option Roundup: Large SOFR Call Spread

US TSYS
SOFR and Treasury options remained mixed on net with some large SOFR call spreads trading in the second half: appr $30M premium on Sep rate cut hedge ahead of Fed Chairman Powell's speech at Friday's Jackson Hole eco-summit. Projected rate cuts through year end have cooled vs. early Thursday levels (*): Sep'24 cumulative -31.3bp (-32.7bp), Nov'24 cumulative -63.1bp (-67.2bp), Dec'24 -96.7bp (-100.4bp).
  • SOFR Options:
    • over +100,000 SFRU4 95.31/95.43 call spds, 0.5
    • +10,000 SFRH5 98.00 calls 4.5
    • Block, 3,000 SFRZ4 95.18 puts, .125 ref 95.795
    • Block, 5,000 SFRZ4 96.00/96.12/96.25 call flys, 0.5
    • 20,000 SFRU4 95.37/95.43 call spds ref 95.0875 to -.09
    • 10,000 SFRU4 95.06/95.18/95.37 call trees ref 95.0925
    • 4,600 SFRU4 95.06/95.12/95.18/95.25 call condors ref 95.0925
    • 3,000 SFRZ4 96.12/96.25/96.37 call flys ref 95.755
    • 2,500 SFRZ4 95.62/95.75/95.87 put flys ref 95.755
    • 10,000 SFRV4 95.62/95.75/95.87 put flys ref 95.76
    • 2,500 SFRX4 95.75/95.93/96.00/96.25 call condors ref 95.755
    • 10,000 SFRU4 95.00 puts
    • 16,000 SFRU4 95.06 puts
    • 16,000 SFRU4 95.12 puts
    • 3,200 SFRV4 95.75 puts ref 95.78 to -.785
  • Treasury Options:
    • +4,000 wk4 TY 113 puts, 4 vs. 113-20/0.08%
    • -5,000 TYX4 114 straddles, 231
    • +16,000 FVU4 108.25/108.5 put spds, 1 expires Friday
    • 5,000 FVU4 108 puts, .5
    • 1,800 FVX4 110.5/111 call spds
    • 2,000 TYX4 112/114 2x1 put spds ref 114-05
    • 2,500 TYX4 115/116 call spds ref 114-07
    • over 5,900 TYU4 113 puts, 3 last
    • over 4,900 TYU4 113.25 puts, 8 last
    • 3,200 TYU4 114.5 calls, 3 last ref 113-26
    • 3,000 USU4 123/124.5 call spds ref 124-28
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