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Late SOFR/Treasury Option Roundup: Large Treasury Call Buying Late

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SOFR and Treasury option turned mixed on net Thursday, SOFR focus remained on downside puts as underlying futures remained weaker after this morning's higher than expected S&P Global US PMI data. Treasury options segued to large upside call buying in 10s, discounting the drop in projected rate cuts by year end. Rate cut projections have receded vs late Wednesday levels (*): June 2024 at -0% w/ cumulative rate cut 0.0bp at 5.328%, July'24 at -10.0% (-16.0%) w/ cumulative at -2.5bp (-5.2bp) at 5.302%, Sep'24 cumulative -14.2bp (-17.8bp), Nov'24 cumulative -21.2bp (-26.2bp), Dec'24 -34.8bp (-40.6bp).
  • SOFR Options:
    • +5,000 0QM4 95.18/95.31 put spds 4.0 vs. 95.40/0.14%
    • -15,000 SFRZ4 94.68/94.93 put spds vs 95.18 calls vs. 95.01 to .015/0.50%
    • +5,000 0QM4 95.18/95.31 put spds, 4.0 vs. 95.40/0.14%
    • +5,000 SFRH5 94.87 puts vs. 95.215/0.30% w/ 0QU4 95.00 puts vs. 95.595/0.16%, 22.5 total
    • +14,000 SFRM4 94.68/94.75 call spds, 0.5 vs. 94.6825 to .67/0.10%
    • -2,500 0QH4 95.87 straddles, 88.5 vs. 95.86
    • +4,000 SFRM4 94.68/94.75 call spds, 0.5 vs. 94.6825/0.10%
    • +4,000 SFRH5 94.75/95.06 2x1 put spds 0.75 ref 95.285
    • Block, 5,000 SFRZ4/SFRH5 95.00/95.50 2x1 put spd spds, 10.0 net/Dec over
    • 1,500 SFRU4 95.00/95.12/95.25 call spds
    • 4,000 SFRV4 95.50/95.87 call spds vs. 94.68 puts ref 95.055
    • 2,000 0QM4 95.56/95.75/95.93 call flys ref 95.495
    • 2,000 0QM4 95.62/95.75 call spds vs. 95.25/95.37 put spds ref 95.515
  • Treasury Options: Reminder, June options expire Friday
    • +52,500 TYN4 110 calls, 18 vs. 18-31.5/0.27%, total volume >70k
    • +10,000 TYU4 109 calls, 115 ref 109-00.5
    • +16,000 TYU4 109 straddles, 2-34 ref 108-26.5 to -31 (expire Aug 23)
    • 6,000 TYN4 110.5 calls, 18 ref 109-12.5 to -13
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SOFR and Treasury option turned mixed on net Thursday, SOFR focus remained on downside puts as underlying futures remained weaker after this morning's higher than expected S&P Global US PMI data. Treasury options segued to large upside call buying in 10s, discounting the drop in projected rate cuts by year end. Rate cut projections have receded vs late Wednesday levels (*): June 2024 at -0% w/ cumulative rate cut 0.0bp at 5.328%, July'24 at -10.0% (-16.0%) w/ cumulative at -2.5bp (-5.2bp) at 5.302%, Sep'24 cumulative -14.2bp (-17.8bp), Nov'24 cumulative -21.2bp (-26.2bp), Dec'24 -34.8bp (-40.6bp).
  • SOFR Options:
    • +5,000 0QM4 95.18/95.31 put spds 4.0 vs. 95.40/0.14%
    • -15,000 SFRZ4 94.68/94.93 put spds vs 95.18 calls vs. 95.01 to .015/0.50%
    • +5,000 0QM4 95.18/95.31 put spds, 4.0 vs. 95.40/0.14%
    • +5,000 SFRH5 94.87 puts vs. 95.215/0.30% w/ 0QU4 95.00 puts vs. 95.595/0.16%, 22.5 total
    • +14,000 SFRM4 94.68/94.75 call spds, 0.5 vs. 94.6825 to .67/0.10%
    • -2,500 0QH4 95.87 straddles, 88.5 vs. 95.86
    • +4,000 SFRM4 94.68/94.75 call spds, 0.5 vs. 94.6825/0.10%
    • +4,000 SFRH5 94.75/95.06 2x1 put spds 0.75 ref 95.285
    • Block, 5,000 SFRZ4/SFRH5 95.00/95.50 2x1 put spd spds, 10.0 net/Dec over
    • 1,500 SFRU4 95.00/95.12/95.25 call spds
    • 4,000 SFRV4 95.50/95.87 call spds vs. 94.68 puts ref 95.055
    • 2,000 0QM4 95.56/95.75/95.93 call flys ref 95.495
    • 2,000 0QM4 95.62/95.75 call spds vs. 95.25/95.37 put spds ref 95.515
  • Treasury Options: Reminder, June options expire Friday
    • +52,500 TYN4 110 calls, 18 vs. 18-31.5/0.27%, total volume >70k
    • +10,000 TYU4 109 calls, 115 ref 109-00.5
    • +16,000 TYU4 109 straddles, 2-34 ref 108-26.5 to -31 (expire Aug 23)
    • 6,000 TYN4 110.5 calls, 18 ref 109-12.5 to -13