Late SOFR/Treasury Option Roundup: Leaning Bullish

Volumes on two-way SOFR/Treasury option trade picked up Thursday, leaning bullish as underlying futures climbed back to early April levels after PPI miss, weekly claims gain and strong 30Y bond auction reopen. In-turn, rate cut projections climbed back near pre-FOMC levels (*): July'24 at -12% (-14%) w/ cumulative at -3bp (-3.8bp) at 5.298%, Sep'24 cumulative -20bp (-20.9bp), Nov'24 cumulative -29.3bp (-31.7bp), Dec'24 -50.4bp (-50.7bp).

• SOFR Options:
  • -5,000 SFRZ4 94.37/94.43/94.62/94.68 put condor, 0.25 ref 95.215
  • -5,000 SFRZ4 95.31/95.56 call spds 4.5 over 94.37/94.62 put spds
  • +5,000 SFRN4 94.68/94.75/94.93/95.00 Iron Condor 1.25 ref 94.865
  • +5,000 SFRZ4 95.43/95.68/95.25/95.50 Iron condor 7.0 ref 95.17
  • -12,000 SFRM4 94.62/94.68/94.75/94.81 call condors 3.0 ref 94.655
  • -5,000 SFRV4/SFRZ4 95.37/95.50 call spds strip 4.75-5.0 ref 95.16
  • 20,000 SFRZ4 95.50 puts, 43 vs. 95.185/0.72, total +30k/day
  • Block, 12,000 SFRU4 95.00/95.50 call spds 2.0 ref 94.84
  • 45,700 SFRU4 95.12/95.18 call spds ref 94.84
  • 3,500 SFRU4 94.68/94.75/94.81/94.87 put condors ref 94.845
  • 6,500 SFRU4/SFRZ4 94.62/94.75 put spd spd
  • 2,000 0QN4 95.75/95.87 call spds ref 95.88
• Treasury Options:
  • -10,600 TYU4 112 calls, 43
  • +15,000 FVU4 108 calls, 29
  • 5,000 TYQ4 112 calls, 21 ref 110-14
  • 3,000 FVQ4 107 calls
  • 1,300 USQ4 115/123 strangles, 56
  • 2,00 TYQ4 105.5/108.5 put spds ref 110-17
  • -4,000 TYN4 109 puts, 1 ref 110-16
  • +32,000 TYN4 111 calls (expire next week Fri) 8.5-9.0 over the wk2 TY 111 calls (expiring tomorrow), ref 110-17.5
  • 4,000 TYU4 111/112.5 1x2 call spds vs. TYU 107/108/109 put trees
  • over 7,100 FVN4 106.25 puts, 5 last
  • over 6,400 FVQ4 106.25 puts, 22 last
  • 3,200 FVN4 106.75/FVQ4 107.25 call spds
  • 2,200 FVN4 107/FVQ4 107.25 call spds
  • 7,400 TYN4 109 puts, 3 last ref 110-06
  • 4,000 TYN4 111/112.5 call spds ref 110-08
  • 4,000 TYU4 107.5/108.5/109.5 put trees