Late SOFR/Treasury Option Roundup: Mixed Ahead Friday Jobs Data Risk

SOFR and Treasury option flow remained mixed Thursday. Low delta put joining better upside call buying all week. Heavy short end buying (appr +300k ESFRM4 in late trade) as specs join of Friday's May employment data. Late session short end support has supported late year rate cut projections vs. late Wednesday levels (*): June 2024 at -3.8% w/ cumulative rate cut -.9bp at 5.323%, July'24 at -18% w/ cumulative at -5.4bp (-4.3bp) at 5.278%, Sep'24 cumulative -21.3bp (-20.2bp), Nov'24 cumulative -30.7bp (-28.9bp), Dec'24 -49.7bp (-47bp).

• SOFR Options:
  • 8,900 SFRZ4 95.12 calls ref 95.17
  • -5,000 SFRN4 94.68/94.75/94.93/95.00 iron condors, 2.25 ref 94.88
  • +5,000 SFRZ4 94..62/94.75 2x1 put sods, 0.0 vs. 95.17/0.05%
  • -2,000 0QV4 95.75 straddles, 62.5 ref 96.01
  • +5,000 0QM4 95.93/96.12 call spds, 2.0
  • 4,000 SFRU4 94.93/95.06/95.18 call flys, ref 94.88
  • 4,000 SFRH5 94.87 puts ref 95.435
  • 1,000 SFRU4 94.87/95.00/95.12 2x5x3 call flys ref 94.899
  • 1,500 SFRZ4 96.00/96.50/97.00 call flys ref 95.16
  • 2,000 SFRZ4 95.5/96 call spds, ref 95.155
• Treasury Options
  • Block, 15,000 wk2 FV 107.25 calls, 14.5 ref 106-24
  • Block, 30,000 wk2 FV 107 calls 19 ref 106-24.5
  • +15,000 wk2 TY 109.5/111 call over risk reversals 0.0 vs. 110-06/0.59%
  • 5,000 wk2 10Y 109.5 puts, 17 ref 110-08
  • 5,000 wk2 10Y 110/110.5 call spds ref 110-07.5
  • 3,300 TYU4 110 puts, 1-10 ref 110-09
  • 1,500 FVN4 107.25/108 1x2 call spds ref 106-24.5
  • +7,500 TYN4 109.5/111.5 strangles, 35-34
  • 2,000 FVN4 105.5/105.75/106/106.25 call condors ref 106-25.25
  • 2,000 TYQ4 107/108.5/110 put flys ref 110-06.5
  • 2,000 USN4 116/118 put spds, 35 ref 118-30
  • 4,500 TYU4 110 straddles, 240-236 ref 110-06
  • 11,000 wk2 FV 107.5/107.75 call spds, ref 106-23.25 to -23.5
  • 4,200 TYU4 113/115 call spds ref 110-07