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Late SOFR/Treasury Option Roundup: Mixed as Rate Cut Pricing Cools

US TSYS

Monday's FI option trade remained mixed by the bell, more consistent put trade in SOFR options, while Treasury options saw better calls (with exception of large Aug'24 10Y 110 put sale). Underlying futures remain weaker, short end selling sees rate cut projections cooling vs. late Friday levels (*): July'24 at -8% (-12%) w/ cumulative at -2bp at 5.307%, Sep'24 cumulative -17bp (20bp), Nov'24 cumulative -26.1bp (-29.9bp), Dec'24 -45.6bp (-50.5bp).

  • SOFR Options:
    • +3,500 SFRU4 95.00/95.37 call spds, 2.0 vs. 94.85/0.05%
    • +9,000 SFRZ5 94.50 puts, 11.5 vs. 96.065/0.14%
    • Block, 5,000 SFRZ4 94.93/95.18/95.56 broken call flys, 2.75 net vs. 95.18/0.05%
    • +4,000 0QU4 96.25/96.50/96.75 call fly 2.25 ref 95.925
    • +4,000 SFRH5 94.50/94.68/94.87/95.06 put condor 4.25 ref 95.445
    • SFRN4 94.93/95.06 1x2 call spds, 0.0 ref 94.845
    • +6,000 SFRV4 94.87/95.00/95.12 put trees 2.25 ref 95.155
    • +5,000 SFRV4 94.87/95.00/95.12 put trees, 2.25, sizing offers
    • +5,000 SFRU4 94.62/94.68/94.75 put trees, 2.0
    • 5,000 SFRU4 94.62/94.75 2x1 put spds ref 94.855
    • 3,000 SFRZ4 95.37/95.50 put spds ref 95.175
    • 2,000 SFRU4 95.12/95.18 call spds ref 94.855
    • 1,000 SFRZ4 95.50/96.00/96.50 call flys ref 95.17
  • Treasury Options:
    • 30,000 TYU4 110 puts, 100 ref 110-12.5
    • -5,000 TYU4 110.5 straddles, 224-226
    • 4,000 TYQ4 111 calls, 41 ref 110-11
    • 2,000 USU4 115 puts, 50
    • 1,300 USN4/USU4 120 call calendar spd, 1-63
    • 2,900 WNN4 125/WNQ4 127 call spds ref 127-19
    • 1,500 TYN4 110/110.75 put spds, 16 ref 110-19.5
    • 1,900 TYU4 111/112.5 1x2 call spds ref 110-20
    • 1,328 TYU4 112/113.5/115 call flys ref 110-22.5
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