Late SOFR/Treasury Option Roundup: Mostly Calls

Except for a large scale buyer of Sep midcurve puts Tuesday, SOFR options continued to favor upside calls, Treasury options more mixed on lighter volumes as underlying futures trade mildly weaker. Projected rate cut pricing looks steady to fractionally lower by year end vs. early Tuesday levels (*): July'24 at -4.5% w/ cumulative at -1.1bp at 5.318%, Sep'24 cumulative -18.9bp (-19.7bp), Nov'24 cumulative -30.2bp (-30.1bp), Dec'24 -49.9bp (-50.1bp). Salient flow includes:

• SOFR Options:
  • +10,000 SFRX4/SFRZ4 95.25/95.37/95.50/95.62 call fly strip, 3.75
  • 2,500 SFRZ4 95.18/95.25/95.31/95.37 call condors ref 95.50
  • Block/screen, +67,000 0QU4 95.00 puts 1.0 ref 96.00
  • Block, 5,000 SFRU4 95.00/95.06 call spds, 0.5 ref 94.865
  • Block, +5,000 SFRU4 95.00/95.06 call spds, 0.5 adds to prior buys, +30k total
  • Block, 10,000 2QZ4 95.50 puts, 6.5 vs. 96.365/0.15%
  • 1,500 SFRU5 95.25/95.75 2x1 put spds
  • +5,000 SFRM5 97.00 calls, 12.0 vs. 95.77/0.15%
  • +5,000 SFRU4 95.50/95.75 call spds, 0.25 vs. 94.895/0.05%
  • +15,000 SFRU4 95.00/95.06 call spds, 0.5 ref 94.87 (ongoing buyer)
  • +2,000 0QZ4 96.00 straddles, 68.0 ref 95.195
  • over 11,300 SFRV4 95.31 calls, 10.5 last
  • over 5,600 SFRV4 94.43 calls and 4,800 SFRV4 95.50 calls
  • Block, 4,000 SFRZ4 95.25/95.37/95.50/95.62 call condors, 1.75 ref 95.195
  • 2,000 SFRV4 94.75/95.18 put spds ref 95.205
  • 6,000 0QU4 96.12/96.50 call spds vs. 3QU4 96.50/96.87 call spds
• Treasury Options:
  • -12,500 TYU4 109/112 strangles 47 to 49
  • 2,000 TYQ4 110/110.5 strangles 55 ref 110-09
  • 3,000 USQ4 120/121.5/122.5 call trees ref 118-18
  • over 11,300 TYQ4 109 puts, 7
  • 3,700 TYQ4 111 calls, 21 last
  • 4,000 TYQ4 111.5 calls, 13 last
  • 1,145 FVU4 105.5/106.25 put spds vs. 107.25/108.75 call spds