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Late SOFR/Treasury Option Roundup: Pre-FOMC Positioning

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Better SOFR option volume on the week opener, option desks reported some larger position unwinds strike adjustments in the lead-up to this Wednesday's FOMC policy annc. Carry-over support in underlying futures (SFRU4 +.025 at 95.17; SFRZ4 +0.035 at 96.00) remains strong as speculation over more than a 25bp rate cut Wednesday. Projected rate hikes through year end look largely steady vs. early morning levels (*) : Sep'24 cumulative -41.0bp (-40.6bp), Nov'24 cumulative -78.2bp (-79.1bp), Dec'24 -119.8bp (-120.0bp).
  • SOFR Options:
    • -5,000 SRZ4 95.62/95.87 2x1 put spds with 95.18/95.81 2x1 put spd strip, collecting 8.5-8.25 on double sale
    • over -80,000 SFRH5 96.75/97.50/97.75/98.50c condor, 12.0 to 12.25 ref 96.63
    • Block, 8,162 SFRH5 96.75/97.75 call spds, 19.5 vs. 96.64/0.28%
    • -5,000 SFRZ4 94.81 calls, 117.5 vs. 95.99/1.00%
    • -12,000 SFRM5 97.00/97.50 call spds, 16.75 ref 96.985
    • +5,000 SFRH5 97.00/98.00 call spds vs 0QH5 98.00/99.00 call spds 5.5
    • +15,000 SFRZ4 95.81/95.93/96.12 put trees 1.00 to 1.25 ref 9600
    • +5,000 SFRZ4 95.62/95.75/95.87 put flys 1.75 ref 96.00
    • +5,000 SFRV4 95.75/96.00/96.25 call flys 8.0 ref 96.01
    • -7,000 SFRZ4 95.75 puts 5.25 over 96.25/96.37 call spds ref 96.005
    • Block, 15,000 SFRZ4 96.25/96.37 call spds 2.5
    • Block, +10,000 SFRX4 96.25/96.37 call spds, 2.25 ref 96.005
    • 4,000 SFRZ4 96.50 calls ref 95.99
    • 4,000 2QZ4 96.50/96.87 put spds ref 97.135
    • 2,000 SFRX4 96.25/96.50/96.62 broken call flys ref 95.985
    • 4,000 SFRV4 95.68/95.75 put spds vs 0QV4 96.62/96.75 put spds
    • 10,000 SFRV4 96.00/96.12/96.18/96.31 call condors ref 95.99 to -.985
    • 7,000 SFRV4 96.00/96.12 call spds ref 95.995
    • 2,000 SFRZ4 95.25/95.37/95.50/95.62 call condors ref 95.995
    • 2,000 2QZ4 96.56/96.68/96.81/96.93 put condors ref 97.155
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Better SOFR option volume on the week opener, option desks reported some larger position unwinds strike adjustments in the lead-up to this Wednesday's FOMC policy annc. Carry-over support in underlying futures (SFRU4 +.025 at 95.17; SFRZ4 +0.035 at 96.00) remains strong as speculation over more than a 25bp rate cut Wednesday. Projected rate hikes through year end look largely steady vs. early morning levels (*) : Sep'24 cumulative -41.0bp (-40.6bp), Nov'24 cumulative -78.2bp (-79.1bp), Dec'24 -119.8bp (-120.0bp).
  • SOFR Options:
    • -5,000 SRZ4 95.62/95.87 2x1 put spds with 95.18/95.81 2x1 put spd strip, collecting 8.5-8.25 on double sale
    • over -80,000 SFRH5 96.75/97.50/97.75/98.50c condor, 12.0 to 12.25 ref 96.63
    • Block, 8,162 SFRH5 96.75/97.75 call spds, 19.5 vs. 96.64/0.28%
    • -5,000 SFRZ4 94.81 calls, 117.5 vs. 95.99/1.00%
    • -12,000 SFRM5 97.00/97.50 call spds, 16.75 ref 96.985
    • +5,000 SFRH5 97.00/98.00 call spds vs 0QH5 98.00/99.00 call spds 5.5
    • +15,000 SFRZ4 95.81/95.93/96.12 put trees 1.00 to 1.25 ref 9600
    • +5,000 SFRZ4 95.62/95.75/95.87 put flys 1.75 ref 96.00
    • +5,000 SFRV4 95.75/96.00/96.25 call flys 8.0 ref 96.01
    • -7,000 SFRZ4 95.75 puts 5.25 over 96.25/96.37 call spds ref 96.005
    • Block, 15,000 SFRZ4 96.25/96.37 call spds 2.5
    • Block, +10,000 SFRX4 96.25/96.37 call spds, 2.25 ref 96.005
    • 4,000 SFRZ4 96.50 calls ref 95.99
    • 4,000 2QZ4 96.50/96.87 put spds ref 97.135
    • 2,000 SFRX4 96.25/96.50/96.62 broken call flys ref 95.985
    • 4,000 SFRV4 95.68/95.75 put spds vs 0QV4 96.62/96.75 put spds
    • 10,000 SFRV4 96.00/96.12/96.18/96.31 call condors ref 95.99 to -.985
    • 7,000 SFRV4 96.00/96.12 call spds ref 95.995
    • 2,000 SFRZ4 95.25/95.37/95.50/95.62 call condors ref 95.995
    • 2,000 2QZ4 96.56/96.68/96.81/96.93 put condors ref 97.155