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Late SOFR/Treasury Option Roundup: Projected Rate Cut, Hedging Gains

US TSYS
Modest SOFR and Treasury option volume leaned bullish after Tuesday's soft retail sales helped underlying futures rally back to late Friday levels. Projected rate cut pricing regaining momentum (but still off Friday highs). Post-Retail Sales vs. pre-data: July'24 steady at -8% w/ cumulative at -2bp at 5.307%, Sep'24 cumulative -18.1bp (-16.1bp), Nov'24 cumulative -27.8bp (-25.3bp), Dec'24 -48.3bp (-44.5bp).
  • SOFR Options:
    • +7,000 SFRZ5 94.50 puts 11.0 vs. 96.115/0.45%
    • +7,500 SFRX4 94.75/94.87/95.00 put flys 2.0 ref 95.17
    • +4,000 SFRZ4 95.00/95.25 put spds v 95.50 calls 3.75 vs. 95.155/0.47%
    • +8,000 0QZ4 94.75 puts 3 vs. 96.10/.06%
    • Block, +9,500 SFRZ4 94.75/94.87 put spds, 3.25 ref 95.18
    • 2,000 2QX4 95.75/96.75 strangles ref 96.305
  • Treasury Options:
    • 3,500 TYN4 111/111.5 call spds, 7 ref 110-23.5
    • 2,100 USN4 119/121 strangles, 17
    • 10,000 wk4 TY/TYN4 111 call spd, 8 ref 110-19
    • 3,000 TYQ4 110.5/111.5/112 call trees, 6
    • 4,000 TYQ4 114/115 call spds, ref 110-19.5
    • over 9,500 TYU4 113.5 calls ref 110-19 to -19.5
    • 4,000 FVN4 107.25/107.75 call spds ref 106-29.5
    • 16,500 TYN4 111 calls, 7 ref 110-21
    • 2,500 USU4 117/122 strangles ref 119-11
    • 2,000 TYQ4 109.5/109.75 put spds ref 110-08.5
    • 7,600 TYN4 109 puts, 1 ref 110-09 to -08.5
    • 2,000 TYN4 111/112 call spds ref 110-09.5
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