Free Trial

Late SOFR/Treasury Option Roundup, Put Unwinds

US TSYS

Option desks reported two-way put trade in SOFR and Treasury options Friday. Better SOFR put buying was noted prior to the July employment data as accounts hedged a gradual increase in rate hike projections. Looking past the stronger than expected AHE data (4.361% in Jul from 4.413% in Jun), the lower than expected (but still solid) job gain of +187k vs. +200k est. spurred a strong rally in underlying futures. In turn, rate hike projections declined, spurring various put unwinds or repositioning to higher strikes. Fed funds: Sep 20 FOMC is 13% vs. 17% w/ implied rate change of +3.2bp to 5.360%. November cumulative of +8bp at 5.407, December cumulative of 3.8bp at 5.3667%. Fed terminal slips to 5.405% in Nov'23. Salient trade includes:

  • SOFR Options:
    • -10,000 SFRZ3 94.25 puts, 3.5 ref 94.625
    • 5,000 SFRZ3 96.00/96.50 call spds ref 94.60
    • 2,000 SFRV3 94.37 puts, 4.5 ref 94.595
    • Block 2,500 SFRM4 94.37/94.50 put spds 4.0 vs. 95.10/0.05%
    • Block/screen, 20,000 SFRV3 94.50 puts, 7.5 vs. 94.625/0.35%
    • 20,400 SFRZ3 95.50/96.50 call spds ref 94.60
    • 28,000 OQZ3 95.75 puts, 35.5-36.5 ref 95.83 to -.81
    • 1,000 SFRH4 94.37/94.62/94.87 put flys ref 94.84
    • 6,500 SFRQ3 94.43/94.56 put spds, ref 94.59
  • Treasury Options:
    • 2,500 TYU3 109.5 puts vs. TYV3 114.5 calls, 6 net Oct over
    • 20,000 wk3 TY 107.5/109 put spds 10-9 ref 110-16 to 110-26
    • -15,000 TYU3 109/110 put spds 21 vs. 110-12 to -10.5/0.17%
    • 5,000 FVU3 109 calls, 2.5 ref 106-09.25
    • -7,000 FVU 106.25/106.5 put spds, 8.5 ref 106-06.5
    • 2,500 USU3 117/118.5 put spds 25 ref 120-17
    • 3,000 TYU3 112 calls, 15 last ref 110-04.5
    • 2,500 FVU3 109 calls ref 106-07
    • 2,100 wk1 TY 109.75 puts, 6 ref 110=07
    • Block, 4,000 wk1 TY 110.5/111 call spds 7 vs. wk2 TY 111/111.5 call spds 8

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.