Late SOFR/Treasury Option Roundup: Puts Return, Rate Cut Pricing Cools

SOFR and Treasury option trade remained mixed Friday, downside put buying strong as underlying futures gapped lower after the higher than expected jobs gain, while calls turned two-way. In-line with the post-data sell-off, late year rate cut projections have receded vs. late Thursday levels (*): June 2024 at -1.3% w/ cumulative rate cut -.3bp at 5.328%, July'24 at -8% w/ cumulative at -2.3bp (-5.9bp) at 5.307%, Sep'24 cumulative -13.7bp (-21.3bp), Nov'24 cumulative -20.3bp (-30.7bp), Dec'24 -37.4bp (-49.7bp)

• SOFR Options:
  • Block, 10,000 0QN4 95.68 puts, 15.0 vs SFRU5 95.70/0.50%
  • +3,000 SFRH5 95.50 straddles, 70.0 ref 95.315
  • -6,000 SFRQ4 95.00/95.12 call spds, 1.0 ref 94.82
  • +5,000 SFRZ4 96.25/96.87 call spds, 2.0 ref 95.065
  • 9,000 SFRU4 94.81/94.87/95.00/95.06 call condors ref 94.82
  • -5,000 SFRN4/SFRQ4 95.00 call spds, 1.75
  • -5,000 SFRU4 95.12/95.25 cal spds 0.75 ref 94.82
  • +6,000 SFRN4 94.62/94.75 put spds vs. SFRU4 94.68/94.75 put spds 1.0/Sep over
  • Block, 8,000 SFRZ4 95.56/95.68 call spds, 1.5 ref 95.07
  • Block, 10,000 SFRV4 95.50/95.75 call spds 3.75 ref 95.17
  • +4,000 SFRZ5 97.50/98.50 call spds vs. 94.62 puts, 8 vs
  • 12,000 0QM4 95.75/95.87/95.93 broken call flys ref 95.665- to -.67
  • 3,000 SFRN4 95.12/95.37 1x2 call spds ref 94.885
  • 5,000 SFRN4 95.00/95.06 call spds ref 94.885
  • 3,300 SFRM4 94.68/94.75 call spds ref 94.675
  • Block, 2,500 SFRZ5/SFRH6 93.75/94.25/94.75 put fly strip, 9.0 total
  • 3,000 SFRZ5 96.50/97.50 call spds ref 96.015
  • 6,500 0QM4 95.87/96.00 call spds ref 95.67
• Treasury Options:
  • 6,000 TYQ4 107 puts, 15 ref 109-13.5
  • 9,275 USQ4 124/130 1x2 call spds ref 117-16
  • 20,000 wk2 5Y 106.75/107/107.5/107.75 call condors ref 106-03.5
  • 8,000 TYN4 107.5/108.5 put spds, 9 ref 109-12
  • 4,000 TYN4 107.5 puts, 3 ref 109-10
  • 3,200 wk2 TY 108/108.75 2x1 put spds, 5 ref 109-14
  • 2,000 TYU4 111/113.5 call sapds, 17 ref 109-14
  • 5,000 FVQ4 105/105.5/106/106.5 put condors ref 106-05.5
  • 2,500 TYN4 108/109 2x1 put spds 10 ref 109-14
  • Block, -7,500 wk2 FV 106.25 calls, 19 vs. 106-06/0.47%
  • -10,000 TYN4 109.25/111.25 strangles, 32
  • 2,500 TYN4 108/109 put spds
  • 3,150 FVN4 107.5/108.5 call spds ref 106-23
  • 1,500 TYQ4 108.5 puts, 24 ref 110-09
  • 1,500 USN4 116.5/118 put spds, 27 ref 119-05
  • 2,500 TYN4 109.25/111.25 strangles, ref 110-09
  • 1,100 FQV4 107.75 calls, ref 106-23