Late SOFR/Treasury Option Roundup: Rate Cut Positioning Continues

Interest in upside SOFR and Treasury call options continued Tuesday, underlying futures extending highs after lower than expected JOLTS Job openings. Focus on upside/rate-cut call structure targeting the September 18 FOMC rate announcement. Late year rate cut projections continue to gain vs. late Monday levels (*): June 2024 at -1.3% w/ cumulative rate cut -.3bp at 5.328%, July'24 at -16% w/ cumulative at -4.8bp at 5.283%, Sep'24 cumulative -19.3bp (-17.2bp), Nov'24 cumulative -27.8bp (-25.3bp), Dec'24 -44.9bp (-40.6bp).

• SOFR Options:
  • Block, 5,000 SFRU4/SFRZ4 94.62/94.75 put spd spds 1.5, Sep over
  • +10,000 SFRZ4 94.75 puts, 5.5 vs. 95.115/0.20%
  • +10,000 3QV4 96.50/97.00 call spds vs. 5,000 96.00 put, 8.75-10.0 ref 96.26
  • +10,000 2QU4/3QU4 96.50 call spds .25, Blue-Sep over
  • Block, +10,000 SFRZ5/SFRH6 93.75/94.25/94.75 put fly strip 9.5
  • -5,000 SFRM5 94.00/94.62 2x1 put spds 1.5 ref 95.62
  • Block, +5,000 SFRH6 93.75/94.25/94.75 put flys, 4.5
  • +3,000 SFRU4 95.00/95.75/96.50 call flys, 3.75 ref 94.87
  • Block, 10,000 SFRU4 94.75/94.87/95.00 call trees, 0.75 ref 94.87
  • 10,000 SFRU4 94.93/95.06/95.18 call flys ref 94.86
  • 6,500 SFRZ4 94.75 puts, 5 ref 95.105
  • Block, 5,000 SFRH5 94.62/95.12 2x1 put spds, 9 vs. 95.30/0.05%
  • 12,000 SFRM4 95.62/96.00/96.37 call trees ref 95.56 to -.57
  • 1,500 SFRU4 94.81/94.87 put spds ref 94.86
  • 2,000 SFRZ4 96.50/97.00/97.12 broken call flys, ref 95.095
  • 2,000 SFRM4 94.18/94.75 put spds ref 94.665
  • 1,500 0QU4 96.00/96.37/96.62 call flys, ref 95.76
• Treasury Options:
  • Block, 8,500 TYU4 108/109.5 put spds, 33 vs. 110-00/0.16%
  • 6,000 USN4 115/116/117 put flys ref 118-08 to -09
  • +30,000 wk1 TY 111/111.5 call strip 5 ref 109-26/0.17%
  • -25,000 wk2 FV 106.25 calls, 33 vs. 106-15.2/0.58%
  • -15,000 wk1 TY 109.5 calls, 40-41 vs. 109-31.5/0.69%
  • 15,000 wk1 10Y 109.5 calls, 46 ref 109-30 - expire Friday
  • -10,000 FVN4 105.75/107.25 strangles, 24
  • 2,000 TYN4 108.75/109.5 2x1 put spds, 0.0-1cr/2-legs over
  • 6,500 TYN4 108.5/109.5 2x1 put spds, 5 ref 109-26
  • 3,000 TYQ4 108.5/111.5 strangles, ref 109-21
  • +30,000 TYN4 111/111.5 call strips, 21-29 ref 109-22
  • 7,000 wk1 FV 106.75/107 call spds, ref 106-11.25 expire Friday
  • 3,800 TYU4 108 puts, 39
  • 2,000 TYN4 110/110.75 1x2 call spds, 0.0 ref 109-20
  • Block, 5,000 TYN4 108.75/110.25 risk reversals, 0.0 call over ref 109-16