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Late SOFR/Treasury Option Roundup: Rate Cut Pricing Gaining Momentum

US TSYS

SOFR options leaned toward better upside call trade while Treasury options appeared more mixed as underlying futures traded near highs after the heavy data deluge on shortened pre-holiday session. Projected rate cut pricing through year end have rebounded vs. this morning's lows (*): July'24 at -8.5% w/ cumulative at -2.1bp at 5.307%, Sep'24 cumulative -19.6bp (-17.4bp), Nov'24 cumulative -29.1bp (-26.1bp), Dec'24 -47.5bp (-43.9bp). Salient flow includes:

  • SOFR Options:
    • +10,000 0QZ4 96.00/96.50 call spds 1x2 .5 ref 96.065
    • +5,000 SFRM5 95.12/95.37/95.62 put flys 2.75 ref 95.705
    • +5,000 SFRU4 94.62/94.75/94.87 put flys 2.5 ref 94.85
    • -7,000 SFRU4 94.87 calls, 6.0 ref 94.855
    • -5,000 SFRU4 94.87/95.00/95.12 call flys with
    • -5,000 SFRU4 94.81/94.93/95.00/95.12 call fly condord -5K @7.25
    • Block, +20,000 SFRU4 94.75/94.81/94.87/94.93 call condors, 1.5 ref 94.85
    • +2,500 SFRZ5 95.00/96.00 put spds, 36.0
    • +5,000 SFRU4 94.87/95.00/95.12 call flys, 2.5 ref 94.845
    • 1,250 SFRU4 94.81/94.87/95.00 2x3x1 put flys
    • 1,500 SFRV4 95.12/95.25/95.37 call flys
  • Treasury Options:
    • 10,000 TYQ4 108 put, 7 ref 110-02
    • +15,000 Wednesday weekly TY 109.5/110.5 strangles, 25-26.5 (expire July 10)
    • 5,000 TYQ4 105/106 put spds ref
    • 6,000 TYU4 110 straddles, 211
    • 1,000 FVU4 107/108.5/110 call flys
    • 2,000 USQ4 112 puts, 10 ref 116-27
    • 1,200 TYQ4 111.5/113/114.5 call flys ref 109-15
    • over 3,000 TYU4 112 calls, 16 last
    • Block, +5,000 TYQ4 110.5 calls, 19 ref 109-13
    • 1,400 TYQ4 110.5/111 call spds ref 109-14.5
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