Late SOFR/Treasury Option Roundup: SOFR Puts Eye Rate Cut Pricing Dip

Mixed SOFR options leaned toward downside puts in the second half as underlying short end futures held weaker levels. Treasury option flow does include decent buying of Aug'24 10Y calls and vol sellers on the day. Tsy curves inched flatter while projected rate cut pricing into year end cooled vs. late Tuesday levels (*): July'24 at -6.5% w/ cumulative at -1.6bp at 5.313%, Sep'24 cumulative -25.7bp (-26.6bp), Nov'24 cumulative -41.1bp (-42.9bp), Dec'24 -63.6bp (-65.4bp). Salient flow includes:

• SOFR Options:
  • +5,000 SFRH6 95.75 puts 30 ref 96.46
  • Block, 8,000 SFRH5 95.50/95.75/96.00/96.25 call condors, 6.5 net vs. 95.735/0.05%
  • +20,000 SFRU4 94.81/94.87/94.93 put flys, 1.25
  • +4,500 SFRU4 94.68/94.75/94.81 put flys
  • +5,000 SFRZ4 94.75/94.87 put spds, 0.75 ref 95.34
  • +4,000 SFRU5 95.00 puts, 8.5 vs. 96.21/0.14%
  • +6,000 SFRU4 94.68/94.75/94.81 put flys 0.25 ref 94.945
  • Block, 5,000 0QZ4 95.25/95.87/96.25 broken put flys, 4.5 ref 96.295/0.05%
  • 4,850 0QU4 95.87/96.12 2x1 put spds ref 96.22
  • -10,000 SFRU4 94.62/94.75/94.87 put flys 1.0 ref 94.94
  • -5,000 SFRU4 94.93 puts, 5.5 ref 94.94
  • +5,000 SFRU5 95.00/95.25/95.75 put trees 5.5 ref 96.205
  • 5,000 0QQ4 96.00/2QQ4 96.25 put diagonals spds
  • -3,000 SFRU4 95.00/95.25 call spds, 2.5 ref 94.945
  • 2,500 0QU4 96.25/96.75 1x2 call spds ref 96.22
  • Block, -2,974 SFRZ5 96.50/97.50 call spds, 18
  • 3,000 SFRZ4 95.31/95.43/95.56 call flys
  • +3,600 SFRZ4 94.87/95.12 2x1 put spds, 2.0 ref 95.355
• Treasury Options:
  • -6,000 wk1 TY 111.25/111.5 strangles, 101
  • 5,000 TYU4 111.5/113 1x2 call spds
  • 5,000 USU4 116/117 put spds, 54 ref 120-10
  • -6,000 TYU4 111.0/111.5 strangles, 126 (expire August 23)
  • 2,500 FVQ4 108/108.25 call spds
  • over +26,600 TYQ4 111.5 calls (20k late Tuesday at 20)