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Late SOFR/Treasury Option Roundup: Sticking With Calls For Now

US TSYS
SOFR/Treasury option trade shifts from better puts the last few sessions to calls Friday, lighter volumes persisted as underlying futures see-sawed off yesterday's post-retail sales lows. Projected rate cuts have receded vs. this mornings pre-data levels (*): Sep'24 cumulative -33.8bp (-33.8bp), Nov'24 cumulative -64.2bp (-62.0bp), Dec'24 -96.8bp (-93.5bp).
  • SOFR Options:
    • Block, 5,000 SFRU4 95.06/95.18/95.50/95.62 call condors, 2.25 net ref 95.035
    • +10,000 SFRU4 95.12/95.25/95.37 call trees, 1.25
    • 3,500 SFRM5 97.00/97.50 call spds
    • 2,000 SFRU4 95.12/95.50 call spds vs. 95.00 put ref 95.075
    • 2,000 SFRH5 97.50/98.00 call spds ref 96.155
    • 3,000 SFRU4 95.18/95.31 call spds ref 95.07
    • 2,000 0QZ4/3QZ4 97.00/97.50 call spd spd, ongoing curve play
    • 3,000 SFRZ4 94.93/95.18/95.43 put flys ref 95.66 to -.685
    • 2,000 SFRZ4 95.62/95.75/95.87 call flys
  • Treasury Options:
    • Block, -10,000 TYV4 114 call/TYX4 111 put call over risk vs. 113-03.5/0.40%
    • 5,000 USV4 126 calls, 60 ref 123-26
    • 4,000 FVU4 108.75 calls, 20 ref 108-25
    • 4,000 TYU4 112/112.5 put spds, 3 ref 113-11
    • over 6,400 FVU4 109 calls, 9-11.5
    • 3,000 TYU4 113/113.5 call spds ref 113-10.5
    • over 4,100 TYU4 112.5 puts, 6 last ref 113-09 to -09.5
    • 6,300 USU4 122 puts, 11-12 ref 123-17
    • 7,300 wk3 TY 113.25/113.5 call spds ref 113-02, expire today
    • 2,100 FVU4 108 puts ref 108-24
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