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Late SOFR/Treasury Option Roundup: Treasury Call Focus

US TSYS

Two-way SOFR options looked mixed on net late Thursday while Treasury options leaned toward upside calls as underlying futures gradually scaled off midmorning lows. Most notable was a buyer of over 50,000 TYQ4 111.5 calls at 27 vs. 110-14/0.31%. Projected rate cut pricing remains steady to mildly lower vs. late Wednesday levels (*): July'24 at -10% w/ cumulative at -2.5bp at 5.302%, Sep'24 cumulative -17.5bp (-18.4bp), Nov'24 cumulative -27.3bp, Dec'24 -46.5bp (-47.6bp).

  • Treasury Options:
    • +50,000 TYQ4 111.5 calls, 27 vs. 110-14/0.31%
    • 2,000 TYQ4 106/108 3x2 put spds, 12 ref 110-13
    • 2,500 TYU4 109.5 puts ref 110-09.5
    • 2,000 TYN4 110.5 straddles, 18 ref 110-15.5
    • 2,800 TYN4 111.25 calls ref 110-18
    • 2,000 TYN4 110.5 calls, 15 ref 110-18
    • 2,000 TYN4 110.25/110.75 put spds, 12 ref 110-17.5
    • 3,400 TYQ4 111 calls ref 110-20.5
    • 7,700 TYN4 111 calls, 4 ref 110-20.5
    • 3,600 TYN4 110 puts, 2
  • SOFR Options:
    • Block, 5,000 2QQ4 96.37/96.87/97.25 broken call flys, 10.0 vs. 96.32/0.25%
    • +5,000 0QZ4 96.25/96.62/96.87 call flys 2.0 over SFRZ4 94.68/94.87 put spds
    • -5,000 0QX4 96.75 calls, 11.5 vs. 96.075/0.20%
    • +3,000 SFRV4 94.62/94.87/94.93 2x3x1 put flys, 1.0 ref 95.15
    • 3,000 SFRU4 94.81/94.87/94.93/95.00 call condors ref 94.84
    • +7,000 SFRZ5 94.62 puts, 14.0 vs. 96.04/0.12%
    • 2,000 SFRZ4 95.43/96.00 call spds vs. 94.68/94.75 put spds
    • 2,000 0QQ4 95.68/95.93/96.18 put flys ref 95.93
    • 3,000 3QQ4 95.75/96.00/96.25/96.75 broken call condors ref 96.42
    • 2,200 0QQ4 95.93 puts ref 95.925
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