Late SOFR/Treasury Option Roundup: Tsy Call Buyers Outlay $80M Premium

Heavy SOFR and Treasury option flow leaned towards upside calls Thursday as underlying futures climb past yesterday's early highs on a variety of dovish/risk off factors (20bp medium-term lending facility rate cut by PBOC, soft EU data and carry-over weakness in global equities after Wed's rout). Highlight flow was a scale buyer of over 180,000 TYU4 112 calls from 25-30 on the day, strike corresponds to appr 4.08% 10Y yield vs. 4.2544% at the moment, on an appr of $77M. While futures scaled back support in late trade, projected rate cut pricing into year end scaled back from this morning's highs (*): July'24 at -6.5% w/ cumulative at -1.6bp (-2.6bp) at 5.313%, Sep'24 cumulative -27.8bp (-31.3bp), Nov'24 cumulative -43.9bp (-48.7bp), Dec'24 -66.2bp (-71.1bp). Salient flow includes:

• Treasury Options:
  • +10,000 FVU4 106.25/106.75/107.25 put trees
  • Block/screen over +180,000 TYU4 112 calls, 25-30 (open Interest only 77,595)
  • 4,000 TYU4 110.5/111.5/112.5 call flys, ref 110-31
  • Block, 1,500 TUQ4 102.37/102.5 put spds, 1.0 ref 102-20.88
  • 1,250 TUQ4 102.5/102.62 put spds
  • 5,000 TYQ4 111.5/112 call spds ref 111-04
  • 1,200 TUU4 102.25/102.5/102.75 call trees
  • 2,500 TYQ4 110.5 puts, 5 ref 111-02
  • 3,000 TYU4 109.5/112.5 strangles, 32
  • 3,000 FVU4 108/109/110 call flys
  • 6,500 FVQ4 107.75/108.25 call spds vs. wk1 FV 108/108.5 call spds
  • over 18,000 TYU4 111/112 call spds, 21 ref 110-26.5
  • `over 9,000 TYU4 109.5 puts, 15 last
• SOFR Options:
  • Block, 10,000 0QQ4 96.00 puts, 3.5 ref 96.21
  • -4,000 SFRU4 94.93/95.18 call spds 5.25 ref 95.375
  • -5,000 SFRZ4 94.68/95.00 put spds, 2.5 vs. 95.375/0.10%
  • +10,000 SFRU4 94.68/94.81/94.87/94.93 put condor 0.75-0.875 ref 94.95
  • +7,500 SFRZ4 96.00/96.25 call spds 1.5-1.625 ref 95.36
  • -10,000 SFRZ4 95.50/95.75 call spds 4.75, vs. 95.37/0.14%
  • +22,000 SFRZ4 95.43/95.87 1x2 call spds 2.0 ref 95.37
  • -5,000 0QU4 95.93/96.75 strangle 11.5 vs. 96.21/0.12%
  • 4,600 SFRU4 95.12/95.25 call spds ref 94.96
  • -10,000 SFRZ4 95.50/95.75 call spds, 4.75 vs. 95.37/0.14%
  • +7,000 SFRZ4 95.31/95.50/95.68 call trees 2.25-2.5 ref 95.37
  • Block, 5,000 SFRH5 95.00 puts, 3.5
  • 3,000 SFRQ4 95.00/95.12/95.25/95.37 call condors ref 94.98
  • Block, 3,000 SFRV4 95.25 straddles, 27.5 vs. 95.405/0.40%
  • 8,000 SFRU4 94.68 puts ref 94.98
  • over 7,700 SFRU4 94.75 puts, 1.0 last
  • over 7,800 SFRU4 94.87 puts
  • Block, 2,974 SFRZ5 96.50/97.50 call spds, 29.5 ref 96.345
  • 10,000 SFRV4 95.62 calls ref 95.405
  • 3,000 0QQ4 95.75 puts, 0.5
  • Block/screen 7,500 SFRQ4 94.93/95.06/95.18 put flys ref 94.965
  • 2,000 SFRU4 94.93/95.06/95.18 call flys ref 94.955
  • 3,000 SFRQ4 95.06/95.25 call spds ref 94.965
  • 2,200 SFRU4 95.12/95.25 call spds ref 94.965
  • 7,000 SFRZ4 96.00/96.50 call spds ref 95.375 to -.385