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Late SOFR/Treasury Option Roundup: Two-Sided Hedging

US TSYS
SOFR and Treasury option flow was largely two-way and mixed Friday. Decent downside put skew in SOFR and Treasury options to hedge higher (steady) for longer rates, while speculative accounts discounted the post-jobs data sell-off via upside calls. Projected rate cut pricing has cooled significantly post data: May 2024 at -5.7bp vs -9.8% pre-data w/ cumulative -1.4bp at 5.312%; June 2024 at -52.4% vs -59.6% earlier w/ cumulative rate cut -14.5bp at 5.181%. July'24 cumulative at -24.9bp vs -28.9bp earlier, Sep'24 cumulative -41.3bp vs. -45.1bp earlier.
  • SOFR Options:
    • +10,000 SFRU4 94.81/94.93 put spds 0.5 over SFRU4 95.00/95.12/95.43/95.56 call condors
    • -4,000 SFRU4 95.06 straddles, 34.0
    • +15,000 SFRZ4 96.00/97.00 call spds, 8.5 ref 95.355
    • Block, 5,000 SFRM4 95.00/95.06 call spds, 0.5 vs. 94.86/0.05%
    • Block, 5,000 SFRZ4 94.68/94.87/95.06 put trees, 0.5 1-leg over
    • +5,000 SFRZ4 94.87/95.12/95.37/95.50 put condors, 0.25 ref 95.35
    • +3,500 SFRZ5 94.00/95.25/95.50/96.00 broken put condors, .25 cr
    • +4,000 SFRU4 95.50/96.00 2x3 call spds 0.75
    • +2,500 SFRZ4 94.37/94.62/94.87 put flys 1.25 over SFRZ 95.75/96.00/96.25/96.50 call condors
    • -2,000 SFRM4 94.87 straddles, 15.5
    • +10,000 SFRJ4 94.87/94.93 call spds, 1.0 ref 94.84
    • -1,000 SFRN4 95.12 straddles, 31 ref 95.12
    • Block, 8,880 SFRZ4 94.68/94.81/94.93/95.06 put condors, 1.5 vs. 95.445/0.05%
    • Block, 2,750 SFRU4 95.00/95.25/95.50 call flys, 5.5 ref 95.125
    • Block/screen, 16,000 SFRM4 94.87/94.93/95.00/95.06 call condors, 2.75 vs. 94.90/0.05%
    • 2,000 SFRZ4 96.50/97.00 call spds ref 95.40
  • Treasury Options:
    • +8,000 TYK4 110.25 calls, 24 ref 109-21.5/0.36%
    • Block, 10,000 TYM4 109 puts, 42 vs 109-23/0.20%
    • -9,000 TYM4 109.5 puts, 53 vs. 109-26/0.46%
    • +10,000 Wednesday wk2 110.5 calls, 2 vs. 109-25.5/0.08%
    • 30,000 TYK4 108.75/109/109.75 broken put tees, 5 1-leg over, ref 109-22.5
    • +5,000 TYM4 113 calls, 10
    • 2,300 TYK4 107.5/108 put spds,
    • 4,000 TYM4 107.5 puts ref 110-00
    • 2,000 TYM4 108/110 2x1 put spds 22 ref 110-00
    • +10,000 Wednesday wkly 10Y 111.5/112 1x2 call spds 1, ref 109-30, expire next Wed
    • 4,000 wk2 FV 105.75/106/106.25 put trees ref 106-18
    • 1,500 TYK4 108/109 put spds 11 ref 109-30.5
    • over 15,000 TYK4 111 calls, 22-21
    • over 18,000 TYK4 111.5 calls, 12-15
    • 3,300 TYK4 110.25 calls ref 109-31
    • over 18,000 wk1 TY 110.25/110.5 call spds ref 109-30.5
    • 1,900 Wednesday weekly FV 106/106.5 put spds ref 106-20.25
    • 1,500 TYM4 112/113/113.5 call flys ref 110-01
    • 1,300 TYK4 109/111 strangles, 40 ref 110-03.5
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