Late SOFR/Treasury Option Roundup: Underlying Futures Extend Lows

SOFR and Treasury option flow remained mixed on net Wednesday, moderate pick-up in puts after better midday calls as underlying futures extend lows in late trade, curves climbing to the least inverted level since Oct'23. Projected rate cut pricing into year end are gained vs. this morning's levels (*): July'24 at -5.5% w/ cumulative at -1.4bp at 5.315%, Sep'24 cumulative -27.3bp (-25bp), Nov'24 cumulative -42.8bp (-40.1bp), Dec'24 -65.3bp (-62.8bp). Salient flow includes:

• SOFR Options:
  • Block, 5,000 SFRQ4 94.93/95.06/95.18 put flys, 1.75 net
  • +8,000 SFRZ4 94.87 puts, 1.5
  • 2,500 SFRV4 95.12/95.18/95.31/95.37 call condors ref 95.365
  • +6,000 SFRX4 95.31/95.43/95.50/95.62 call condors, 2.75 ref 95.355 to -.36
  • +10,000 SFRV4 95.50/95.62/95.75 call flys, 1 vs. 9536/0.10%
  • +4,000 SFRZ4 95.43/94.62 call spds vs. 95.355/0.14%
  • -4,000 SFRZ4 95.50/95.75 call spds vs 94.87/95.12 call spds, 0.75 net
  • +4,000 SFRU4 94.81/94.87/94.93 put flys 1.25 ref 94.94
  • +5,000 SFRZ4 94.68/94.81 2x1 put spds vs. 95.325 to -33.5/0.05%
  • -4,000 2QQ4 96.50/96.75/97.25 call flys 8.5, ref 96.515
  • 16,000 SFRU4 94.68/94.81 2x1 put spds ref 95.355
  • Block/screen, 10,000 SFRU4 95.12/95.25 call spds, 1.25 ref 94.945
  • Block/pit, +17,000 SFRU4 95.00/95.06 call spds, 1.0 ref 94.94
  • 4,400 SFRZ4 95.31/95.43/95.56 call flys, 2.12 ref 95.345
  • 1,400 SFRH5 95.75/0QH5 3x2 call spd
  • 10,100 SFRZ4 94.50/94.62/94.75/94.87 put condors, ref 95.33 to -33.5
  • 1,200 0QV4 95.87/96.00 put spds vs. 0QZ4 96.31/96.68/97.06 call fly spd
• Treasury Options: Reminder, August options expire Friday
  • +8,000 TYU4 113.5 calls, 6 vs. 110-27.5/0.05%
  • -20,000 TYQ4 111.25 puts 38-37
  • 1,500 FVQ4 107/107.25 call spds, 2.5 ref 107-17.5
  • +7,000 TYQ4 111.25 calls, 7
  • -5,000 TYU4 110/112.5 strangles, 37
  • 6,000 TYU4 110.5/111.5/112.5 call flys ref 110-30.5
  • 2,200 TYU4 111 calls, 44 ref 110-03
  • over 2,100 FVQ4 108 calls, 0.5
  • over 2,800 FVQ4 107 puts, 2.5
  • 2,700 TYQ4 111.5 calls, 4 last
  • 2,000 TYU4 108/109 put spds
  • 1,200 TYQ4/wk1 TY 108.25/109.25/110.25 put fly spd