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Late SOFR/Treasury Option Roundup: Upside Calls Sought

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SOFR and Treasury option trade segued from mixed to including better upside calls as underlying futures retain post data gains. Rate cut projections are a little off midmorning lows (*) but remain improved vs. late Wednesday: June 2024 at -0% w/ cumulative rate cut 0.0bp at 5.328%, July'24 at -12% (-14%) w/ cumulative at -3bp (-3.5bp) at 5.298%, Sep'24 cumulative -14.1bp (-14.7bp), Nov'24 cumulative -21.2bp (-21.6bp), Dec'24 -34.8bp (-35.3bp).

  • SOFR Options:
    • -5,000 3QU4 96.25 calls, 13.5 vs. 96.08/0.35%
    • +4,000 0QU4 96.00/96.50 call spds vs. 3QU4 96.50/96.87 call spds, 3.5 net
    • 5,000 0QU4 95.75/96.25 call spds, 12.37 synth
    • +4,000 SFRM4 94.50/95.00 strangles, 0.5 ref 94.665
    • Block, 10,000 SFRM4 94.56 puts, 0.25 ref 94.6625
    • -4,000 SFRZ4 94.56/94.68/95.37/95.50 iron condor 4.0-4.25 ref 95.015
    • +5,000 0QM4 95.81 calls, 1.5 vs. 95.395/0.10%
    • -1,000 SFRH5 95.50 straddles, 73.5 ref 95.21
    • 4,000 SFRM4 94.68/94.75 call spds vs. SFRU4 94.68/94.75/94.81/94.87 put condors
    • +7,000 SFRU4 94.75/94.81/94.87 put flys, .25
    • Block/screen +7,500 SFRU4 94.81/94.87/94.93/95.00 call condors 1.25
    • +5,000 SFRZ4 96.00 calls, 5.0 ref 94.985
  • Treasury Options:
    • 11,870 TYN4 109.75 calls 8 vs. 108-05/0.21%
    • 4,000 TYQ4 110.5 calls, 18 ref 108-18
    • Block, 15,000 TYN4 110 calls, 11 vs. 108-20/0.10%
    • Block, +4,035 UXYN4 113.5 calls, 15 vs. 111-24/0.19%
    • 1,600 TYQ4 112/113/114 call flys
    • 2,000 FVN4 105.5 straddles ref 105-14.5
    • +10,000 TYN4 109/109.5 call spds 9 ref 108-08
    • Block, 10,000 TYN4 108/108.25 put strip, 1-22 vs. 108-03.5/100%
    • 4,800 TYN4 107.25/108 2x1 put spds, 3-2 ref 108-02.5
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SOFR and Treasury option trade segued from mixed to including better upside calls as underlying futures retain post data gains. Rate cut projections are a little off midmorning lows (*) but remain improved vs. late Wednesday: June 2024 at -0% w/ cumulative rate cut 0.0bp at 5.328%, July'24 at -12% (-14%) w/ cumulative at -3bp (-3.5bp) at 5.298%, Sep'24 cumulative -14.1bp (-14.7bp), Nov'24 cumulative -21.2bp (-21.6bp), Dec'24 -34.8bp (-35.3bp).

  • SOFR Options:
    • -5,000 3QU4 96.25 calls, 13.5 vs. 96.08/0.35%
    • +4,000 0QU4 96.00/96.50 call spds vs. 3QU4 96.50/96.87 call spds, 3.5 net
    • 5,000 0QU4 95.75/96.25 call spds, 12.37 synth
    • +4,000 SFRM4 94.50/95.00 strangles, 0.5 ref 94.665
    • Block, 10,000 SFRM4 94.56 puts, 0.25 ref 94.6625
    • -4,000 SFRZ4 94.56/94.68/95.37/95.50 iron condor 4.0-4.25 ref 95.015
    • +5,000 0QM4 95.81 calls, 1.5 vs. 95.395/0.10%
    • -1,000 SFRH5 95.50 straddles, 73.5 ref 95.21
    • 4,000 SFRM4 94.68/94.75 call spds vs. SFRU4 94.68/94.75/94.81/94.87 put condors
    • +7,000 SFRU4 94.75/94.81/94.87 put flys, .25
    • Block/screen +7,500 SFRU4 94.81/94.87/94.93/95.00 call condors 1.25
    • +5,000 SFRZ4 96.00 calls, 5.0 ref 94.985
  • Treasury Options:
    • 11,870 TYN4 109.75 calls 8 vs. 108-05/0.21%
    • 4,000 TYQ4 110.5 calls, 18 ref 108-18
    • Block, 15,000 TYN4 110 calls, 11 vs. 108-20/0.10%
    • Block, +4,035 UXYN4 113.5 calls, 15 vs. 111-24/0.19%
    • 1,600 TYQ4 112/113/114 call flys
    • 2,000 FVN4 105.5 straddles ref 105-14.5
    • +10,000 TYN4 109/109.5 call spds 9 ref 108-08
    • Block, 10,000 TYN4 108/108.25 put strip, 1-22 vs. 108-03.5/100%
    • 4,800 TYN4 107.25/108 2x1 put spds, 3-2 ref 108-02.5