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Late SOFR/Treasury Options: Calls Pick Up, Rate Cut Pricing Eases

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SOFR and Treasury option trade remained mixed Friday, with a pick-up in call volume in both during the second half. Underlying futures firmer, curves flatter with the short end underperforming. Projected rate cut pricing into year end largely steady to marginally lower vs. early Friday levels (*): Sep'24 cumulative -39.4bp (-40.1bp), Nov'24 cumulative -70.5bp (-71.6bp), Dec'24 -102.2bp (-102.7bp).

  • SOFR Options:
    • +10,000 SFRU4 95.25/96.25 call spds, 4.25 ref 95.14
    • -5,000 0QZ4 96.25/96.62/96.87 call flys, 11.5 ref 96.75
    • +7,000 SFRU4 94.62/95.00/95.50/95.87 Iron Condor 2.75 ref 95.15
    • +10,000 SFRZ4 95.12/95.25/95.37 put flys 1.0 ref 95.76
    • Block, 5,000 SFRV4 96.00/96.25/96.37 broken call flys 1.0 over 95.43/95.50 put spds
    • +4,000 SFRZ4 95.00 puts 1.25 ref 95.76
    • +5,000 SFRH6 95.00/96.00 2x1 put spd 9 ref 96.815
    • +10,000 SFRU4 94.68/94.93/95.31/95.56 call condor 22.75 ref 95.155
    • +8,000 SFRH6 95.00/96.00 2x1 put spds, 9.0
    • +3,000 0QZ4/3QZ4 97.00/97.50 call spd spd, 1.75 steepener
    • 2,400 SFRZ4 95.31/95.50 2x1 put spds ref 95.75
    • over -30,000 SFRZ4 95.50/95.68 2x1 put spds ref 95.75
    • Block/screen, 11,000 SFRV4 95.25/95.50/95.68 broken put flys, 3.5 ref 95.755
  • Treasury Options:
    • 15,000 TYV4 118.5 calls ref 113-14.5
    • 2,000 TYU4 112.5 puts vs. 113.25/114.75 call spds ref 113-02
    • 5,000 TYV4 118.5 calls, 6 ref 113-17.5
    • 5,900 wk2 TY 113/113.5 call spds, 8 ref 113-01.5
    • 1,500 TUU4 102.75/103 put spds vs. 103.37/103.75 call spds
    • 3,500 TYU4 114.25/114.5 call spds
    • 2,000 TYX4 116/116.5 call spds
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SOFR and Treasury option trade remained mixed Friday, with a pick-up in call volume in both during the second half. Underlying futures firmer, curves flatter with the short end underperforming. Projected rate cut pricing into year end largely steady to marginally lower vs. early Friday levels (*): Sep'24 cumulative -39.4bp (-40.1bp), Nov'24 cumulative -70.5bp (-71.6bp), Dec'24 -102.2bp (-102.7bp).

  • SOFR Options:
    • +10,000 SFRU4 95.25/96.25 call spds, 4.25 ref 95.14
    • -5,000 0QZ4 96.25/96.62/96.87 call flys, 11.5 ref 96.75
    • +7,000 SFRU4 94.62/95.00/95.50/95.87 Iron Condor 2.75 ref 95.15
    • +10,000 SFRZ4 95.12/95.25/95.37 put flys 1.0 ref 95.76
    • Block, 5,000 SFRV4 96.00/96.25/96.37 broken call flys 1.0 over 95.43/95.50 put spds
    • +4,000 SFRZ4 95.00 puts 1.25 ref 95.76
    • +5,000 SFRH6 95.00/96.00 2x1 put spd 9 ref 96.815
    • +10,000 SFRU4 94.68/94.93/95.31/95.56 call condor 22.75 ref 95.155
    • +8,000 SFRH6 95.00/96.00 2x1 put spds, 9.0
    • +3,000 0QZ4/3QZ4 97.00/97.50 call spd spd, 1.75 steepener
    • 2,400 SFRZ4 95.31/95.50 2x1 put spds ref 95.75
    • over -30,000 SFRZ4 95.50/95.68 2x1 put spds ref 95.75
    • Block/screen, 11,000 SFRV4 95.25/95.50/95.68 broken put flys, 3.5 ref 95.755
  • Treasury Options:
    • 15,000 TYV4 118.5 calls ref 113-14.5
    • 2,000 TYU4 112.5 puts vs. 113.25/114.75 call spds ref 113-02
    • 5,000 TYV4 118.5 calls, 6 ref 113-17.5
    • 5,900 wk2 TY 113/113.5 call spds, 8 ref 113-01.5
    • 1,500 TUU4 102.75/103 put spds vs. 103.37/103.75 call spds
    • 3,500 TYU4 114.25/114.5 call spds
    • 2,000 TYX4 116/116.5 call spds