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Late SOFR/Treasury Options Roundup

US TSYS

SOFR and Treasury options trade remained mixed late Tuesday, volumes gradually improved amid ongoing interest in SOFR puts even as underlying futures gained as did projected rate cut pricing through year end vs. early morning levels (*): July'24 at -8.5% w/ cumulative at -2.1bp at 5.307%, Sep'24 cumulative -18.5bp (-17.4bp), Nov'24 cumulative -27.1bp (-26.8bp), Dec'24 -46.3bp (-45.4bp). Salient flow includes:

  • SOFR Options:
    • -10,000 SFRZ4 95.00/95.50 put spds, 3.5 ref 95.14
    • +17,400 SFRH5 94.56/94.68/94.87/95.00 put condors, 2.5-2.62 ref 95.43 to -.425
    • +10,000 SFRU4 94.62/94.75/94.87 put flys, 2.5 ref 94.86
    • Update +20,000 SFRU4 94.56/94.68/94.81 put flys, 4.0
    • +4,000 SFRU4 94.62/94.68 2x1 put spds 0.5 ref 94.855
    • +5,000 2QQ4 96.37/96.87/97.25 call flys vs 2QV4 96.37/96.87/97.37 call flys 1.5 net
    • +5,000 SFRU4 94.56/94.68/94.81 put flys 4.0 ref 94.85
    • +10,000 SFRZ5 94.62/95.62 put spds, 27.0 vs. 95.935/0.25%
    • 1,500 SFRU4 94.56/94.81/94.93 broken put flys ref 94.85
    • 3,000 0QN4 95.37/95.62 put spds ref 95.815
  • Treasury Options:
    • 3,000 TYU4 106.5/109 put spds, ref 109-12.5
    • +22,000 wk2 FV 108/109/110 call flys, 1
    • 6,600 TYQ4 109.5 straddles, 121
    • 2,700 USQ4 112/114 put spds, 20 ref 116-25
    • -2,500 TYU4 108 puts, 30 ref 109-15.5 to -16
    • 2,200 TYQ4 108.5/110.5 call spds ref 109-15.5
    • 2,000 Wednesday weekly 30Y 115/116 put spds, 10 expire tomorrow
    • 3,000 FVQ 106.5/107/107.5 call flys
    • Block, +5,000 TYQ4 110.5 calls, 18 ref 109-09.5
    • 1,400 wk2 FV 107.25/108 call spds ref 106-06.25
    • 1,600 wk2 TY 110/110.5/111.5/112.25 broken call condors ref 109-11
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