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Late SOFR/Treasury Options Roundup: Segue to Calls

US TSYS
Monday's SOFR/Treasury options segued from mixed to better call interest as the day progressed. Underlying futures climbing higher, off early lows amid brewing geopolitical tension in the Middle East. Projected rate cut pricing into year end looks marginally higher vs. early morning levels (*): Sep'24 cumulative -39.8bp (-38.1bp), Nov'24 cumulative -70.4bp (-69.7bp), Dec'24 -101.8bp (-100.6bp).
  • SOFR Options:
    • -5,000 3QH5 96.00/97.50 call over risk reversals, 1.5 vs. 96.775/0.36%
    • +7,500 0QX4 97.00/97.25/97.50/97.75 call condors 4.0 ref 96.80
    • +6,000 SFRZ4 95.12/95.37 2x1 put spds2.0 ref 95.755
    • -5,000 0QU4 96.12 calls v 2QU4 96.50 calls 17.0
    • +20,000 SFRZ4 95.12/95.37 2x1 put spds, 2.0-2.25
    • 10,000 SFRU4 95.18/95.31/95.44 call flys
    • +10,000 SFRH5 98.00/99.00 2x3 call spds, 3.5
    • +4,000 SFRX4/SFRZ4 95.25/95.37/95.50 put fly spd 3.25
    • +11,000 SFRZ4 95.50/95.75 put spd 2x1 3.75-4.0 ref 95.745
    • -5,000 SFRH5 95.37 puts vs 0QH4 95.50 puts .25
    • +10,000 SFRZ4 95.87 calls, 17.0 vs. 95.735/0.25%
    • 3,000 SFRQ4 94.93/95.00/95.06 put flys
    • 1,000 SFRX4 95.37/95.50/95.62/95.75 put condors
    • Block/screen, 6,000 SFRH5 96.00/96.25 call spds vs. 95.50/95.75 put spds, 4.5 net ref 96.18
  • Treasury Options:
    • 3,500 TUU4 104.25 calls, 1 ref 103-09
    • +20,000 TYU4 114.5 calls, 13 half covered vs. 113-11.5/0.05%
    • 2,000 TUV4 104/104.5 call spds
    • 2,000 FVU4 110 calls, 5 ref 108-22
    • 4,000 wk3 5FV 108.75/109.25 call spds vs. 108.25 put ref 108-22.75 (expire Fri)
    • over 15,000 wk3 TY 113/113.5 call spds vs. 112.25 put, 0.0 ref 112-26.5 to -29 (expire Fri)
    • 2,800 TYV4 114/116.5 1x2 call spds vs. TYV4 111 put ref 113-14
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