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Late SOFR/Treasury Options Roundup: Starting to Fade Underlying Rally

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Heavier SOFR and Treasury option volumes turned mixed Wednesday as some accounts started to fade the ongoing rise in the underlying after this morning's lower than expected ADP private employment and mixed ISM services data. Late year rate cut projections have gradually gained vs. late Tuesday levels (*): June 2024 at -1.3% w/ cumulative rate cut -.3bp at 5.328%, July'24 at -18% w/ cumulative at -4.8bp (-4.3bp) at 5.283%, Sep'24 cumulative -19.8bp (-19.3bp), Nov'24 cumulative -28.9bp (-27.8bp), Dec'24 -47bp (-44.3bp).

  • SOFR Options:
    • +6,000 0QZ4 96.25/2QZ4 96.50 call diagonals 2.75
    • 3,000 SFRQ4 94.68/94.75/94.81/94.87 put condors ref 94.88
    • +5,000 SFRQ4 95.00/95.12 call spds 1.875 ref 94.875
    • +5,000 SFRZ4 95.25 calls, 19.0 ref 95.13
    • -10,000 SFRU4 94.68/94.75 2x1 put spds .625 ref 94.885
    • +5,000 SFRN4 94.62/94.68/94.87/94.93 iron condors 2.25 vs. 94.865/0.10%
    • +12,000 SFRQ4 95.00/95.12/95.25 call flys, 1.0 vs. 94.895/0.05%
    • Block, 7,000 SFRN4 94.75 puts 2.25 vs. SFRU4 94.68/94.81 put spds, 6.5 ref 94.88
    • Block, 5,000 SFRZ4 95.06/95.75/96.50 broken call flys, 11.5
    • Block, 5,000 SFRZ4 95.00/95.56/96.25 call flys, 12.0 ref 95.125
    • 11,000 SFRZ4 94.75 puts ref 95.135
    • 3,500 0QM4 95.50 puts ref 95.625 post-ADP
    • +5,000 SFRH5 95.50/96.00 call spds, ref 95.385 pre-ADP
    • 4,000 SFRZ4 95.00/95.12 4x3 put spds, ref 95.13
    • Block, 3,100 SFRZ 94.37/94.62 2x1 put spds, 0.5 vs. 95.07/0.05%
    • Block/screen, 5,500 SFRM4 94.56/94.62/94.68 put flys, 2.5 vs. 94.665/0.40%
    • 1,500 SFRZ4 94.75/95.75 strangles ref 95.115
    • 4,000 0QU4 96.00/96.50 call spds
  • Treasury Options:
    • Block, 5,000 UXYN4 114.5 calls, 38 ref 113-31.5
    • over 5,700 TUN4 101.62 puts ref 102-05.25
    • 3,000 FVQ4 106.75 calls, ref 106-20
    • 6,500 wk2 TY 108 puts, 3
    • Block/screen: 29,500 wk2 FV 106.25 calls vs. 7,625 FVU at 106-17 at 0823:35ET expires next week Friday
    • Block/screen: 15,000 wk1 TY 109.5 calls 44 vs. 5,550 TYU4 at 110-02.5 at 0821:21ET, expires this Friday
    • 5,000 wk2 TY 112.5/113 call spds ref 110-00.5
    • Block, +10,000 TYN4 111 calls 19 vs. 109-30/0.28%
    • 2,000 TYN4 112/113 call spds ref 109-30
    • 2,000 TYU4 110.5 calls, 104 ref 109-29
    • 2,000 TYN4 107.25 puts ref 109-31.5
    • -3,000 wk2 TY 109 puts, 14 expire next week Friday
    • +4,000 wk1 TY 109.25/109.75 put spds vs. 110.5 calls, 0.0 net, expire Friday
    • +4,400 TYN4 109/109.75 put spds, 18 ref 110-00
    • Block, -10,000 TYN4 109/109.5/110.25 broken call trees, 15 w/ TYN4 108.75 puts 13
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Heavier SOFR and Treasury option volumes turned mixed Wednesday as some accounts started to fade the ongoing rise in the underlying after this morning's lower than expected ADP private employment and mixed ISM services data. Late year rate cut projections have gradually gained vs. late Tuesday levels (*): June 2024 at -1.3% w/ cumulative rate cut -.3bp at 5.328%, July'24 at -18% w/ cumulative at -4.8bp (-4.3bp) at 5.283%, Sep'24 cumulative -19.8bp (-19.3bp), Nov'24 cumulative -28.9bp (-27.8bp), Dec'24 -47bp (-44.3bp).

  • SOFR Options:
    • +6,000 0QZ4 96.25/2QZ4 96.50 call diagonals 2.75
    • 3,000 SFRQ4 94.68/94.75/94.81/94.87 put condors ref 94.88
    • +5,000 SFRQ4 95.00/95.12 call spds 1.875 ref 94.875
    • +5,000 SFRZ4 95.25 calls, 19.0 ref 95.13
    • -10,000 SFRU4 94.68/94.75 2x1 put spds .625 ref 94.885
    • +5,000 SFRN4 94.62/94.68/94.87/94.93 iron condors 2.25 vs. 94.865/0.10%
    • +12,000 SFRQ4 95.00/95.12/95.25 call flys, 1.0 vs. 94.895/0.05%
    • Block, 7,000 SFRN4 94.75 puts 2.25 vs. SFRU4 94.68/94.81 put spds, 6.5 ref 94.88
    • Block, 5,000 SFRZ4 95.06/95.75/96.50 broken call flys, 11.5
    • Block, 5,000 SFRZ4 95.00/95.56/96.25 call flys, 12.0 ref 95.125
    • 11,000 SFRZ4 94.75 puts ref 95.135
    • 3,500 0QM4 95.50 puts ref 95.625 post-ADP
    • +5,000 SFRH5 95.50/96.00 call spds, ref 95.385 pre-ADP
    • 4,000 SFRZ4 95.00/95.12 4x3 put spds, ref 95.13
    • Block, 3,100 SFRZ 94.37/94.62 2x1 put spds, 0.5 vs. 95.07/0.05%
    • Block/screen, 5,500 SFRM4 94.56/94.62/94.68 put flys, 2.5 vs. 94.665/0.40%
    • 1,500 SFRZ4 94.75/95.75 strangles ref 95.115
    • 4,000 0QU4 96.00/96.50 call spds
  • Treasury Options:
    • Block, 5,000 UXYN4 114.5 calls, 38 ref 113-31.5
    • over 5,700 TUN4 101.62 puts ref 102-05.25
    • 3,000 FVQ4 106.75 calls, ref 106-20
    • 6,500 wk2 TY 108 puts, 3
    • Block/screen: 29,500 wk2 FV 106.25 calls vs. 7,625 FVU at 106-17 at 0823:35ET expires next week Friday
    • Block/screen: 15,000 wk1 TY 109.5 calls 44 vs. 5,550 TYU4 at 110-02.5 at 0821:21ET, expires this Friday
    • 5,000 wk2 TY 112.5/113 call spds ref 110-00.5
    • Block, +10,000 TYN4 111 calls 19 vs. 109-30/0.28%
    • 2,000 TYN4 112/113 call spds ref 109-30
    • 2,000 TYU4 110.5 calls, 104 ref 109-29
    • 2,000 TYN4 107.25 puts ref 109-31.5
    • -3,000 wk2 TY 109 puts, 14 expire next week Friday
    • +4,000 wk1 TY 109.25/109.75 put spds vs. 110.5 calls, 0.0 net, expire Friday
    • +4,400 TYN4 109/109.75 put spds, 18 ref 110-00
    • Block, -10,000 TYN4 109/109.5/110.25 broken call trees, 15 w/ TYN4 108.75 puts 13