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SOFR/Treasury Option Roundup: Put Buying Underpins Implied Vol

US TSYS
Mixed SOFR and Treasury option trade leans toward limited downside put plays in the first half of NY trade, short-term Tsy midcurve put buying underpinning vol. Underlying futures firmer, off early highs. Projected rate cut pricing looks steady to fractionally higher by year end vs. late Tuesday levels (*): July'24 at -4.5% w/ cumulative at -1.1bp at 5.318%, Sep'24 cumulative -19.7bp (-18.9bp), Nov'24 cumulative -31.4bp (-30.2bp), Dec'24 -51.1bp (-49.9bp). Salient flow includes:
  • SOFR Options:
    • Update, over +50,000 SFRU4 94.75/94.81/94.87 put flys (+17.5k on screen at 0.25, 32.5k pit at 0.375) ref 94.875
    • 10,000 SFRU4 94.81/94.87/94.93/95.00 call condors
    • +15,000 SFRU4 94.68/94.75/94.81 put trees, 1.5
    • 2,000 SFRU4 95.00/95.12/95.25/95.37 call condors
    • 4,100 SFRU4 94.50/94.62/94.75 put flys
    • 5,000 SFRQ4 94.68/94.81/94.93 put flys
    • Block, 10,000 0QN4 96.06/96.18 call spds 4.0 ref 96.035
    • Block, 20,000 SFRN4 94.87/95.00 put spds 10.5 ref 94.87
    • Block, 20,000 SFRN4 94.87/94.93 put spds 4.5 ref 94.87
    • Block, 5,000 SFRZ4 95.50/95.75 call spds 3.25 ref 95.20
    • Block, 4,000 SFRH5 95.75/96.00/96.25 call flys, 2.0 ref 95.525
    • 5,000 SFRX4 95.25/95.37/95.50/95.62 call condors
    • 10,000 SFRZ4 95.25/95.37/95.50/95.62 call condors
  • Treasury Options: (short-term midcurve put buying underpinning vol)
    • 2,000 TYQ 110.5 straddles
    • over 10,500 TYU4 107 puts, 6 last
    • over 11,500 TYU4 108 puts, 10 last
    • over 14,200 TYU4 109 puts, 22 last
    • +5,000 Wednesday weekly TY 110.75 puts, 13
    • +10,000 TYQ4 111.5/112.5 call spds 5 over TYQ4 109 puts, ref 110-19.5
    • +10,000 Wednesday weekly TY 110.5 puts, 12-13
    • +10,000 Wednesday weekly TY 110.25 puts, 11-12
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Mixed SOFR and Treasury option trade leans toward limited downside put plays in the first half of NY trade, short-term Tsy midcurve put buying underpinning vol. Underlying futures firmer, off early highs. Projected rate cut pricing looks steady to fractionally higher by year end vs. late Tuesday levels (*): July'24 at -4.5% w/ cumulative at -1.1bp at 5.318%, Sep'24 cumulative -19.7bp (-18.9bp), Nov'24 cumulative -31.4bp (-30.2bp), Dec'24 -51.1bp (-49.9bp). Salient flow includes:
  • SOFR Options:
    • Update, over +50,000 SFRU4 94.75/94.81/94.87 put flys (+17.5k on screen at 0.25, 32.5k pit at 0.375) ref 94.875
    • 10,000 SFRU4 94.81/94.87/94.93/95.00 call condors
    • +15,000 SFRU4 94.68/94.75/94.81 put trees, 1.5
    • 2,000 SFRU4 95.00/95.12/95.25/95.37 call condors
    • 4,100 SFRU4 94.50/94.62/94.75 put flys
    • 5,000 SFRQ4 94.68/94.81/94.93 put flys
    • Block, 10,000 0QN4 96.06/96.18 call spds 4.0 ref 96.035
    • Block, 20,000 SFRN4 94.87/95.00 put spds 10.5 ref 94.87
    • Block, 20,000 SFRN4 94.87/94.93 put spds 4.5 ref 94.87
    • Block, 5,000 SFRZ4 95.50/95.75 call spds 3.25 ref 95.20
    • Block, 4,000 SFRH5 95.75/96.00/96.25 call flys, 2.0 ref 95.525
    • 5,000 SFRX4 95.25/95.37/95.50/95.62 call condors
    • 10,000 SFRZ4 95.25/95.37/95.50/95.62 call condors
  • Treasury Options: (short-term midcurve put buying underpinning vol)
    • 2,000 TYQ 110.5 straddles
    • over 10,500 TYU4 107 puts, 6 last
    • over 11,500 TYU4 108 puts, 10 last
    • over 14,200 TYU4 109 puts, 22 last
    • +5,000 Wednesday weekly TY 110.75 puts, 13
    • +10,000 TYQ4 111.5/112.5 call spds 5 over TYQ4 109 puts, ref 110-19.5
    • +10,000 Wednesday weekly TY 110.5 puts, 12-13
    • +10,000 Wednesday weekly TY 110.25 puts, 11-12