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STIR: Midmorning SOFR Option Roundup

STIR
BulletMarketsFixed Income Bullets

Pick-up in upside calls as underlying futures bounced/trade higher after lower than expected consumer confidence data. Projected rate cuts into early 2025 gain traction, latest vs. this morning's levels (*) as follows: Nov'24 cumulative -39.1bp (-38.5bp), Dec'24 -78.2bp (-74.4bp), Jan'25 -112.5bp (-108.0bp). Salient trade includes: 

  • +5,000 SFRX4 95.87/96.12/96.37 call flys 7.75 ref 96.07
  • +6,000 SFRV4 95.87/95.93/96.00 put trees, 1.5 vs 96.035/0.10%
  • +5,000 SFRZ4 96.00/96.25 call spds, 8.5 vs. 96.04 to -.035/0.45%
  • +5,000 SFRZ4 95.87/96.00/96.06/96.18 call condors, 2.5 ref 96.03
  • +5,000 SFRH5 96.00/96.37/96.50 put trees, cab ref 96.60
  • +12,000 SFRH5 97.00 calls, 15.0 vs 96.61/0.28%
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Pick-up in upside calls as underlying futures bounced/trade higher after lower than expected consumer confidence data. Projected rate cuts into early 2025 gain traction, latest vs. this morning's levels (*) as follows: Nov'24 cumulative -39.1bp (-38.5bp), Dec'24 -78.2bp (-74.4bp), Jan'25 -112.5bp (-108.0bp). Salient trade includes: 

  • +5,000 SFRX4 95.87/96.12/96.37 call flys 7.75 ref 96.07
  • +6,000 SFRV4 95.87/95.93/96.00 put trees, 1.5 vs 96.035/0.10%
  • +5,000 SFRZ4 96.00/96.25 call spds, 8.5 vs. 96.04 to -.035/0.45%
  • +5,000 SFRZ4 95.87/96.00/96.06/96.18 call condors, 2.5 ref 96.03
  • +5,000 SFRH5 96.00/96.37/96.50 put trees, cab ref 96.60
  • +12,000 SFRH5 97.00 calls, 15.0 vs 96.61/0.28%