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US TSYS: Early SOFR/Treasury Option Roundup

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

​​Option desks reported better put structures on net overnight, Treasury option flow more paired in 5s and 10s. Underlying futures weaker, curves steeper with short end rates outperforming. Projected rate cuts into early 2025 gaining slightly, 
latest vs. late Friday levels (*) as follows: Nov'24 cumulative -37.8bp (-37.8bp), Dec'24 -75.5bp (-75.0bp), Jan'25 -109.5bp (-108.5bp).

  • SOFR Options:
  • 6,500 SFRZ4 95.37/95.50/95.62 put trees ref 96.045
  • -4,250 0QX4 96.62/96.93 put spds, 8.5
  • +6,000 SFRX4 96.00/96.12 call spds vs. 95.50/95.81 put spds, 3.5
  • 2,000 SFRX4 95.81/95.87/95.93 put flys ref 96.025
  • Treasury Options:
  • +7,500 TYX4 114.75/115.75 1x2 call spds, 0.0 ref 114-25.5
  • +15,000 TYX4 113.5/114.25 2x1 put spds, 3.0 ref 114-21
  • +10,000 wk2 TY 114 puts, 21 ref 114-24
  • +4,500 FVX4 108.5/109.25 put spds, 7
  • over 3,100 FVX4 110.25 calls
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​​Option desks reported better put structures on net overnight, Treasury option flow more paired in 5s and 10s. Underlying futures weaker, curves steeper with short end rates outperforming. Projected rate cuts into early 2025 gaining slightly, 
latest vs. late Friday levels (*) as follows: Nov'24 cumulative -37.8bp (-37.8bp), Dec'24 -75.5bp (-75.0bp), Jan'25 -109.5bp (-108.5bp).

  • SOFR Options:
  • 6,500 SFRZ4 95.37/95.50/95.62 put trees ref 96.045
  • -4,250 0QX4 96.62/96.93 put spds, 8.5
  • +6,000 SFRX4 96.00/96.12 call spds vs. 95.50/95.81 put spds, 3.5
  • 2,000 SFRX4 95.81/95.87/95.93 put flys ref 96.025
  • Treasury Options:
  • +7,500 TYX4 114.75/115.75 1x2 call spds, 0.0 ref 114-25.5
  • +15,000 TYX4 113.5/114.25 2x1 put spds, 3.0 ref 114-21
  • +10,000 wk2 TY 114 puts, 21 ref 114-24
  • +4,500 FVX4 108.5/109.25 put spds, 7
  • over 3,100 FVX4 110.25 calls