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US TSYS: Early SOFR/Treasury Option Roundup

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

Option desks report mixed SOFR/Treasury option flow overnight with underlying futures looking steady to mixed - inside narrow ranges as markets await PCE and UofM sentiment data. Curves flatter at the moment with Bonds outperforming. Projected rate cuts into early 2025 near steady vs late Thursday levels (*): Nov'24 cumulative -37.2bp (-37.8bp), Dec'24 -73.9bp (-73.8bp), Jan'25 -104.5bp (-104.5bp). Salient trade includes:

  • SOFR Options:
  • 5,000 SFRM5 95.75/96.00/96.25 call flys ref 96.845
  • 4,000 SFRV4 95.81/95.87/95.93 put trees ref 96.01
  • 7,500 SFRV4 95.87/96.00 2x1 put spds ref 96.00
  • 2,500 SFRX4 95.75/95.81/95.93/96.00 call condors ref 96.00
  • 4,000 SFRZ4 96.00/96.12 call spds ref 96.00
  • 4,000 SFRZ4 95.75/96.00 3x2 put spds ref 96.00
  • over 6,100 SFRX4 95.75 puts, 2.0 ref 96.01
  • 3,000 2QV4 96.75/97.00 2x1 put spds ref 96.98 to -.985
  • Block/screen, 4,000 SFRV4/SFRX4 96.18/96.25 call spd strip, 2.25 total
  • Treasury Options:
  • 3,000 FVX4 108.25/109 put spds
  • 2,900 TUZ4 104.5/105 call spds ref 104-05.62
  • 8,500 TYX4 115.5/116.5/117.5 call flys ref 114-18.5 to -18
  • 15,000 TYX4 113.5/114.25 2x1 put spds ref 114-12.5
  • over 5,300 TYX4 113 puts
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Option desks report mixed SOFR/Treasury option flow overnight with underlying futures looking steady to mixed - inside narrow ranges as markets await PCE and UofM sentiment data. Curves flatter at the moment with Bonds outperforming. Projected rate cuts into early 2025 near steady vs late Thursday levels (*): Nov'24 cumulative -37.2bp (-37.8bp), Dec'24 -73.9bp (-73.8bp), Jan'25 -104.5bp (-104.5bp). Salient trade includes:

  • SOFR Options:
  • 5,000 SFRM5 95.75/96.00/96.25 call flys ref 96.845
  • 4,000 SFRV4 95.81/95.87/95.93 put trees ref 96.01
  • 7,500 SFRV4 95.87/96.00 2x1 put spds ref 96.00
  • 2,500 SFRX4 95.75/95.81/95.93/96.00 call condors ref 96.00
  • 4,000 SFRZ4 96.00/96.12 call spds ref 96.00
  • 4,000 SFRZ4 95.75/96.00 3x2 put spds ref 96.00
  • over 6,100 SFRX4 95.75 puts, 2.0 ref 96.01
  • 3,000 2QV4 96.75/97.00 2x1 put spds ref 96.98 to -.985
  • Block/screen, 4,000 SFRV4/SFRX4 96.18/96.25 call spd strip, 2.25 total
  • Treasury Options:
  • 3,000 FVX4 108.25/109 put spds
  • 2,900 TUZ4 104.5/105 call spds ref 104-05.62
  • 8,500 TYX4 115.5/116.5/117.5 call flys ref 114-18.5 to -18
  • 15,000 TYX4 113.5/114.25 2x1 put spds ref 114-12.5
  • over 5,300 TYX4 113 puts