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US TSYS: Early SOFR/Treasury Option Roundup

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

Option desks still reporting mixed flow overnight, SOFR options a little more paired with rise in call trades as underlying futures recover some ground after late Monday's post-Powell "recalibration". SOFR White pack (SFRZ4-SFRU5) currently +0.010-0.030, while projected rate cuts into early 2025 gain slightly vs. late Monday levels (*): Nov'24 cumulative -35.4bp (-34.1bp), Dec'24 -68.9bp (-70.8bp), Jan'25 -102.1bp (-100.6bp). Salient trade includes:

  • SOFR Options:
  • 4,200 SFRF5 96.12/96.31/96.37/96.56 put condors ref 96.50
  • Block, 3,500 SFRX4 96.00/96.12 call spds vs. 95.43/95.75 put spds, 2.25 net/call spd over
  • 2,000 SFRV4 95.68/95.81/95.93 2x3x1 put flys ref 95.975
  • Block, 3,750 SFRX4/SFRZ4 96.12/96.37 call spd spd, 0.75 net/Dec over
  • 2,000 2QX4 96.37/96.62/97.50/97.75 put condors
  • 5,000 SFRX4 95.75/95.87/96.00 put flys ref 95.98
  • 3,200 0QV4 97.12/97.31 call spds ref 97.03
  • Block, 2,500 SFRZ4 95.93/96.25 5x6 call spreads, 41.5 vs. 2,850 SFRZ4 at 95.97
  • 2,000 SFRZ5 96.87 puts, ref 97.02
  • Treasury Options:
  • over 3,700 FVX4 109.25 puts, 12 last
  • over 3,000 FVX4 109.50 puts, 15 last
  • over 10,700 wk 2 10Y 115.25 calls, 21 ref 114-21.5
  • over 9,600 Wednesday wkly 115 calls, 5 ref 114-20.5
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Option desks still reporting mixed flow overnight, SOFR options a little more paired with rise in call trades as underlying futures recover some ground after late Monday's post-Powell "recalibration". SOFR White pack (SFRZ4-SFRU5) currently +0.010-0.030, while projected rate cuts into early 2025 gain slightly vs. late Monday levels (*): Nov'24 cumulative -35.4bp (-34.1bp), Dec'24 -68.9bp (-70.8bp), Jan'25 -102.1bp (-100.6bp). Salient trade includes:

  • SOFR Options:
  • 4,200 SFRF5 96.12/96.31/96.37/96.56 put condors ref 96.50
  • Block, 3,500 SFRX4 96.00/96.12 call spds vs. 95.43/95.75 put spds, 2.25 net/call spd over
  • 2,000 SFRV4 95.68/95.81/95.93 2x3x1 put flys ref 95.975
  • Block, 3,750 SFRX4/SFRZ4 96.12/96.37 call spd spd, 0.75 net/Dec over
  • 2,000 2QX4 96.37/96.62/97.50/97.75 put condors
  • 5,000 SFRX4 95.75/95.87/96.00 put flys ref 95.98
  • 3,200 0QV4 97.12/97.31 call spds ref 97.03
  • Block, 2,500 SFRZ4 95.93/96.25 5x6 call spreads, 41.5 vs. 2,850 SFRZ4 at 95.97
  • 2,000 SFRZ5 96.87 puts, ref 97.02
  • Treasury Options:
  • over 3,700 FVX4 109.25 puts, 12 last
  • over 3,000 FVX4 109.50 puts, 15 last
  • over 10,700 wk 2 10Y 115.25 calls, 21 ref 114-21.5
  • over 9,600 Wednesday wkly 115 calls, 5 ref 114-20.5