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US TSYS: Early SOFR/Treasury Option Roundup

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

Option desks report decent SOFR/Treasury option volumes overnight, 10Y put spreads blocked and weekly midcurves trade, SOFR options more pared with call structures picking up after better put interest overnight. Underlying futures weaker, near session lows in the lead up to this morning's headline employment data for September. SOFR White pack (SFRZ4-SFRU5) currently -0.005-0.025, while projected rate cuts look steady to mildly weaker vs. late Thursday levels (*): Nov'24 cumulative -33.1bp (-33.1bp), Dec'24 -66.3bp (-67.1bp), Jan'25 -93.9bp (-94.9bp). Salient trade includes:

  • SOFR Options:
  • 5,000 SFRV4 95.93/96.00/96.06 call trees ref 95.915
  • over 14,000 SFRV4 96.06/96.12 call spds ref 95.92 to -.915
  • 4,500 0QV4 96.50/96.62 put spds ref 96.90
  • 3,000 SFRV4 95.81/95.87 2x1 put spds, 0.50 ref 95.91
  • 1,500 2QV4 96.75/96.81 put spds ref 96.905
  • 2,000 SFRF5 96.06/96.25/96.37/96.50 put condors ref 96.385
  • 2,500 SFRX4 96.00/96.12 call spds vs. 95.43/95.75 put spds ref 95.92
  • 10,000 SFRX4 95.68/95.75/95.81 put flys (appr 2,000 vs. SFRV4 96.12 Calls)
  • over 5,300 SFRV4 96.18 calls ref 95.93
  • Block, 5,000 SFRV4 95.87/96.18/96.50 call flys, 8.0 vs. 95.95/0.50%
  • Treasury Options:
  • 6,000 Monday wkly TY 114.5/114.75 call spds ref 113-25.5
  • over 6,200 TYX4 113 puts, 17 last ref 113-26
  • 1,800 wk3 TY 114/115.25 2x3 call spds vs. 112.75/114 3x2 put spds
  • 10,000 wk1 TY 113.5/113.75 put spds, 5 ref 113-27
  • Block/screen, 15,000 TYZ4 111/112 put spds, 12 ref 113-30.5
  • Block/screen, 20,000 TYZ4 111.5/112.5 put spds, 15 ref 114-00 to -00.5
  • 2,700 FVX4 108/108.5 put spds ref 109-21
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Option desks report decent SOFR/Treasury option volumes overnight, 10Y put spreads blocked and weekly midcurves trade, SOFR options more pared with call structures picking up after better put interest overnight. Underlying futures weaker, near session lows in the lead up to this morning's headline employment data for September. SOFR White pack (SFRZ4-SFRU5) currently -0.005-0.025, while projected rate cuts look steady to mildly weaker vs. late Thursday levels (*): Nov'24 cumulative -33.1bp (-33.1bp), Dec'24 -66.3bp (-67.1bp), Jan'25 -93.9bp (-94.9bp). Salient trade includes:

  • SOFR Options:
  • 5,000 SFRV4 95.93/96.00/96.06 call trees ref 95.915
  • over 14,000 SFRV4 96.06/96.12 call spds ref 95.92 to -.915
  • 4,500 0QV4 96.50/96.62 put spds ref 96.90
  • 3,000 SFRV4 95.81/95.87 2x1 put spds, 0.50 ref 95.91
  • 1,500 2QV4 96.75/96.81 put spds ref 96.905
  • 2,000 SFRF5 96.06/96.25/96.37/96.50 put condors ref 96.385
  • 2,500 SFRX4 96.00/96.12 call spds vs. 95.43/95.75 put spds ref 95.92
  • 10,000 SFRX4 95.68/95.75/95.81 put flys (appr 2,000 vs. SFRV4 96.12 Calls)
  • over 5,300 SFRV4 96.18 calls ref 95.93
  • Block, 5,000 SFRV4 95.87/96.18/96.50 call flys, 8.0 vs. 95.95/0.50%
  • Treasury Options:
  • 6,000 Monday wkly TY 114.5/114.75 call spds ref 113-25.5
  • over 6,200 TYX4 113 puts, 17 last ref 113-26
  • 1,800 wk3 TY 114/115.25 2x3 call spds vs. 112.75/114 3x2 put spds
  • 10,000 wk1 TY 113.5/113.75 put spds, 5 ref 113-27
  • Block/screen, 15,000 TYZ4 111/112 put spds, 12 ref 113-30.5
  • Block/screen, 20,000 TYZ4 111.5/112.5 put spds, 15 ref 114-00 to -00.5
  • 2,700 FVX4 108/108.5 put spds ref 109-21