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US TSYS: Early SOFR/Treasury Option Roundup

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

Option desks report continued interest in downside SOFR puts overnight, largely Dec'24 expiries with some unwinds in soon to expire October options. Light Treasury option volumes. Underlying futures mildly higher ahead this afternoon's FOMC minutes for September 18 meeting, not to mention position squaring ahead CPI & PPI next two days. Projected rate cuts have receded slightly vs. late Tuesday (*): Nov'24 cumulative -22.0bp (-22.7bp), Dec'24 -50.2bp (-50.5bp), Jan'25 -69.9bp (-70.4bp).

  • SOFR Options: Reminder, October options expire Friday
  • over 17,900 SFRZ4 95.68/95.81 2x1 put spds ref 95.71 to -.715
  • over 20,900 0QV4 96.50 puts ref 96.63 
  • 2,000 SFRZ4 95.37/95.62/96.31/96.56 put condors ref 95.715
  • 2,300 SFRH5 96.56/0QH5 97.25 call spds 
  • 6,300 SFRZ4 95.50 puts ref 95.715
  • 2,000 SFRH5 95.37/95.62/95.87 2x3x1 put flys ref 96.11
  • 2,500 2QZ4 96.62/96.87 put spds ref 96.665
  • 4,000 SFRZ4 95.18/95.37 put spds ref 95.715
  • 4,900 0QF5 95.87/96.12 put spds ref 96.66
  • 2,500 SFRH5 96.25/96.50 call spds ref 96.12
  • Treasury Options:
  • 5,000 FVZ4 107.5 puts
  • 3,000 FVZ4 109/110 call spds
  • 3,500 Wednesday wkly FV 108.75 calls, 2 ref 108-20.25
  • 2,800 TYX4 111.5 puts 12 last
  • 2,500 TYZ4 114 calls
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Option desks report continued interest in downside SOFR puts overnight, largely Dec'24 expiries with some unwinds in soon to expire October options. Light Treasury option volumes. Underlying futures mildly higher ahead this afternoon's FOMC minutes for September 18 meeting, not to mention position squaring ahead CPI & PPI next two days. Projected rate cuts have receded slightly vs. late Tuesday (*): Nov'24 cumulative -22.0bp (-22.7bp), Dec'24 -50.2bp (-50.5bp), Jan'25 -69.9bp (-70.4bp).

  • SOFR Options: Reminder, October options expire Friday
  • over 17,900 SFRZ4 95.68/95.81 2x1 put spds ref 95.71 to -.715
  • over 20,900 0QV4 96.50 puts ref 96.63 
  • 2,000 SFRZ4 95.37/95.62/96.31/96.56 put condors ref 95.715
  • 2,300 SFRH5 96.56/0QH5 97.25 call spds 
  • 6,300 SFRZ4 95.50 puts ref 95.715
  • 2,000 SFRH5 95.37/95.62/95.87 2x3x1 put flys ref 96.11
  • 2,500 2QZ4 96.62/96.87 put spds ref 96.665
  • 4,000 SFRZ4 95.18/95.37 put spds ref 95.715
  • 4,900 0QF5 95.87/96.12 put spds ref 96.66
  • 2,500 SFRH5 96.25/96.50 call spds ref 96.12
  • Treasury Options:
  • 5,000 FVZ4 107.5 puts
  • 3,000 FVZ4 109/110 call spds
  • 3,500 Wednesday wkly FV 108.75 calls, 2 ref 108-20.25
  • 2,800 TYX4 111.5 puts 12 last
  • 2,500 TYZ4 114 calls