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US TSYS: Early SOFR/Treasury Option Roundup, Call Return Fading Sell-Off

US TSYS
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Option desks report decent volumes overnight, carry over downside puts led things off while there has been a pick-up in upside call structures more recently even as underlying futures extend lows ahead of the Sep CPI inflation data. Projected rate cuts looking lower vs. late Wednesday (*): Nov'24 cumulative -20.1bp (-20.7bp), Dec'24 -42.9bp (-45.6bp), Jan'25 -61.9bp (-65.1bp).

  • SOFR Options:
  • Block, 5,000 SFRX4 95.62/95.68/95.75/95.81 call condors 
  • Block, 5,000 SFRZ4 95.50/95.62 put spds 4.5 vs. 
  • Block/cont, SFRM5 95.75/96.75 call over risk reversals, 5.0 vs. 96.255/0.60%
  • 5,000 SFRX4 96.31/96.50 call spds ref 95.645
  • 4,000 SFRX4 96.25/96.50 call spds ref 95.65
  • 9,600 SFRX4 95.31/95.37/95.43/95.50 put condors ref 95.65
  • 7,000 SFRX4 95.25/95.37/95.50/95.62 call condors ref 95.655
  • Block, 4,000 SFRZ4 95.25/95.50 put spds, 3.5 ref 95.65
  • Block/screen, 19,000 SFRZ4 95.43/95.56 put spds, 3.5 ref 95.65
  • 3,000 SFRZ4 95.56/95.62/95.68/95.75 put condors ref 95.645
  • 3,000 0QZ4 96.18/96.31 put spds ref 96.54
  • Block, 10,000 SFRM5 95.50/95.75 put spds, 5.25/splits ref 96.30 to -.295
  • 4,000 SFRZ4 95.75/95.87 call spds, ref 95.65
  • 3,000 0QZ4 96.00/96.25 put spds ref 96.56
  • 3,000 0QV4 96.37/96.43/96.50 put flys ref 96.555
  • 2,800 SFRV4 95.50/95.56 put spds ref 95.67
  • Treasury Options:
  • 3,000 TYX4 110.5 puts, 6 ref 112-00
  • 3,900 FVX4 109/110 call spds, 7 ref 108-09.75
  • Block/screen, over 19,000 TYZ4 111/112.5 3x2 put spds, 37 ref 112-03 to -03.5
  • 2,000 USZ4 112/132 strangles ref 120-18
  • 2,000 TUX4 102.75/103.12 put spds ref 103-10.75
  • 5,500 TYX4 111.25/112 2x1 put spds ref 112-03.5
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Option desks report decent volumes overnight, carry over downside puts led things off while there has been a pick-up in upside call structures more recently even as underlying futures extend lows ahead of the Sep CPI inflation data. Projected rate cuts looking lower vs. late Wednesday (*): Nov'24 cumulative -20.1bp (-20.7bp), Dec'24 -42.9bp (-45.6bp), Jan'25 -61.9bp (-65.1bp).

  • SOFR Options:
  • Block, 5,000 SFRX4 95.62/95.68/95.75/95.81 call condors 
  • Block, 5,000 SFRZ4 95.50/95.62 put spds 4.5 vs. 
  • Block/cont, SFRM5 95.75/96.75 call over risk reversals, 5.0 vs. 96.255/0.60%
  • 5,000 SFRX4 96.31/96.50 call spds ref 95.645
  • 4,000 SFRX4 96.25/96.50 call spds ref 95.65
  • 9,600 SFRX4 95.31/95.37/95.43/95.50 put condors ref 95.65
  • 7,000 SFRX4 95.25/95.37/95.50/95.62 call condors ref 95.655
  • Block, 4,000 SFRZ4 95.25/95.50 put spds, 3.5 ref 95.65
  • Block/screen, 19,000 SFRZ4 95.43/95.56 put spds, 3.5 ref 95.65
  • 3,000 SFRZ4 95.56/95.62/95.68/95.75 put condors ref 95.645
  • 3,000 0QZ4 96.18/96.31 put spds ref 96.54
  • Block, 10,000 SFRM5 95.50/95.75 put spds, 5.25/splits ref 96.30 to -.295
  • 4,000 SFRZ4 95.75/95.87 call spds, ref 95.65
  • 3,000 0QZ4 96.00/96.25 put spds ref 96.56
  • 3,000 0QV4 96.37/96.43/96.50 put flys ref 96.555
  • 2,800 SFRV4 95.50/95.56 put spds ref 95.67
  • Treasury Options:
  • 3,000 TYX4 110.5 puts, 6 ref 112-00
  • 3,900 FVX4 109/110 call spds, 7 ref 108-09.75
  • Block/screen, over 19,000 TYZ4 111/112.5 3x2 put spds, 37 ref 112-03 to -03.5
  • 2,000 USZ4 112/132 strangles ref 120-18
  • 2,000 TUX4 102.75/103.12 put spds ref 103-10.75
  • 5,500 TYX4 111.25/112 2x1 put spds ref 112-03.5