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US TSYS: Early SOFR/Treasury Option Roundup: Heavy Puts as Rate Cut Pricing Ebbs

US TSYS
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Option desks report heavy put volumes overnight as underlying futures continue to weaken following last Friday's strong jobs report (SOFR White pack -0.080-0.090, Tsy 2Y yld climbs to 4.0223%, 10Y yld 4.0139%). Meanwhile, projected rate cuts continue to recede -- November not fully pricing a 25bp cut now: Nov'24 cumulative -22.7bp (-26.6bp late Fri), Dec'24 -47.3bp (-57.2bp), Jan'25 -66.9bp (-80.9bp).

  • SOFR Options:
  • 46,000 SFRF5 95.62/95.75 put spds ref 96.05
  • 35,000 2QZ4 96.50/96.75 put spds ref 96.635
  • Block, 7,000 SFRV4 95.81 calls, 0.75 ref 95.685
  • 6,500 SFRM5 96.50 puts vs. 96.50/97.50 call spds ref 96.295
  • 4,000 0QV5 96.50/96.81 put spds vs. 2QV4 96.56/96.87 put spds
  • Block, 8,500 SFRX5 95.50/95.62 put spds, 3.25
  • 4,000 0QX4 96.37/96.50/96.62 put flys 
  • 9,000 SFRH5 95.25/95.75/96.00 put flys ref 96.055
  • 4,000 SFRZ5 96.50/96.87/97.25 put flys ref 96.58
  • 10,000 SFRF5 95.87/96.06/96.25 put flys ref 96.085 to -.065
  • 5,000 SFRZ4 95.56/95.68/95.81 put flys
  • 3,000 SFRF5 95.68/96.00/96.38 broken put flys ref 96.07
  • 20,000 SFRZ4 95.37/95.50 put spds, ref 95.72 to -.695
  • 4,000 SFRH5 95.68/95.93 put spds ref 96.045
  • 15,000 SFRX4 95.50/95.75/95.87 broken put flys ref 95.71
  • 2,500 SFRZ4 95.75/96.00/96.37 broken call trees ref 95.71
  • 3,000 SFRZ4 95.56/95.68/95.75/95.81 put condor ref 95.71
  • Block, 6,500 SFRH5 95.50/95.75 put spds, 5.5 ref 96.065
  • 3,000 SFRH5 97.00/97.50/98.00 call flys ref 96.07
  • 2,500 0QZ4 96.50/97.00 put spds
  • 2,000 SFRX4 95.50/95.75/95.87 broken put flys ref 95.73
  • Treasury Options:
  • 5,000 FVX4 108.5/109 strangles, 34 ref 108-16.75
  • 10,000 TYX4 113.5 calls, 15 ref 112-19.5
  • Block/screen, 7,500 TYZ4 110.5/111.5 3x2 put spds, 119
  • Block/screen, 17,500 TYZ4 111/112 put spds, 21 ref 112-22
  • 35,000 TYX4 112/112.75 2x1 put spds, 1 ref 112-27 to -22.5
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Option desks report heavy put volumes overnight as underlying futures continue to weaken following last Friday's strong jobs report (SOFR White pack -0.080-0.090, Tsy 2Y yld climbs to 4.0223%, 10Y yld 4.0139%). Meanwhile, projected rate cuts continue to recede -- November not fully pricing a 25bp cut now: Nov'24 cumulative -22.7bp (-26.6bp late Fri), Dec'24 -47.3bp (-57.2bp), Jan'25 -66.9bp (-80.9bp).

  • SOFR Options:
  • 46,000 SFRF5 95.62/95.75 put spds ref 96.05
  • 35,000 2QZ4 96.50/96.75 put spds ref 96.635
  • Block, 7,000 SFRV4 95.81 calls, 0.75 ref 95.685
  • 6,500 SFRM5 96.50 puts vs. 96.50/97.50 call spds ref 96.295
  • 4,000 0QV5 96.50/96.81 put spds vs. 2QV4 96.56/96.87 put spds
  • Block, 8,500 SFRX5 95.50/95.62 put spds, 3.25
  • 4,000 0QX4 96.37/96.50/96.62 put flys 
  • 9,000 SFRH5 95.25/95.75/96.00 put flys ref 96.055
  • 4,000 SFRZ5 96.50/96.87/97.25 put flys ref 96.58
  • 10,000 SFRF5 95.87/96.06/96.25 put flys ref 96.085 to -.065
  • 5,000 SFRZ4 95.56/95.68/95.81 put flys
  • 3,000 SFRF5 95.68/96.00/96.38 broken put flys ref 96.07
  • 20,000 SFRZ4 95.37/95.50 put spds, ref 95.72 to -.695
  • 4,000 SFRH5 95.68/95.93 put spds ref 96.045
  • 15,000 SFRX4 95.50/95.75/95.87 broken put flys ref 95.71
  • 2,500 SFRZ4 95.75/96.00/96.37 broken call trees ref 95.71
  • 3,000 SFRZ4 95.56/95.68/95.75/95.81 put condor ref 95.71
  • Block, 6,500 SFRH5 95.50/95.75 put spds, 5.5 ref 96.065
  • 3,000 SFRH5 97.00/97.50/98.00 call flys ref 96.07
  • 2,500 0QZ4 96.50/97.00 put spds
  • 2,000 SFRX4 95.50/95.75/95.87 broken put flys ref 95.73
  • Treasury Options:
  • 5,000 FVX4 108.5/109 strangles, 34 ref 108-16.75
  • 10,000 TYX4 113.5 calls, 15 ref 112-19.5
  • Block/screen, 7,500 TYZ4 110.5/111.5 3x2 put spds, 119
  • Block/screen, 17,500 TYZ4 111/112 put spds, 21 ref 112-22
  • 35,000 TYX4 112/112.75 2x1 put spds, 1 ref 112-27 to -22.5