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US TSYS: Early SOFR/Treasury Option Roundup: SOFR Calls

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

Option desks report better SOFR call structures overnight, most covering Oct-Nov expirys. Underlying futures mildly firmer in the very short end to weaker out the strip at the moment. Projected rate cuts into early 2025 gain traction, latest vs. late Tuesday levels (*) as follows: Nov'24 cumulative -39.1bp (-39.8bp), Dec'24 -79.1bp (-78.6bp), Jan'25 -112.5bp (-113.0bp). Salient trade includes:

  • SOFR Options:
  • 10,000 SFRV4 95.87/96.12/96.37 call flys ref 96.075
  • 2,000 SFRX4 96.12/96.25/96.37 call trees ref 96.075
  • 7,700 SFRV4 96.25 calls, 2.5 
  • 1,650 0QV4 97.12/97.50 call spds vs. 2QV4 97.06/97.31 call spds 
  • Block, 3,000 SFRX4 96.00/96.12 call spds 4.5 over 95.50/95.81 put spds
  • Block, 3,000 SFRV4 96.50/96.56 call strip 1.25 ref 96.08
  • 4,500 SFRV4 95.87/96.00 3x2 put spds ref 96.08
  • 3,000 SFRZ4 95.75/95.87 2x1 put spds ref 96.085
  • Treasury Options:
  • over 2,500 TYX4 116.5 calls, 13-14
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Option desks report better SOFR call structures overnight, most covering Oct-Nov expirys. Underlying futures mildly firmer in the very short end to weaker out the strip at the moment. Projected rate cuts into early 2025 gain traction, latest vs. late Tuesday levels (*) as follows: Nov'24 cumulative -39.1bp (-39.8bp), Dec'24 -79.1bp (-78.6bp), Jan'25 -112.5bp (-113.0bp). Salient trade includes:

  • SOFR Options:
  • 10,000 SFRV4 95.87/96.12/96.37 call flys ref 96.075
  • 2,000 SFRX4 96.12/96.25/96.37 call trees ref 96.075
  • 7,700 SFRV4 96.25 calls, 2.5 
  • 1,650 0QV4 97.12/97.50 call spds vs. 2QV4 97.06/97.31 call spds 
  • Block, 3,000 SFRX4 96.00/96.12 call spds 4.5 over 95.50/95.81 put spds
  • Block, 3,000 SFRV4 96.50/96.56 call strip 1.25 ref 96.08
  • 4,500 SFRV4 95.87/96.00 3x2 put spds ref 96.08
  • 3,000 SFRZ4 95.75/95.87 2x1 put spds ref 96.085
  • Treasury Options:
  • over 2,500 TYX4 116.5 calls, 13-14