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US TSYS: Early SOFR/Treasury Option Roundup: SOFR Flys and Condors

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

​Option desks report two way SOFR/Treasury options overnight, SOFR paired with limited up- and downside fly and condor trade ahead this afternoon's FOMC policy announcement. Underlying futures continue to unwind early week support, curves bear steepening slightly (2s10s +.594 at 4.462). Projected rate hikes through year end a little softer vs. late Tuesday levels (*): Sep'24 cumulative -41.5bp (-42.3bp), Nov'24 cumulative -77.3bp (-78.8bp), Dec'24 -116.0bp (-118.3bp).
 

  • SOFR Options:
  • 6,500 SFRZ4 95.56/95.75/95.93 put flys ref 95.945
  • 4,000 SFRX4 96.06/96.12/96.18 call flys ref 95.95
  • 4,000 0QV4 96.87/2QV4 96.93 put spds
  • 6,000 SFRV4 95.93/96.00/96.12/96.18 call condors ref 95.95
  • 5,500 SFRV4 95.93/96.00/96.06/96.12 call condors ref 95.945
  • 2,000 2QZ4 96.37/96.50/96.75 broken put flys
  • 2,000 0QX4 96.56/96.93 2x1 put spds ref 97.10
  • over 15,600 SFRZ4 95.62 puts, 4.5 ref 95.95 (2,850 Blocked)
  • 1,500 SFRH5 95.75/96.00 put spds ref 96.60
  • Treasury Options:
  • over 16,000 TYV4 114.75 puts, 7-12 ref 115-10 to -11
  • over 5,200 FVV4 111 calls, 5-6.5 ref 110-14
  • 2,700 TUV4 104/104.12 put spds ref 104-10.75
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​Option desks report two way SOFR/Treasury options overnight, SOFR paired with limited up- and downside fly and condor trade ahead this afternoon's FOMC policy announcement. Underlying futures continue to unwind early week support, curves bear steepening slightly (2s10s +.594 at 4.462). Projected rate hikes through year end a little softer vs. late Tuesday levels (*): Sep'24 cumulative -41.5bp (-42.3bp), Nov'24 cumulative -77.3bp (-78.8bp), Dec'24 -116.0bp (-118.3bp).
 

  • SOFR Options:
  • 6,500 SFRZ4 95.56/95.75/95.93 put flys ref 95.945
  • 4,000 SFRX4 96.06/96.12/96.18 call flys ref 95.95
  • 4,000 0QV4 96.87/2QV4 96.93 put spds
  • 6,000 SFRV4 95.93/96.00/96.12/96.18 call condors ref 95.95
  • 5,500 SFRV4 95.93/96.00/96.06/96.12 call condors ref 95.945
  • 2,000 2QZ4 96.37/96.50/96.75 broken put flys
  • 2,000 0QX4 96.56/96.93 2x1 put spds ref 97.10
  • over 15,600 SFRZ4 95.62 puts, 4.5 ref 95.95 (2,850 Blocked)
  • 1,500 SFRH5 95.75/96.00 put spds ref 96.60
  • Treasury Options:
  • over 16,000 TYV4 114.75 puts, 7-12 ref 115-10 to -11
  • over 5,200 FVV4 111 calls, 5-6.5 ref 110-14
  • 2,700 TUV4 104/104.12 put spds ref 104-10.75