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US TSYS: Late SOFR/Treasury Option Roundup

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

Option desks reported two way SOFR options Tuesday, leaning towards call spread unwinds ahead of Wednesday's FOMC policy announcement. Projected rate hikes through year end gain slightly vs. late Monday levels (*): Sep'24 cumulative -42.3bp (-41.5bp), Nov'24 cumulative -78.8bp (-78.2bp), Dec'24 -118.3bp (-119.8bp).
 

  • SOFR Options:
  • -5,000 SFRX4 96.12/96.25 call spds 2.75 ref 9596
  • -3,000 SFRZ4 95.62 calls vs 0QZ4 97.00 calls, 5.0 net front Dec over
  • +5,000 SFRV4 96.25/96.50 call spds 2.0 ref 95.97
  • -7,000 SFRZ5 97.00/98.00 call spds, 36.0 vs.97.15/0.28%
  • +4,000 SFRX4 96.12/96.25/96.37/96.50 call condors 2.0 ref 9598
  • +10,000 SFRZ4 95.50/95.75 put spds, 5.5 vs. 95.97/0.10%
  • 3,300 SFRZ4 95.12/95.43 put spds ref 95.985
  • 3,200 0QM5 97.75/98.25/98.75/99.25 call condors ref 97.198
  • 2,000 2QZ4 96.38/96.50/96.75 broken put flys ref 97.135
  • 2,000 SFRZ4 96.12/96.37 call spds vs. 95.00/95.25 put spds
  • 5,000 SFRZ4 95.25/95.50/96.50/96.75 call condors ref 95.98
  • Block, 4,000 SFRZ4 95.18/95.25 put spds, cab
  • 2,000 SFRZ4 95.43/95.50 put spds ref 95.975
  • +10,000 SFRV4 95.93/96.00/96.12/96.18 call condors
  • Block, 4,000 SFRH5 96.50/97.00 call spds vs. 2QH5 97.50/98.00 call spds, 9.5 net front March over
  • Block, 4,000 0QF5 96.12/96.50/96.87 put flys 6.0
  • Block, 2,500 SFRZ4 95.50/95.62/95.75 call flys, 1.25
  • Treasury Options:
  • 3,000 FVV4 110/111 strangles, 10 ref 110-18.5
  • -10,000 TYV4 115/TYX 114 put spds, 11 ref 115-19.5
  • +10,000 TYX4 113.5/114.5 put spds, 16 ref 115-19.5
  • +6,000 TYV4 115.5/116 1x2 call spds, 2
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Option desks reported two way SOFR options Tuesday, leaning towards call spread unwinds ahead of Wednesday's FOMC policy announcement. Projected rate hikes through year end gain slightly vs. late Monday levels (*): Sep'24 cumulative -42.3bp (-41.5bp), Nov'24 cumulative -78.8bp (-78.2bp), Dec'24 -118.3bp (-119.8bp).
 

  • SOFR Options:
  • -5,000 SFRX4 96.12/96.25 call spds 2.75 ref 9596
  • -3,000 SFRZ4 95.62 calls vs 0QZ4 97.00 calls, 5.0 net front Dec over
  • +5,000 SFRV4 96.25/96.50 call spds 2.0 ref 95.97
  • -7,000 SFRZ5 97.00/98.00 call spds, 36.0 vs.97.15/0.28%
  • +4,000 SFRX4 96.12/96.25/96.37/96.50 call condors 2.0 ref 9598
  • +10,000 SFRZ4 95.50/95.75 put spds, 5.5 vs. 95.97/0.10%
  • 3,300 SFRZ4 95.12/95.43 put spds ref 95.985
  • 3,200 0QM5 97.75/98.25/98.75/99.25 call condors ref 97.198
  • 2,000 2QZ4 96.38/96.50/96.75 broken put flys ref 97.135
  • 2,000 SFRZ4 96.12/96.37 call spds vs. 95.00/95.25 put spds
  • 5,000 SFRZ4 95.25/95.50/96.50/96.75 call condors ref 95.98
  • Block, 4,000 SFRZ4 95.18/95.25 put spds, cab
  • 2,000 SFRZ4 95.43/95.50 put spds ref 95.975
  • +10,000 SFRV4 95.93/96.00/96.12/96.18 call condors
  • Block, 4,000 SFRH5 96.50/97.00 call spds vs. 2QH5 97.50/98.00 call spds, 9.5 net front March over
  • Block, 4,000 0QF5 96.12/96.50/96.87 put flys 6.0
  • Block, 2,500 SFRZ4 95.50/95.62/95.75 call flys, 1.25
  • Treasury Options:
  • 3,000 FVV4 110/111 strangles, 10 ref 110-18.5
  • -10,000 TYV4 115/TYX 114 put spds, 11 ref 115-19.5
  • +10,000 TYX4 113.5/114.5 put spds, 16 ref 115-19.5
  • +6,000 TYV4 115.5/116 1x2 call spds, 2