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US TSYS: Late SOFR/Treasury Option Roundup

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

​​Option desks reported mixed trade on net Monday, SOFR call trade picking up in the second half after better put trade on the open. Underlying futures well off midmorning lows, short end outperforming while projected rate cuts into early 2025 rebound, latest vs. this morning's levels (*) as follows: Nov'24 cumulative -38.5bp (-36.5bp), Dec'24 -75.9bp (-72.8bp), Jan'25 -110.0bp (-107.0bp).
 

  • SOFR Options:
  • +10,000 SFRZ4 96.37 calls, 5.0 vs. 96.025/0.20%
  • +5,000 SFRX4 95.87/95.93/96.00/96.06 put condors, 1.0 ref 96.03
  • -3,000 2QV4/3QV4 96.75/97.25 call spd/spd, 8.0
  • +5,000 SFRZ4 95.75/96.00 put spds 2x1 8.0 ref 96.02
  • +5,000 SFRH5 96.75/97.25 call spds, 12.0 vs. 96.61/0.20%
  • +10,000 SFRM5 96.50/97.00/97.50 call flys vs 2QM5 97.25/97.50 call spds 3.0 net
  • +5,000 SFRZ5 95.75/96.75 2x1 put spds, +15.5 ref 97.07
  • -4,000 SFRV4/SFRX4 95.87/96.00 put spd spd, 1.5 net Nov over
  • +5,000 SFRH5 96.75/97.00/97.50 call trees, 0.0 ref 96.62
  • 6,500 SFRZ4 95.37/95.50/95.62 put trees ref 96.045
  • -4,250 0QX4 96.62/96.93 put spds, 8.5
  • +6,000 SFRX4 96.00/96.12 call spds vs. 95.50/95.81 put spds, 3.5
  • 2,000 SFRX4 95.81/95.87/95.93 put flys ref 96.025
  • Treasury Options:
  • over 12,000 TYX4 114.75/115.75 1x2 call spds 0.0 ref 114-25.5
  • over 26,500 wk4 TY 114 puts, 8 ref 114-24.5
  • 10,000 TYX4 116.5/117.5 call spds, 6 ref 114-17.5
  • Block, 10,000 TYX4 111 puts, 2 vs. 114-17.5/0.15%
  • 2,500 TYX4 114.5 straddles, 133
  • 2,000 wk4 TY 114.75/115.25 1x2 call spds, 3 net ref 114-16, expire Friday
  • +15,000 TYX4 113.5/114.25 2x1 put spds, 3.0 ref 114-21
  • +10,000 wk2 TY 114 puts, 21 ref 114-24
  • +4,500 FVX4 108.5/109.25 put spds, 7
  • over 3,100 FVX4 110.25 calls
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​​Option desks reported mixed trade on net Monday, SOFR call trade picking up in the second half after better put trade on the open. Underlying futures well off midmorning lows, short end outperforming while projected rate cuts into early 2025 rebound, latest vs. this morning's levels (*) as follows: Nov'24 cumulative -38.5bp (-36.5bp), Dec'24 -75.9bp (-72.8bp), Jan'25 -110.0bp (-107.0bp).
 

  • SOFR Options:
  • +10,000 SFRZ4 96.37 calls, 5.0 vs. 96.025/0.20%
  • +5,000 SFRX4 95.87/95.93/96.00/96.06 put condors, 1.0 ref 96.03
  • -3,000 2QV4/3QV4 96.75/97.25 call spd/spd, 8.0
  • +5,000 SFRZ4 95.75/96.00 put spds 2x1 8.0 ref 96.02
  • +5,000 SFRH5 96.75/97.25 call spds, 12.0 vs. 96.61/0.20%
  • +10,000 SFRM5 96.50/97.00/97.50 call flys vs 2QM5 97.25/97.50 call spds 3.0 net
  • +5,000 SFRZ5 95.75/96.75 2x1 put spds, +15.5 ref 97.07
  • -4,000 SFRV4/SFRX4 95.87/96.00 put spd spd, 1.5 net Nov over
  • +5,000 SFRH5 96.75/97.00/97.50 call trees, 0.0 ref 96.62
  • 6,500 SFRZ4 95.37/95.50/95.62 put trees ref 96.045
  • -4,250 0QX4 96.62/96.93 put spds, 8.5
  • +6,000 SFRX4 96.00/96.12 call spds vs. 95.50/95.81 put spds, 3.5
  • 2,000 SFRX4 95.81/95.87/95.93 put flys ref 96.025
  • Treasury Options:
  • over 12,000 TYX4 114.75/115.75 1x2 call spds 0.0 ref 114-25.5
  • over 26,500 wk4 TY 114 puts, 8 ref 114-24.5
  • 10,000 TYX4 116.5/117.5 call spds, 6 ref 114-17.5
  • Block, 10,000 TYX4 111 puts, 2 vs. 114-17.5/0.15%
  • 2,500 TYX4 114.5 straddles, 133
  • 2,000 wk4 TY 114.75/115.25 1x2 call spds, 3 net ref 114-16, expire Friday
  • +15,000 TYX4 113.5/114.25 2x1 put spds, 3.0 ref 114-21
  • +10,000 wk2 TY 114 puts, 21 ref 114-24
  • +4,500 FVX4 108.5/109.25 put spds, 7
  • over 3,100 FVX4 110.25 calls