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US TSYS: Late SOFR/Treasury Option Roundup

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

Pick-up in upside calls continued as underlying futures continued to inch higher after bouncing off morning lows tied to lower than expected consumer confidence data. Projected rate cuts into early 2025 gain traction, latest vs. this morning's levels (*) as follows: Nov'24 cumulative -39.8bp (-38.5bp), Dec'24 -78.6bp (-74.4bp), Jan'25 -113.0bp (-108.0bp). Salient trade includes:

  • SOFR Options:
  • +4,000 SFRV4 96.31/96.56 call spds, 1.25 ref 96.08
  • +5,000 SFRX4 95.50/95.68 put spds, 0.5 ref 96.08
  • +5,000 SFRV4 95.93/96.00 2x1 put spds, 0.5 vs. 96.07/0.10%
  • +10,000 SFRF5/SRH5 97.00 call spds 4.25 ref 96.645
  • -15,000 SFRH5 97.00 calls 16.0 ref 96.645
  • Block, +5,000 SFRH5 98.00/98.25/98.50/98.75 call condors .75
  • Block, 6,000 SFRV4 95.62 puts, cab
  • +5,000 SFRX4 95.87/96.12/96.37 call flys, 7.75 ref 96.07
  • +6,000 SFRV4 95.87/95.93/96.00 put trees, 1.5 vs 96.035/0.10%
  • +5,000 SFRZ4 96.00/96.25 call spds, 8.5 vs. 96.04 to -.035/0.45%
  • +5,000 SFRZ4 95.87/96.00/96.06/96.18 call condors, 2.5 ref 96.03
  • +5,000 SFRH5 96.00/96.37/96.50 put trees, cab ref 96.60
  • +12,000 SFRH5 97.00 calls, 15.0 vs 96.61/0.28%
  • -5,000 SFRZ4 96.00 calls, 15.0 vs. 96.03/0.53%
  • 4,000 2QV4 96.81/96.87 put spds ref 96.975
  • 3,000 3QZ4 95.75/96.50 3x2 put spds, 13.5-14.0 ref 96.845 to -.84
  • Treasury Options:
  • -20,000 wk4 TY 114 puts, 3 expire Friday
  • 5,000 TYZ4 117.5/118 call spds
  • over 7,300 TYX4 113.5 puts, 23 ref 114-12
  • 3,000 FVX4 108.5/109.25 put spds
  • 2,000 TYZ 112.5/114 put spds
  • over 6,000 TYX4 113/114 put spds
  • +1,750 TYZ4 113.75/114/114.25 put trees, 2 ref 114-16.5
  • +6,500 wk4 TY 113.75/114.25 put spd, 8 vs. 114-11 to -12/0.08%
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Pick-up in upside calls continued as underlying futures continued to inch higher after bouncing off morning lows tied to lower than expected consumer confidence data. Projected rate cuts into early 2025 gain traction, latest vs. this morning's levels (*) as follows: Nov'24 cumulative -39.8bp (-38.5bp), Dec'24 -78.6bp (-74.4bp), Jan'25 -113.0bp (-108.0bp). Salient trade includes:

  • SOFR Options:
  • +4,000 SFRV4 96.31/96.56 call spds, 1.25 ref 96.08
  • +5,000 SFRX4 95.50/95.68 put spds, 0.5 ref 96.08
  • +5,000 SFRV4 95.93/96.00 2x1 put spds, 0.5 vs. 96.07/0.10%
  • +10,000 SFRF5/SRH5 97.00 call spds 4.25 ref 96.645
  • -15,000 SFRH5 97.00 calls 16.0 ref 96.645
  • Block, +5,000 SFRH5 98.00/98.25/98.50/98.75 call condors .75
  • Block, 6,000 SFRV4 95.62 puts, cab
  • +5,000 SFRX4 95.87/96.12/96.37 call flys, 7.75 ref 96.07
  • +6,000 SFRV4 95.87/95.93/96.00 put trees, 1.5 vs 96.035/0.10%
  • +5,000 SFRZ4 96.00/96.25 call spds, 8.5 vs. 96.04 to -.035/0.45%
  • +5,000 SFRZ4 95.87/96.00/96.06/96.18 call condors, 2.5 ref 96.03
  • +5,000 SFRH5 96.00/96.37/96.50 put trees, cab ref 96.60
  • +12,000 SFRH5 97.00 calls, 15.0 vs 96.61/0.28%
  • -5,000 SFRZ4 96.00 calls, 15.0 vs. 96.03/0.53%
  • 4,000 2QV4 96.81/96.87 put spds ref 96.975
  • 3,000 3QZ4 95.75/96.50 3x2 put spds, 13.5-14.0 ref 96.845 to -.84
  • Treasury Options:
  • -20,000 wk4 TY 114 puts, 3 expire Friday
  • 5,000 TYZ4 117.5/118 call spds
  • over 7,300 TYX4 113.5 puts, 23 ref 114-12
  • 3,000 FVX4 108.5/109.25 put spds
  • 2,000 TYZ 112.5/114 put spds
  • over 6,000 TYX4 113/114 put spds
  • +1,750 TYZ4 113.75/114/114.25 put trees, 2 ref 114-16.5
  • +6,500 wk4 TY 113.75/114.25 put spd, 8 vs. 114-11 to -12/0.08%