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US TSYS: Late SOFR/Treasury Option Roundup

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USGlobalBulletMarketsFixed Income BulletsRegionNorth America

Option desks report better downside put trade on net -- well ahead of Chairman Powell's comments at NABE conf that weighed heavily on markets. SOFR White pack (SFRZ4-SFRU5) currently -0.090-0.135, while projected rate cuts into early 2025 recede vs. early morning levels (*): Nov'24 cumulative -34.1bp (-35.1bp), Dec'24 -68.9bp (-71.4bp), Jan'25 -100.6bp (-103.4bp). Salient trade includes:

  • SOFR Options:
  • -10,000 SFRV4 95.75/95.93/96.06/96.25 call condors, 11.0 ref 96.005
  • +8,000 SFRV4 95.87/95.93/96.00 put flys, 1.25 vs. 95.975/0.05%
  • +6,000 2QZ4 96.62/97.00 2x1 put spds vs 2QV4 96.68/96.93 2x1 put spds, 1.25
  • Block, +5,000 SFRZ4 95.68/95.81 2x1 put spds 1.0 net ref 96.00 at 0854:53ET
  • +5,000 SFRZ4 96.00/96.25 call spds 8.0
  • +9,000 SFRZ4 95.93/96.00/96.06 put flys, 0.5
  • +5,000 SFRX4 96.12/96.37 cal spds 2.0 over 2QX4 97.25/97.37 call spds
  • over 28,000 SFRX4 95.81/95.93 put spds ref 96.005
  • 2,500 SFRV4 95.75/95.81/95.87 put trees ref 96.00
  • 5,000 SFRV4 96.06/96.25 call spds ref 95.995
  • Block, 15,000 SFRV4 96.12/96.18 call spds 1.25 vs. 96.005/0.07%
  • 3,000 SFRX4 96.12/96.25/96.31/96.43 call condors ref 95.985
  • Block, 3,000 SFRH5 95.43/95.50 put spds 0.5 vs. 96.51/0.05%
  • 1,000 SFRZ4 95.68/95.75/95.75 & SFRZ4 95.75/95.81/95.93 2x3x1 put flys
  • Block/screen, 15,000 SFRZ4 95.25/95.75/96.25 put flys, 25.0 ref 95.995 to 96.00
  • Block, 5,000 SFRH5 96.50/97.00 call spds vs. 2QH5 97.50/98.00 call spds, 9.0 net steepener
  • Block/screen 13,000 SFRV4 96.18/96.25 call spds
  • 4,000 0QZ4 96.50 puts, 4.0 ref 97.085
  • Treasury Options:
  • 3,000 wk1 TY/TYX4 114 put spds, 13 ref 114-19
  • 4,500 wk2 10Y 113/114 3x2 put spds, 30 net ref 114-13.5
  • 3,000 TYX4 115/116/117 call flys ref 114-15.5
  • 2,300 TYX4 113 puts, 10 last
  • 3,000 Wednesday wkly 10Y 114 puts, 3 ref 114-16.5
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Option desks report better downside put trade on net -- well ahead of Chairman Powell's comments at NABE conf that weighed heavily on markets. SOFR White pack (SFRZ4-SFRU5) currently -0.090-0.135, while projected rate cuts into early 2025 recede vs. early morning levels (*): Nov'24 cumulative -34.1bp (-35.1bp), Dec'24 -68.9bp (-71.4bp), Jan'25 -100.6bp (-103.4bp). Salient trade includes:

  • SOFR Options:
  • -10,000 SFRV4 95.75/95.93/96.06/96.25 call condors, 11.0 ref 96.005
  • +8,000 SFRV4 95.87/95.93/96.00 put flys, 1.25 vs. 95.975/0.05%
  • +6,000 2QZ4 96.62/97.00 2x1 put spds vs 2QV4 96.68/96.93 2x1 put spds, 1.25
  • Block, +5,000 SFRZ4 95.68/95.81 2x1 put spds 1.0 net ref 96.00 at 0854:53ET
  • +5,000 SFRZ4 96.00/96.25 call spds 8.0
  • +9,000 SFRZ4 95.93/96.00/96.06 put flys, 0.5
  • +5,000 SFRX4 96.12/96.37 cal spds 2.0 over 2QX4 97.25/97.37 call spds
  • over 28,000 SFRX4 95.81/95.93 put spds ref 96.005
  • 2,500 SFRV4 95.75/95.81/95.87 put trees ref 96.00
  • 5,000 SFRV4 96.06/96.25 call spds ref 95.995
  • Block, 15,000 SFRV4 96.12/96.18 call spds 1.25 vs. 96.005/0.07%
  • 3,000 SFRX4 96.12/96.25/96.31/96.43 call condors ref 95.985
  • Block, 3,000 SFRH5 95.43/95.50 put spds 0.5 vs. 96.51/0.05%
  • 1,000 SFRZ4 95.68/95.75/95.75 & SFRZ4 95.75/95.81/95.93 2x3x1 put flys
  • Block/screen, 15,000 SFRZ4 95.25/95.75/96.25 put flys, 25.0 ref 95.995 to 96.00
  • Block, 5,000 SFRH5 96.50/97.00 call spds vs. 2QH5 97.50/98.00 call spds, 9.0 net steepener
  • Block/screen 13,000 SFRV4 96.18/96.25 call spds
  • 4,000 0QZ4 96.50 puts, 4.0 ref 97.085
  • Treasury Options:
  • 3,000 wk1 TY/TYX4 114 put spds, 13 ref 114-19
  • 4,500 wk2 10Y 113/114 3x2 put spds, 30 net ref 114-13.5
  • 3,000 TYX4 115/116/117 call flys ref 114-15.5
  • 2,300 TYX4 113 puts, 10 last
  • 3,000 Wednesday wkly 10Y 114 puts, 3 ref 114-16.5