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US TSYS: Late SOFR/Treasury Option Roundup

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

SOFR/Treasury option trade remained mixed on net Tuesday, two-way adjustments and position unwinds as underlying futures scale back from session highs as risk-off sentiment cools. SOFR White pack (SFRZ4-SFRU5) currently +0.015-0.040, while projected rate cuts gained some momentum vs. this morning's levels (*): Nov'24 cumulative -34.9bp (-35.4bp), Dec'24 -70.8bp (-68.9bp), Jan'25 -102.3bp (-102.1bp).

  • SOFR Options:
  • -10,000 SFRV4 95.93/96.00/96.12/96.18 call condors, 2 ref 95.99
  • -8,000 SFRX4 95.62 puts, 1.0 ref 95.995
  • +8,000 SFRV4 96.06/96.12 call spds 1.5 ref 95.97
  • +6,000 SFRZ4 95.68/95.81 2x1 put spds, 1.25 ref 95.965
  • +4,000 SFRF5 96.12/96.31/96.37/96.56 put condor 4.0 ref 96.495
  • 5,000 SFRZ4 95.68/95.81 2x1 put spds
  • 1,500 0QZ4 96.43/96.62/96.62/96.87 broken put trees
  • 4,200 SFRF5 96.12/96.31/96.37/96.56 put condors ref 96.50
  • Block, 3,500 SFRX4 96.00/96.12 call spds vs. 95.43/95.75 put spds, 2.25 net/call spd over
  • 2,000 SFRV4 95.68/95.81/95.93 2x3x1 put flys ref 95.975
  • Block, 3,750 SFRX4/SFRZ4 96.12/96.37 call spd spd, 0.75 net/Dec over
  • 2,000 2QX4 96.37/96.62/97.50/97.75 put condors
  • 5,000 SFRX4 95.75/95.87/96.00 put flys ref 95.98
  • 3,200 0QV4 97.12/97.31 call spds ref 97.03
  • Block, 2,500 SFRZ4 95.93/96.25 5x6 call spreads, 41.5 vs. 2,850 SFRZ4 at 95.97
  • 2,000 SFRZ5 96.87 puts, ref 97.02
  • Treasury Options:
  • +4,000 FVZ4 110.25 straddles, 141 red 110-09
  • 3,000 TYZ4 117 calls, 27 ref 114-28
  • over 6,900 TYX4 116.5 calls, 13 last ref 114-23
  • over 3,700 FVX4 109.25 puts, 12 last
  • over 3,000 FVX4 109.50 puts, 15 last
  • over 10,700 wk 2 10Y 115.25 calls, 21 ref 114-21.5
  • over 9,600 Wednesday wkly 115 calls, 5 ref 114-20.5
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SOFR/Treasury option trade remained mixed on net Tuesday, two-way adjustments and position unwinds as underlying futures scale back from session highs as risk-off sentiment cools. SOFR White pack (SFRZ4-SFRU5) currently +0.015-0.040, while projected rate cuts gained some momentum vs. this morning's levels (*): Nov'24 cumulative -34.9bp (-35.4bp), Dec'24 -70.8bp (-68.9bp), Jan'25 -102.3bp (-102.1bp).

  • SOFR Options:
  • -10,000 SFRV4 95.93/96.00/96.12/96.18 call condors, 2 ref 95.99
  • -8,000 SFRX4 95.62 puts, 1.0 ref 95.995
  • +8,000 SFRV4 96.06/96.12 call spds 1.5 ref 95.97
  • +6,000 SFRZ4 95.68/95.81 2x1 put spds, 1.25 ref 95.965
  • +4,000 SFRF5 96.12/96.31/96.37/96.56 put condor 4.0 ref 96.495
  • 5,000 SFRZ4 95.68/95.81 2x1 put spds
  • 1,500 0QZ4 96.43/96.62/96.62/96.87 broken put trees
  • 4,200 SFRF5 96.12/96.31/96.37/96.56 put condors ref 96.50
  • Block, 3,500 SFRX4 96.00/96.12 call spds vs. 95.43/95.75 put spds, 2.25 net/call spd over
  • 2,000 SFRV4 95.68/95.81/95.93 2x3x1 put flys ref 95.975
  • Block, 3,750 SFRX4/SFRZ4 96.12/96.37 call spd spd, 0.75 net/Dec over
  • 2,000 2QX4 96.37/96.62/97.50/97.75 put condors
  • 5,000 SFRX4 95.75/95.87/96.00 put flys ref 95.98
  • 3,200 0QV4 97.12/97.31 call spds ref 97.03
  • Block, 2,500 SFRZ4 95.93/96.25 5x6 call spreads, 41.5 vs. 2,850 SFRZ4 at 95.97
  • 2,000 SFRZ5 96.87 puts, ref 97.02
  • Treasury Options:
  • +4,000 FVZ4 110.25 straddles, 141 red 110-09
  • 3,000 TYZ4 117 calls, 27 ref 114-28
  • over 6,900 TYX4 116.5 calls, 13 last ref 114-23
  • over 3,700 FVX4 109.25 puts, 12 last
  • over 3,000 FVX4 109.50 puts, 15 last
  • over 10,700 wk 2 10Y 115.25 calls, 21 ref 114-21.5
  • over 9,600 Wednesday wkly 115 calls, 5 ref 114-20.5