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US TSYS: Late SOFR/Treasury Option Roundup

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

Option desks reported mixed SOFR/Treasury option flow leaned towards puts as underlying futures gapped lower after larger than expected ADP jobs gains were reported. Better overall volumes and varied trade in SOFR options noted below while Treasury highlight trade was a buyer of over 60,000 wk2 FV midcurve puts that expire on Oct 11. SOFR White pack (SFRZ4-SFRU5) currently -0.010-0.025, while projected rate cuts continue to back off this morning's levels (*): Nov'24 cumulative -33.8bp (-34.4bp), Dec'24 -69.9bp (-70.5bp), Jan'25 -100.4bp (-101.9bp).

  • SOFR Options:
  • +4,000 2QZ4 96.37/96.62/96.87 put flys 4.5 ref 96.97
  • +6,000 2QM5 96.75/97.00 put over risk reversals, 0.0 vs. 96.905 to -.91/0.38%
  • +8,000 SFRM4 95.50/96.00 2x1 put spds w/ 95.62/96.25 2x1 put spd, 8.0 ref 96.775
  • +5,000 SFRZ4 95.93/96.00/96.06/96.12 call condor, 1.0 vs. 95.975/0.05%
  • +6,000 SFRV4 SFRZ4 96.25/96.50 call spds 2.25 ref 95.96
  • +7,000 0QV4 97.00/97.12 call spds, 5.5 vs. 97.03/0.17%
  • +3,000 SFRV4 96.12/96.25 call spds, 1.25 vs. 95.95/0.10%
  • -2,000 SFRZ4 95.75/95.93 7x2 put spds, 1.0 net ref 95.95
  • 5,000 SFRH5 96.12/96.25/96.37 put flys ref 96.505
  • 2,000 SFRF5 96.00/96.18 3x2 put spds ref 96.505 to -.51
  • Block, 5,000 SFRV4 95.93/96.00 call spds, 2.75 ref 95.98
  • Block, 3,676 SFRV4/SFRX4 96.12/96.25 call strip, 4.0 ref 95.98
  • 2,000 SFRZ4 95.50/95.62 put spds ref 95.98
  • 8,000 SFRV4 96.31/96.43 call spds ref 95.975
  • 3,000 SFRX4 96.06/96.18/96.31 call spds
  • Treasury Options:
  • 4,000 TYZ4 111 puts, 12 ref 114-09.5
  • 3,500 TYX4 115.5/116.5 call spds, 9 ref 114-09.5
  • More wk2 FV 109 puts ov screen, 61k total
  • Block, 58,000 wk2 FV 109 puts, 5.5 ref 109-30.5 (exp 10/11)
  • 12,000 FVZ4 110.75/111.75/112.75 call flys ref 110-03.25
  • 2,000 FVX4 110.5/111.0/111.5 2x1x1 call trees ref 110-02.25
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Option desks reported mixed SOFR/Treasury option flow leaned towards puts as underlying futures gapped lower after larger than expected ADP jobs gains were reported. Better overall volumes and varied trade in SOFR options noted below while Treasury highlight trade was a buyer of over 60,000 wk2 FV midcurve puts that expire on Oct 11. SOFR White pack (SFRZ4-SFRU5) currently -0.010-0.025, while projected rate cuts continue to back off this morning's levels (*): Nov'24 cumulative -33.8bp (-34.4bp), Dec'24 -69.9bp (-70.5bp), Jan'25 -100.4bp (-101.9bp).

  • SOFR Options:
  • +4,000 2QZ4 96.37/96.62/96.87 put flys 4.5 ref 96.97
  • +6,000 2QM5 96.75/97.00 put over risk reversals, 0.0 vs. 96.905 to -.91/0.38%
  • +8,000 SFRM4 95.50/96.00 2x1 put spds w/ 95.62/96.25 2x1 put spd, 8.0 ref 96.775
  • +5,000 SFRZ4 95.93/96.00/96.06/96.12 call condor, 1.0 vs. 95.975/0.05%
  • +6,000 SFRV4 SFRZ4 96.25/96.50 call spds 2.25 ref 95.96
  • +7,000 0QV4 97.00/97.12 call spds, 5.5 vs. 97.03/0.17%
  • +3,000 SFRV4 96.12/96.25 call spds, 1.25 vs. 95.95/0.10%
  • -2,000 SFRZ4 95.75/95.93 7x2 put spds, 1.0 net ref 95.95
  • 5,000 SFRH5 96.12/96.25/96.37 put flys ref 96.505
  • 2,000 SFRF5 96.00/96.18 3x2 put spds ref 96.505 to -.51
  • Block, 5,000 SFRV4 95.93/96.00 call spds, 2.75 ref 95.98
  • Block, 3,676 SFRV4/SFRX4 96.12/96.25 call strip, 4.0 ref 95.98
  • 2,000 SFRZ4 95.50/95.62 put spds ref 95.98
  • 8,000 SFRV4 96.31/96.43 call spds ref 95.975
  • 3,000 SFRX4 96.06/96.18/96.31 call spds
  • Treasury Options:
  • 4,000 TYZ4 111 puts, 12 ref 114-09.5
  • 3,500 TYX4 115.5/116.5 call spds, 9 ref 114-09.5
  • More wk2 FV 109 puts ov screen, 61k total
  • Block, 58,000 wk2 FV 109 puts, 5.5 ref 109-30.5 (exp 10/11)
  • 12,000 FVZ4 110.75/111.75/112.75 call flys ref 110-03.25
  • 2,000 FVX4 110.5/111.0/111.5 2x1x1 call trees ref 110-02.25