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US TSYS: Late SOFR/Treasury Option Roundup

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

Option desks reported heavier volumes Thursday, ongoing downside puts countered by a pick-up in upside call structure buying for the first in a week it seems as markets contended with higher then expected CPI and weekly claims, as well as mixed Fed speak (Goolsbee in total agreement with Powell, Bostic could see a pause in November). Not a lot of conviction trading heading into Friday's PPI while curves twist steeper (2s10s +5.291 at 9.975). That said, projected rate cuts have scaled back from this morning's post-data highs (*): Nov'24 cumulative -20.7bp (-22.7bp), Dec'24 -44.2bp (-46.5bp), Jan'25 -63.9bp (-68.9bp). Highlight trade includes:

  • SOFR Options: (Reminder, October options expire tomorrow)
  • +10,000 SFRF5 95.62/95.75 put spds, 2.5 ref 96.09
  • -10,000 SFRV4 95.68 puts, 2.5 ref 95.68
  • +5,000 0QH5 95.37/95.50/95.75 put flys, 1.5 vs. 96.69/0.03%
  • +5,000 SFRX4/SFRZ4 95.68 put spds, 2.0 ref 95.685
  • -7,000 SFRM5 96.50 calls, 29.5-29.0 vs. 96.35 to -34.5/0.40%
  • -5,000 0QX4 96.18/96.43 put spds, 6.25 ref 96.60
  • +5,000 SFRZ4 95.25/95.37/95.50 put trees, 1.5 ref 95.69
  • +10,000 SFRG5 95.62/95.75 put spds, 3.75 ref 96.04
  • Block, 6,500 SFRX4 95.50/95.62 put spds, 2.75 vs. 95.69/0.22%
  • Block, 13,500 SFRZ4 97.50 calls, 0.5 ref 95.685
  • Update, over 10,000 SFRZ4 95.56/95.62/95.68/95.75 put condors, 2.0 ref 95.645 to -.68
  • over 10,000 SFRZ4 95.56/95.62/95.68 call flys ref 95.68
  • Block, 5,000 SFRX4 95.62/95.68/95.75/95.81 call condors
  • Block, 5,000 SFRZ4 95.50/95.62 put spds 4.5 vs.
  • Block/cont, SFRM5 95.75/96.75 call over risk reversals, 5.0 vs. 96.255/0.60%
  • 5,000 SFRX4 96.31/96.50 call spds ref 95.645
  • 4,000 SFRX4 96.25/96.50 call spds ref 95.65
  • 9,600 SFRX4 95.31/95.37/95.43/95.50 put condors ref 95.65
  • 7,000 SFRX4 95.25/95.37/95.50/95.62 call condors ref 95.655
  • Block, 4,000 SFRZ4 95.25/95.50 put spds, 3.5 ref 95.65
  • Block/screen, 19,000 SFRZ4 95.43/95.56 put spds, 3.5 ref 95.65
  • Block, 10,000 SFRM5 95.50/95.75 put spds, 5.25/splits ref 96.30 to -.295
  • 4,000 SFRZ4 95.75/95.87 call spds, ref 95.65
  • Treasury Options:
  • 6,000 TYX4 112/113 call spds, 22 ref 112-02.5
  • 8,600 TYX4 117 calls, 1 ref 112-01.5
  • 2,500 Wednesday wkly 10Y 110.25/110.75 2x1 put spds ref 112-00.5
  • 2,500 USZ4 128/132 call spds, 9 ref 120-04
  • 6,000 wk2 TY 112.5/112.75 call spds 1 ref 112-01.5
  • 2,000 TYX4 115.5/116.5/116.75/118 broken call condors ref 112-02.5
  • 26,500 TYZ4 109.5/111 put spds, 23 ref 112-05
  • 25,000 FVZ4 110/111/112 call flys, 4.5 vs. 108-08.5/0.05%
  • 7,500 TYX4 111.25 puts, 16 total volume over 44k
  • 3,000 TYX4 110.5 puts, 6 ref 112-00
  • 3,900 FVX4 109/110 call spds, 7 ref 108-09.75
  • Block/screen, over 20,000 TYZ4 111/112.5 3x2 put spds, 37 ref 112-03 to -03.5
  • 2,000 USZ4 112/132 strangles ref 120-18
  • 2,000 TUX4 102.75/103.12 put spds ref 103-10.75
  • 5,500 TYX4 111.25/112 2x1 put spds ref 112-03.5
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Option desks reported heavier volumes Thursday, ongoing downside puts countered by a pick-up in upside call structure buying for the first in a week it seems as markets contended with higher then expected CPI and weekly claims, as well as mixed Fed speak (Goolsbee in total agreement with Powell, Bostic could see a pause in November). Not a lot of conviction trading heading into Friday's PPI while curves twist steeper (2s10s +5.291 at 9.975). That said, projected rate cuts have scaled back from this morning's post-data highs (*): Nov'24 cumulative -20.7bp (-22.7bp), Dec'24 -44.2bp (-46.5bp), Jan'25 -63.9bp (-68.9bp). Highlight trade includes:

  • SOFR Options: (Reminder, October options expire tomorrow)
  • +10,000 SFRF5 95.62/95.75 put spds, 2.5 ref 96.09
  • -10,000 SFRV4 95.68 puts, 2.5 ref 95.68
  • +5,000 0QH5 95.37/95.50/95.75 put flys, 1.5 vs. 96.69/0.03%
  • +5,000 SFRX4/SFRZ4 95.68 put spds, 2.0 ref 95.685
  • -7,000 SFRM5 96.50 calls, 29.5-29.0 vs. 96.35 to -34.5/0.40%
  • -5,000 0QX4 96.18/96.43 put spds, 6.25 ref 96.60
  • +5,000 SFRZ4 95.25/95.37/95.50 put trees, 1.5 ref 95.69
  • +10,000 SFRG5 95.62/95.75 put spds, 3.75 ref 96.04
  • Block, 6,500 SFRX4 95.50/95.62 put spds, 2.75 vs. 95.69/0.22%
  • Block, 13,500 SFRZ4 97.50 calls, 0.5 ref 95.685
  • Update, over 10,000 SFRZ4 95.56/95.62/95.68/95.75 put condors, 2.0 ref 95.645 to -.68
  • over 10,000 SFRZ4 95.56/95.62/95.68 call flys ref 95.68
  • Block, 5,000 SFRX4 95.62/95.68/95.75/95.81 call condors
  • Block, 5,000 SFRZ4 95.50/95.62 put spds 4.5 vs.
  • Block/cont, SFRM5 95.75/96.75 call over risk reversals, 5.0 vs. 96.255/0.60%
  • 5,000 SFRX4 96.31/96.50 call spds ref 95.645
  • 4,000 SFRX4 96.25/96.50 call spds ref 95.65
  • 9,600 SFRX4 95.31/95.37/95.43/95.50 put condors ref 95.65
  • 7,000 SFRX4 95.25/95.37/95.50/95.62 call condors ref 95.655
  • Block, 4,000 SFRZ4 95.25/95.50 put spds, 3.5 ref 95.65
  • Block/screen, 19,000 SFRZ4 95.43/95.56 put spds, 3.5 ref 95.65
  • Block, 10,000 SFRM5 95.50/95.75 put spds, 5.25/splits ref 96.30 to -.295
  • 4,000 SFRZ4 95.75/95.87 call spds, ref 95.65
  • Treasury Options:
  • 6,000 TYX4 112/113 call spds, 22 ref 112-02.5
  • 8,600 TYX4 117 calls, 1 ref 112-01.5
  • 2,500 Wednesday wkly 10Y 110.25/110.75 2x1 put spds ref 112-00.5
  • 2,500 USZ4 128/132 call spds, 9 ref 120-04
  • 6,000 wk2 TY 112.5/112.75 call spds 1 ref 112-01.5
  • 2,000 TYX4 115.5/116.5/116.75/118 broken call condors ref 112-02.5
  • 26,500 TYZ4 109.5/111 put spds, 23 ref 112-05
  • 25,000 FVZ4 110/111/112 call flys, 4.5 vs. 108-08.5/0.05%
  • 7,500 TYX4 111.25 puts, 16 total volume over 44k
  • 3,000 TYX4 110.5 puts, 6 ref 112-00
  • 3,900 FVX4 109/110 call spds, 7 ref 108-09.75
  • Block/screen, over 20,000 TYZ4 111/112.5 3x2 put spds, 37 ref 112-03 to -03.5
  • 2,000 USZ4 112/132 strangles ref 120-18
  • 2,000 TUX4 102.75/103.12 put spds ref 103-10.75
  • 5,500 TYX4 111.25/112 2x1 put spds ref 112-03.5