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US TSYS: Late SOFR/Treasury Option Roundup

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

Option desks reported mixed trade Friday, with some large prints in SOFR and Dec 10Y Treasury puts outweighing more modest call trades. Underlying futures gradually extended highs after this morning's mixed PPI and UofM sentiment, curves holding steeper with the short end outperforming. Projected rate cuts have gained slightly vs. this morning's pre-data levels (*): Nov'24 cumulative -22.7bp (-21.4bp), Dec'24 -45.1bp (-44.6bp), Jan'25 -65.4bp (-64.4bp). Highlight trade includes:

  • SOFR Options:
  • +10,000 SFRH5 96.75/97.25 call spds vs. 0QH5 97.62/98.00 call spds, 1.25
  • Block, 10,000 SFRH5 95.81/95.93/96.06 put flys, 1.25 ref 96.085 to -.095
  • +15,000 SFRM5 95.50/95.62/95.87 put flys, 4.0
  • +5,000 0QF5 97.25/97.62 call spds, 3.75-4.0
  • Block/screen 59,000 SFRZ4 95.25 puts, 0.75
  • -22,000 SFRM5 96.87 puts 68.5 vs. 96.365/0.70%
  • +9,000 SFRZ5 96.25 puts 32.0 vs. 96.615/0.38%
  • +10,000 SFRH5 96.75 calls vs 0QH4 97.62 calls, 2.5 net
  • Block, 8,000 2QZ4 97.12/97.37 call spds, 2.5 ref 96.605
  • Block, 6,000 2QZ4 97.25/97.50 call spds 1.75/splits ref 96.605
  • Block/screen, over 5,800 0QZ4 96.37 puts. 12.5 ref 96.60
  • 3,000 SFRZ4 95.68 calls, 8.0
  • 3,000 SFRZ4 95.18/95.31 put spds
  • 4,150 SFRZ5 96.50 puts ref 96.58
  • 3,800 SFRV4 95.62 puts ref 95.665
  • 2,000 SFRX4 95.06/95.43 put spds ref 95.665
  • Treasury Options:
  • 16,000 TYZ4 111 puts, 42 ref 112-09
  • 3,000 TYZ4 110 puts, 24 ref 112-09
  • 5,000 wk3 TY 112.25 straddles, 40 ref 112-07.5
  • +20,000 Wednesday weekly TY 113 calls, 2 reef 112-07.5
  • 9,000 wk3 TY 110/110.75 2x1 put spds ref 112-04.5
  • 11,170 TYX4 113/114 call spds 7 ref 112-04
  • 1,500 USZ4 115/117 put spds ref 119-30
  • 3,100 USX4 116.5 puts, 9 ref 120-02
  • 3,000 TYX4 112/112.5 strangle vs. TYZ4 110/114.5 strangle
  • Block, 20,000 USZ4 115 puts, 42.5/splits vs. 119-30/0.19%
  • +11,750 USZ4 115 puts, 42 ref 119-30/0.19%
  • +53,000 TYZ4 109.5 puts, 21 vs. 111-31.5/0.19%
  • 4,000 TYX4 110.75/112 put spds vs. 113.25 calls ref 112-01.5
  • 4,500 TYX4 111.5 puts, 13 ref 112-05
  • over 3,100 TYX4 113 calls, 10 last
  • over 3,200 TYZ4 115.5 calls, 11 last
  • Block/screen, 12,500 TYX4 112.25 straddles, 60 ref 112-08
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Option desks reported mixed trade Friday, with some large prints in SOFR and Dec 10Y Treasury puts outweighing more modest call trades. Underlying futures gradually extended highs after this morning's mixed PPI and UofM sentiment, curves holding steeper with the short end outperforming. Projected rate cuts have gained slightly vs. this morning's pre-data levels (*): Nov'24 cumulative -22.7bp (-21.4bp), Dec'24 -45.1bp (-44.6bp), Jan'25 -65.4bp (-64.4bp). Highlight trade includes:

  • SOFR Options:
  • +10,000 SFRH5 96.75/97.25 call spds vs. 0QH5 97.62/98.00 call spds, 1.25
  • Block, 10,000 SFRH5 95.81/95.93/96.06 put flys, 1.25 ref 96.085 to -.095
  • +15,000 SFRM5 95.50/95.62/95.87 put flys, 4.0
  • +5,000 0QF5 97.25/97.62 call spds, 3.75-4.0
  • Block/screen 59,000 SFRZ4 95.25 puts, 0.75
  • -22,000 SFRM5 96.87 puts 68.5 vs. 96.365/0.70%
  • +9,000 SFRZ5 96.25 puts 32.0 vs. 96.615/0.38%
  • +10,000 SFRH5 96.75 calls vs 0QH4 97.62 calls, 2.5 net
  • Block, 8,000 2QZ4 97.12/97.37 call spds, 2.5 ref 96.605
  • Block, 6,000 2QZ4 97.25/97.50 call spds 1.75/splits ref 96.605
  • Block/screen, over 5,800 0QZ4 96.37 puts. 12.5 ref 96.60
  • 3,000 SFRZ4 95.68 calls, 8.0
  • 3,000 SFRZ4 95.18/95.31 put spds
  • 4,150 SFRZ5 96.50 puts ref 96.58
  • 3,800 SFRV4 95.62 puts ref 95.665
  • 2,000 SFRX4 95.06/95.43 put spds ref 95.665
  • Treasury Options:
  • 16,000 TYZ4 111 puts, 42 ref 112-09
  • 3,000 TYZ4 110 puts, 24 ref 112-09
  • 5,000 wk3 TY 112.25 straddles, 40 ref 112-07.5
  • +20,000 Wednesday weekly TY 113 calls, 2 reef 112-07.5
  • 9,000 wk3 TY 110/110.75 2x1 put spds ref 112-04.5
  • 11,170 TYX4 113/114 call spds 7 ref 112-04
  • 1,500 USZ4 115/117 put spds ref 119-30
  • 3,100 USX4 116.5 puts, 9 ref 120-02
  • 3,000 TYX4 112/112.5 strangle vs. TYZ4 110/114.5 strangle
  • Block, 20,000 USZ4 115 puts, 42.5/splits vs. 119-30/0.19%
  • +11,750 USZ4 115 puts, 42 ref 119-30/0.19%
  • +53,000 TYZ4 109.5 puts, 21 vs. 111-31.5/0.19%
  • 4,000 TYX4 110.75/112 put spds vs. 113.25 calls ref 112-01.5
  • 4,500 TYX4 111.5 puts, 13 ref 112-05
  • over 3,100 TYX4 113 calls, 10 last
  • over 3,200 TYZ4 115.5 calls, 11 last
  • Block/screen, 12,500 TYX4 112.25 straddles, 60 ref 112-08