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US TSYS: Late SOFR/Treasury Option Roundup: Better Put Buying/Vol Sales Pre-NFP

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

Heavier SOFR & Treasury option volumes were reported Thursday, mostly buying downside risk insurance interspersed with position unwinds and outright vol structure selling ahead of Friday's headline October employment report. Underlying futures held weaker but off lows in late trade. Current projected rate cuts into early 2025 are largely steady vs. late Wednesday levels (*): Nov'24 cumulative at -23.5bp ( -23.5bp), Dec'24 -42.8bp (-42.8bp), Jan'25 -58.1bp (-58.1bp), Mar'25 -75.0bp (-76.0bp).

  • SOFR Options:
  • +45,000 0QH5 95.50 puts, 7.0 vs. 96.335/0.14%
  • -5,000 SFRM5 95.62/96.62 call over risk reversal 4.5, 96.125/0.50%
  • -13,000 SFRX4 95.62 straddles vs. 95.50 puts, 10.25-10
  • +10,000 0QZ4 96.37/96.62 1x2 call spd w/ 0QZ4 96.50/96.75 1x2 call spd/strip 0.75-1.0
  • +5,000 SFRZ4 95.37/95.50 call spds 9.5 vs. 95.615/0.18%
  • +10,000 SFRF5 95.75/95.87/96.00 put flys, 1.75 ref 95.91
  • -5,000 SFRH5 95.75/96.18/96.25/96.50 Iron Condor 30.25 ref 95.91
  • -10,000 2QZ4 96.00 puts 10.0 ref 96.28
  • +10,000 SFRZ4 95.37/95.43/95.50/95.56 put condors 1.5 ref 95.605
  • +5,000 0QH5 95.50 puts, 7.0 96.335/0.14%
  • Block, +10,000 SFRF5 95.75/95.87/96.00 put flys 1.75 ref 95.90
  • Block, 5,000 0QZ4 95.93/96.12/96.31 put flys, 3.0 net ref 96.31
  • Blocks, over 14,700 0QX4 96.50/96.81 3x2 put spds, 24 net ref 96.325
  • -10,000 2QZ4 96.37 straddles, 40.5 vs. 96.315/0.08%
  • +5,000 0QZ4 95.68/96.18 put spds vs 3QZ4 95.37/96.12 put spds, 1.0 net
  • +5,000 0QX4 96.00/96.12 put strip 10.5 ref 9632
  • 2,500 0QF5 96.43/96.56/96.68 call trees ref 96.345
  • 3,000 0QX4 95.81/96.00 put spds ref 96.305
  • +10,000 SFRZ4 95.12 puts, 0.5 ref 95.61
  • Block, 10,000 SFRZ4 95.37/95.50 call spds, 9.5 ref 95.605
  • -2,500 0QX4 96.00/96.12/96.25 put trees, 12.0 2-legs over ref 96.315
  • -5,000 SFRZ5 96.50/96.87/97.25 put flys, 4.0 ref 96.315
  • Treasury Options:
  • 5,600 wk2 TY 107.75/108.5/109.25 put flys, 7 ref 110-11.5
  • 12,000 TYZ4 109/109.5 put spds
  • -10,000 TYZ4 108.5/112.5 strangles 43-45
  • 12,000 TYZ4 109 puts, 36
  • +10,500 TYZ4 109.75 puts, 45 vs. 110-16.5
  • 6,000 TYZ4 108.5/110 put spds vs. 113 calls ref 110-15.5
  • +5,000 FVZ4 108.25 puts 118-119 ref 107-08
  • 3,100 wk3 TY 107/108 put spds ref 110-14 to -13.5
  • 28,000 TYZ4 109/110.5 put spds, 33 ref 110-19.5
  • -30,000 TYZ4 109.5/110.5 put spds, 25 ref 110-19
  • +20,000 TYZ4 108.5 puts, 21 - partly tied to 108.5/112.5 strangle
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Heavier SOFR & Treasury option volumes were reported Thursday, mostly buying downside risk insurance interspersed with position unwinds and outright vol structure selling ahead of Friday's headline October employment report. Underlying futures held weaker but off lows in late trade. Current projected rate cuts into early 2025 are largely steady vs. late Wednesday levels (*): Nov'24 cumulative at -23.5bp ( -23.5bp), Dec'24 -42.8bp (-42.8bp), Jan'25 -58.1bp (-58.1bp), Mar'25 -75.0bp (-76.0bp).

  • SOFR Options:
  • +45,000 0QH5 95.50 puts, 7.0 vs. 96.335/0.14%
  • -5,000 SFRM5 95.62/96.62 call over risk reversal 4.5, 96.125/0.50%
  • -13,000 SFRX4 95.62 straddles vs. 95.50 puts, 10.25-10
  • +10,000 0QZ4 96.37/96.62 1x2 call spd w/ 0QZ4 96.50/96.75 1x2 call spd/strip 0.75-1.0
  • +5,000 SFRZ4 95.37/95.50 call spds 9.5 vs. 95.615/0.18%
  • +10,000 SFRF5 95.75/95.87/96.00 put flys, 1.75 ref 95.91
  • -5,000 SFRH5 95.75/96.18/96.25/96.50 Iron Condor 30.25 ref 95.91
  • -10,000 2QZ4 96.00 puts 10.0 ref 96.28
  • +10,000 SFRZ4 95.37/95.43/95.50/95.56 put condors 1.5 ref 95.605
  • +5,000 0QH5 95.50 puts, 7.0 96.335/0.14%
  • Block, +10,000 SFRF5 95.75/95.87/96.00 put flys 1.75 ref 95.90
  • Block, 5,000 0QZ4 95.93/96.12/96.31 put flys, 3.0 net ref 96.31
  • Blocks, over 14,700 0QX4 96.50/96.81 3x2 put spds, 24 net ref 96.325
  • -10,000 2QZ4 96.37 straddles, 40.5 vs. 96.315/0.08%
  • +5,000 0QZ4 95.68/96.18 put spds vs 3QZ4 95.37/96.12 put spds, 1.0 net
  • +5,000 0QX4 96.00/96.12 put strip 10.5 ref 9632
  • 2,500 0QF5 96.43/96.56/96.68 call trees ref 96.345
  • 3,000 0QX4 95.81/96.00 put spds ref 96.305
  • +10,000 SFRZ4 95.12 puts, 0.5 ref 95.61
  • Block, 10,000 SFRZ4 95.37/95.50 call spds, 9.5 ref 95.605
  • -2,500 0QX4 96.00/96.12/96.25 put trees, 12.0 2-legs over ref 96.315
  • -5,000 SFRZ5 96.50/96.87/97.25 put flys, 4.0 ref 96.315
  • Treasury Options:
  • 5,600 wk2 TY 107.75/108.5/109.25 put flys, 7 ref 110-11.5
  • 12,000 TYZ4 109/109.5 put spds
  • -10,000 TYZ4 108.5/112.5 strangles 43-45
  • 12,000 TYZ4 109 puts, 36
  • +10,500 TYZ4 109.75 puts, 45 vs. 110-16.5
  • 6,000 TYZ4 108.5/110 put spds vs. 113 calls ref 110-15.5
  • +5,000 FVZ4 108.25 puts 118-119 ref 107-08
  • 3,100 wk3 TY 107/108 put spds ref 110-14 to -13.5
  • 28,000 TYZ4 109/110.5 put spds, 33 ref 110-19.5
  • -30,000 TYZ4 109.5/110.5 put spds, 25 ref 110-19
  • +20,000 TYZ4 108.5 puts, 21 - partly tied to 108.5/112.5 strangle