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US TSYS: Late SOFR/Treasury Option Roundup: Better Puts Ahead Sep Jobs Report

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

Option desks report better SOFR/Treasury put options on net Thursday, underlying futures weaker, near session lows in the lead up to Friday's headline employment data for September. SOFR White pack (SFRZ4-SFRU5) currently -0.040-0.095, while projected rate cuts look steady to mildly weaker vs. this morning's levels (*): Nov'24 cumulative -33.1bp (-34.1bp), Dec'24 -67.1bp (-68.9bp), Jan'25 -94.9bp (-99.5bp). Salient trade includes:

  • SOFR Options:
  • Block, 20,000 SFRZ4 95.37/95.50 put spds, 0.5 vs. 95.90/0.05%
  • 15,000 0QX4 96.50/96.81 3x2 put spds, 15.5 net package ref 96.95 at 1159:38ET
  • 5,000 2QV4 96.50/96.75 put spds, 2.0 ref 96.925
  • +4,000 SFRV4 95.75/95.81/95.87 put flys, 1.0 vs. 95.975/0.03%
  • +10,000 0QX4 96.50/96.81 3x2 put spreads 15.5 ref 96.94
  • +10,000 SFRH5 97.75/98.75 2x3 call spds 6.0 ref 96.425
  • +10,000 SFRZ4 95.81/95.93 2x1 put spds 0.5 ref 95.935
  • +5,000 SFRX4 96.06/96.18/96.25/96.43 call condors, 1.5 ref 95.94
  • +5,000 SFRU6 95.00 puts, 11.5 vs. 96.97/0.10%
  • +4,000 SFRX4 96.12/96.25 call spd, 2.25 vs. 95.945/0.10%
  • +2,500 SFRM5 96.00/96.50 put spd 4.0 over 97.75 call vs. 96.77/0.37%
  • +5,000 SFRH5 96.00/96.37 put spds vs 97.50 call w/
  • +5,000 SFRH5 96.25/97.25 put over risk reversals, +16.5 total db
  • +8,000 SFRV4 96.12/96.25 call spds 1.25 ref 95.96
  • +4,000 2QV4 97.25 calls, 1.0 ref 95.94
  • Blocks, 10,000 SFRU5 96.25/96.62 3x2 put spds, 8.0 net ref 96.915
  • 4,000 SFRV4 96.06/96.18 call spds ref 95.96
  • 1,500 SFRF5 96.12/96.31/96.37/96.56 put condors
  • 8,000 SFRV4 95.87/96.18/96.50 call flys
  • Block, 4,000 SFRV4 96.12/96.18 call spds, .75 ref 95.955
  • Block/screen, 11,600 SFRH5 95.25/95.75/96.00 broken put flys, 1.5 ref
  • Block, 10,000 SFRX4 96.12/96.25 call spds 2.25 vs. 95.945/0.10%
  • 6,100 SFRV4 96.18/96.25 call spds ref 95.955
  • 1,500 SFRX4 95.43/95.75 put spds vs. 96.00/96.12 call spd ref 95.955
  • 2,000 SFRZ4 95.81 puts, ref 95.955
  • Treasury Options:
  • 5,000 USX4 121/122 put spds, 15 ref 124-00
  • 11,500 TYX4 115.5/116.5/117.5 call flys ref 114-10 to 114-04
  • 3,700 TUZ4 104.5/105 call spds ref 104-01.88
  • 2,000 TYZ4 113/115 strangles, 133 ref 114-09
  • 3,100 wk1 TY 113.5/114 put spds
  • 3,500 wk1 TY 113.75/114 put spds
  • over 3,700 TYX4 115 calls
  • 1,500 TYX4 112.5/114 put spds, 27 ref 114-08
  • 3,000 FVX4 110.25/111.5 1x2 call spds
  • 1,500 TUZ4 103.62 puts
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Option desks report better SOFR/Treasury put options on net Thursday, underlying futures weaker, near session lows in the lead up to Friday's headline employment data for September. SOFR White pack (SFRZ4-SFRU5) currently -0.040-0.095, while projected rate cuts look steady to mildly weaker vs. this morning's levels (*): Nov'24 cumulative -33.1bp (-34.1bp), Dec'24 -67.1bp (-68.9bp), Jan'25 -94.9bp (-99.5bp). Salient trade includes:

  • SOFR Options:
  • Block, 20,000 SFRZ4 95.37/95.50 put spds, 0.5 vs. 95.90/0.05%
  • 15,000 0QX4 96.50/96.81 3x2 put spds, 15.5 net package ref 96.95 at 1159:38ET
  • 5,000 2QV4 96.50/96.75 put spds, 2.0 ref 96.925
  • +4,000 SFRV4 95.75/95.81/95.87 put flys, 1.0 vs. 95.975/0.03%
  • +10,000 0QX4 96.50/96.81 3x2 put spreads 15.5 ref 96.94
  • +10,000 SFRH5 97.75/98.75 2x3 call spds 6.0 ref 96.425
  • +10,000 SFRZ4 95.81/95.93 2x1 put spds 0.5 ref 95.935
  • +5,000 SFRX4 96.06/96.18/96.25/96.43 call condors, 1.5 ref 95.94
  • +5,000 SFRU6 95.00 puts, 11.5 vs. 96.97/0.10%
  • +4,000 SFRX4 96.12/96.25 call spd, 2.25 vs. 95.945/0.10%
  • +2,500 SFRM5 96.00/96.50 put spd 4.0 over 97.75 call vs. 96.77/0.37%
  • +5,000 SFRH5 96.00/96.37 put spds vs 97.50 call w/
  • +5,000 SFRH5 96.25/97.25 put over risk reversals, +16.5 total db
  • +8,000 SFRV4 96.12/96.25 call spds 1.25 ref 95.96
  • +4,000 2QV4 97.25 calls, 1.0 ref 95.94
  • Blocks, 10,000 SFRU5 96.25/96.62 3x2 put spds, 8.0 net ref 96.915
  • 4,000 SFRV4 96.06/96.18 call spds ref 95.96
  • 1,500 SFRF5 96.12/96.31/96.37/96.56 put condors
  • 8,000 SFRV4 95.87/96.18/96.50 call flys
  • Block, 4,000 SFRV4 96.12/96.18 call spds, .75 ref 95.955
  • Block/screen, 11,600 SFRH5 95.25/95.75/96.00 broken put flys, 1.5 ref
  • Block, 10,000 SFRX4 96.12/96.25 call spds 2.25 vs. 95.945/0.10%
  • 6,100 SFRV4 96.18/96.25 call spds ref 95.955
  • 1,500 SFRX4 95.43/95.75 put spds vs. 96.00/96.12 call spd ref 95.955
  • 2,000 SFRZ4 95.81 puts, ref 95.955
  • Treasury Options:
  • 5,000 USX4 121/122 put spds, 15 ref 124-00
  • 11,500 TYX4 115.5/116.5/117.5 call flys ref 114-10 to 114-04
  • 3,700 TUZ4 104.5/105 call spds ref 104-01.88
  • 2,000 TYZ4 113/115 strangles, 133 ref 114-09
  • 3,100 wk1 TY 113.5/114 put spds
  • 3,500 wk1 TY 113.75/114 put spds
  • over 3,700 TYX4 115 calls
  • 1,500 TYX4 112.5/114 put spds, 27 ref 114-08
  • 3,000 FVX4 110.25/111.5 1x2 call spds
  • 1,500 TUZ4 103.62 puts