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US TSYS: Late SOFR/Treasury Option Roundup: Hedging Rate Cut Retreat

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

Option desks reported varied SOFR put trade on heavy volumes Wednesday, largely Dec'24 expiries with some unwinds in soon to expire October options. Underlying futures remain moderately weaker after the Sep FOMC minutes showed "some" voting members sought 25bp cut rather than 50bp. Projected rate cuts running near recent lows vs. late Tuesday (*): Nov'24 cumulative -20.7bp (-22.7bp), Dec'24 -45.6bp (-50.5bp), Jan'25 -65.1bp (-70.4bp).

  • SOFR Options: Reminder, October options expire Friday
  • Block, +10,000 SFRV4 95.62/95.75 1x2 put over risk reversals, 0.25 vs. 95.67/0.74%
  • -10,000 SFRZ4 95.50 puts, 4.0
  • -5,000 2QZ4 96.25/96.50/97.50/97.75 call condors 16.25 ref 96.60
  • -5,000 SFRZ4 95.43/95.50/95.62/95.68 put condors 1.0 ref 95.69
  • +6,000 0QZ4 96.87/97.12 call spds 5.75 ref 96.59
  • +3,500 SFRV4 95.56/95.62/95.68 put flys 1.0 ref 95.695
  • +30,000 SFRZ4 95.25/95.37/95.50 put trees 1.25 ref 95.70
  • -5,000 SFRM5 95.75/96.00 call spd vs 2QM5 96.50/96.75 call spds 4.5
  • +5,000 SFRM5 96.50 calls 29.5 ref 96.35
  • -5,000 0QZ4 96.37/97.00 call spds vs 3QZ 96.50/97.00 call spds, 7.5
  • -5,000 0QX4/SFRZ5 96.87 put spds 26
  • +8,000 SFRZ4 95.25/95.37/95.50 put flys 1.25 ref 95.705
  • Block, 12,000 SFRV4 95.62 puts, 1.5 ref 95.705
  • +5,000 SFRM4 96.50 calls, 29.5 ref 96.35
  • 45,000 SFRZ4 95.68/95.81 2x1 put spds ref 95.71 to -.715
  • over 20,900 0QV4 96.50 puts ref 96.63
  • 2,000 SFRZ4 95.37/95.62/96.31/96.56 put condors ref 95.715
  • 2,300 SFRH5 96.56/0QH5 97.25 call spds
  • 6,300 SFRZ4 95.50 puts ref 95.715
  • 2,000 SFRH5 95.37/95.62/95.87 2x3x1 put flys ref 96.11
  • 2,500 2QZ4 96.62/96.87 put spds ref 96.665
  • 4,000 SFRZ4 95.18/95.37 put spds ref 95.715
  • 4,900 0QF5 95.87/96.12 put spds ref 96.66
  • 2,500 SFRH5 96.25/96.50 call spds ref 96.12
  • Treasury Options:
  • 5,000 USZ4 112/132 strangles ref 121-04
  • -5,000 USZ4 114/118 put spds, 47 ref 121-03
  • 4,800 TUX4 103 puts ref 103-14.12 to -14
  • 2,500 TYX4 111.5/113 call over risk reversal ref 112-15
  • 5,000 FVZ4 107.5 puts
  • 3,000 FVZ4 109/110 call spds
  • 3,500 Wednesday wkly FV 108.75 calls, 2 ref 108-20.25
  • 2,800 TYX4 111.5 puts 12 last
  • 2,500 TYZ4 114 calls
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Option desks reported varied SOFR put trade on heavy volumes Wednesday, largely Dec'24 expiries with some unwinds in soon to expire October options. Underlying futures remain moderately weaker after the Sep FOMC minutes showed "some" voting members sought 25bp cut rather than 50bp. Projected rate cuts running near recent lows vs. late Tuesday (*): Nov'24 cumulative -20.7bp (-22.7bp), Dec'24 -45.6bp (-50.5bp), Jan'25 -65.1bp (-70.4bp).

  • SOFR Options: Reminder, October options expire Friday
  • Block, +10,000 SFRV4 95.62/95.75 1x2 put over risk reversals, 0.25 vs. 95.67/0.74%
  • -10,000 SFRZ4 95.50 puts, 4.0
  • -5,000 2QZ4 96.25/96.50/97.50/97.75 call condors 16.25 ref 96.60
  • -5,000 SFRZ4 95.43/95.50/95.62/95.68 put condors 1.0 ref 95.69
  • +6,000 0QZ4 96.87/97.12 call spds 5.75 ref 96.59
  • +3,500 SFRV4 95.56/95.62/95.68 put flys 1.0 ref 95.695
  • +30,000 SFRZ4 95.25/95.37/95.50 put trees 1.25 ref 95.70
  • -5,000 SFRM5 95.75/96.00 call spd vs 2QM5 96.50/96.75 call spds 4.5
  • +5,000 SFRM5 96.50 calls 29.5 ref 96.35
  • -5,000 0QZ4 96.37/97.00 call spds vs 3QZ 96.50/97.00 call spds, 7.5
  • -5,000 0QX4/SFRZ5 96.87 put spds 26
  • +8,000 SFRZ4 95.25/95.37/95.50 put flys 1.25 ref 95.705
  • Block, 12,000 SFRV4 95.62 puts, 1.5 ref 95.705
  • +5,000 SFRM4 96.50 calls, 29.5 ref 96.35
  • 45,000 SFRZ4 95.68/95.81 2x1 put spds ref 95.71 to -.715
  • over 20,900 0QV4 96.50 puts ref 96.63
  • 2,000 SFRZ4 95.37/95.62/96.31/96.56 put condors ref 95.715
  • 2,300 SFRH5 96.56/0QH5 97.25 call spds
  • 6,300 SFRZ4 95.50 puts ref 95.715
  • 2,000 SFRH5 95.37/95.62/95.87 2x3x1 put flys ref 96.11
  • 2,500 2QZ4 96.62/96.87 put spds ref 96.665
  • 4,000 SFRZ4 95.18/95.37 put spds ref 95.715
  • 4,900 0QF5 95.87/96.12 put spds ref 96.66
  • 2,500 SFRH5 96.25/96.50 call spds ref 96.12
  • Treasury Options:
  • 5,000 USZ4 112/132 strangles ref 121-04
  • -5,000 USZ4 114/118 put spds, 47 ref 121-03
  • 4,800 TUX4 103 puts ref 103-14.12 to -14
  • 2,500 TYX4 111.5/113 call over risk reversal ref 112-15
  • 5,000 FVZ4 107.5 puts
  • 3,000 FVZ4 109/110 call spds
  • 3,500 Wednesday wkly FV 108.75 calls, 2 ref 108-20.25
  • 2,800 TYX4 111.5 puts 12 last
  • 2,500 TYZ4 114 calls