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US TSYS: Late SOFR/Treasury Option Roundup: Rate Cut Pricing Gains Momentum

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

SOFR/Treasury option flow turned mixed late Friday with a pick-up in call volumes as underlying futures look to finish near highs, curves rebounding following morning data. Core PCE inflation maintains a low bar for further front-loading of rate cuts. As such, projected rate cuts into early 2025 gained vs. pre-data levels (*): Nov'24 cumulative -38.5bp (-37.2bp), Dec'24 -76.8bp (-73.9bp), Jan'25 -109.5bp (-104.5bp). Salient trade includes:

  • SOFR Options:
  • +10,000 SFRV4/SFRX4 95.81/95.93 2x1 put spd spd .5 net
  • +4,000 SFRV4 95.87/96.00 2x1 put spds .25 over SFRV4 96.25 calls
  • +4,000 3QZ4 96.75/97.25 strangles 22.0-22.5 ref 96.895
  • +4,000 0QH5 98.00/98.25 call spds 2.5 ref 97.10
  • Block, 6,000 0QH5 97.37/98.12 call spds 1.0 over SFRH5 96.75/97.37 call spds
  • +5,000 2QZ4 96.62/97.00 2x1 put spds w/ 2QH5 96.50/97.00 2x1 put spds, 13.25 total
  • 7,000 SFRV4 95.87/95.93/96.00 put trees
  • 3,500 SFRV4 96.00/96.12 1x2 call spds ref 96.01
  • 5,000 SFRM5 95.75/96.00/96.25 call flys ref 96.845
  • 4,000 SFRV4 95.81/95.87/95.93 put trees ref 96.01
  • 7,500 SFRV4 95.87/96.00 2x1 put spds ref 96.00 
  • 2,500 SFRX4 95.75/95.81/95.93/96.00 call condors ref 96.00
  • 4,000 SFRZ4 96.00/96.12 call spds ref 96.00
  • 4,000 SFRZ4 95.75/96.00 3x2 put spds ref 96.00
  • over 6,100 SFRX4 95.75 puts, 2.0 ref 96.01
  • 3,000 2QV4 96.75/97.00 2x1 put spds ref 96.98 to -.985
  • Block/screen, 4,000 SFRV4/SFRX4 96.18/96.25 call spd strip, 2.25 total
  • Treasury Options:
  • +5,000 USX4 120 puts, 9
  • -10,000 Monday TY 114.75 calls, 6
  • 3,000 FVX4 108.25/109 put spds 
  • 2,900 TUZ4 104.5/105 call spds ref 104-05.62
  • 8,500 TYX4 115.5/116.5/117.5 call flys ref 114-18.5 to -18
  • 15,000 TYX4 113.5/114.25 2x1 put spds ref 114-12.5
  • over 5,300 TYX4 113 puts
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SOFR/Treasury option flow turned mixed late Friday with a pick-up in call volumes as underlying futures look to finish near highs, curves rebounding following morning data. Core PCE inflation maintains a low bar for further front-loading of rate cuts. As such, projected rate cuts into early 2025 gained vs. pre-data levels (*): Nov'24 cumulative -38.5bp (-37.2bp), Dec'24 -76.8bp (-73.9bp), Jan'25 -109.5bp (-104.5bp). Salient trade includes:

  • SOFR Options:
  • +10,000 SFRV4/SFRX4 95.81/95.93 2x1 put spd spd .5 net
  • +4,000 SFRV4 95.87/96.00 2x1 put spds .25 over SFRV4 96.25 calls
  • +4,000 3QZ4 96.75/97.25 strangles 22.0-22.5 ref 96.895
  • +4,000 0QH5 98.00/98.25 call spds 2.5 ref 97.10
  • Block, 6,000 0QH5 97.37/98.12 call spds 1.0 over SFRH5 96.75/97.37 call spds
  • +5,000 2QZ4 96.62/97.00 2x1 put spds w/ 2QH5 96.50/97.00 2x1 put spds, 13.25 total
  • 7,000 SFRV4 95.87/95.93/96.00 put trees
  • 3,500 SFRV4 96.00/96.12 1x2 call spds ref 96.01
  • 5,000 SFRM5 95.75/96.00/96.25 call flys ref 96.845
  • 4,000 SFRV4 95.81/95.87/95.93 put trees ref 96.01
  • 7,500 SFRV4 95.87/96.00 2x1 put spds ref 96.00 
  • 2,500 SFRX4 95.75/95.81/95.93/96.00 call condors ref 96.00
  • 4,000 SFRZ4 96.00/96.12 call spds ref 96.00
  • 4,000 SFRZ4 95.75/96.00 3x2 put spds ref 96.00
  • over 6,100 SFRX4 95.75 puts, 2.0 ref 96.01
  • 3,000 2QV4 96.75/97.00 2x1 put spds ref 96.98 to -.985
  • Block/screen, 4,000 SFRV4/SFRX4 96.18/96.25 call spd strip, 2.25 total
  • Treasury Options:
  • +5,000 USX4 120 puts, 9
  • -10,000 Monday TY 114.75 calls, 6
  • 3,000 FVX4 108.25/109 put spds 
  • 2,900 TUZ4 104.5/105 call spds ref 104-05.62
  • 8,500 TYX4 115.5/116.5/117.5 call flys ref 114-18.5 to -18
  • 15,000 TYX4 113.5/114.25 2x1 put spds ref 114-12.5
  • over 5,300 TYX4 113 puts