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US TSYS: Late SOFR/Treasury Option Roundup: Upside Call Focus Continues

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

Option desks report better SOFR call structures on net Wednesday, most covering Oct-Nov expirys as underlying futures held mildly firmer in the very short end to weaker out the strip. Projected rate cuts into early 2025 held steady to mixed, latest vs. morning levels (*) as follows: Nov'24 cumulative -40.4bp (-39.1bp), Dec'24 -78.0bp (-79.1bp), Jan'25 -111.0bp (-112.5bp). Salient trade includes:

  • SOFR Options:
  • +11,000 SFRV4 96.18/96.25 call spds, 1.0 ref 96.07
  • 5,000 SFRZ4 95.68/95.75/95.87/95.93 put condors ref 96.09
  • 3,700 SFRX4 96.50/96.62 call spds ref 96.09
  • 3,700 SFRX4 95.68/95.93/96.18 call flys ref 96.055 vs. -.06
  • +5,000 2QZ4 96.25/96.50/97.50/97.75 call condors 19.5 ref 97.005
  • -4,000 SFRX4 95.75/95.93/96.12 call flys, 4.5 ref 96.09
  • +6,000 SFRZ4 96.12/96.25/96.56 call trees, 0.0 ref 96.09
  • -4,000 SFRV4 95.87/95.93/96.00/96.06 put condor 1.75 ref 9608
  • -20,000 SFRZ4 95.37/95.50 call spds 12.25 ref 96.075
  • Block, +10,000 SFRH5 96.75/97.00 call spds 1.0 over 2QH5 97.25/97.50 call spds
  • Block, 3,000 SFRZ4 95.62/95.75 put spds 1.0 vs. 96.065/0.06%
  • Block, 10,000 SFRH5 96.62/96.87 call spds vs. 2QH5 97.12/97.37 call spds, 0.0 net
  • 10,000 SFRV4 95.87/96.12/96.37 call flys ref 96.075
  • 2,000 SFRX4 96.12/96.25/96.37 call trees ref 96.075
  • 7,700 SFRV4 96.25 calls, 2.5 
  • 1,650 0QV4 97.12/97.50 call spds vs. 2QV4 97.06/97.31 call spds 
  • Block, 3,000 SFRX4 96.00/96.12 call spds 4.5 over 95.50/95.81 put spds
  • Block, 3,000 SFRV4 96.50/96.56 call strip 1.25 ref 96.08
  • 4,500 SFRV4 95.87/96.00 3x2 put spds ref 96.08
  • 3,000 SFRZ4 95.75/95.87 2x1 put spds ref 96.085
  • Treasury Options:
  • 2,100 TYZ4 112.5/114.5 put spds, 44
  • 5,000 TYZ4 113.5 puts, 45 ref 114-17.5
  • 2,600 TYX4 109.75/111 put spds ref 114-18.5
  • -10,000 Wednesday 10Y 114.75/115 put spds, 15
  • 2,750 FVX4 108.75/109.5 3x2 put spds
  • over 2,500 TYX4 116.5 calls, 13-14
247 words

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Option desks report better SOFR call structures on net Wednesday, most covering Oct-Nov expirys as underlying futures held mildly firmer in the very short end to weaker out the strip. Projected rate cuts into early 2025 held steady to mixed, latest vs. morning levels (*) as follows: Nov'24 cumulative -40.4bp (-39.1bp), Dec'24 -78.0bp (-79.1bp), Jan'25 -111.0bp (-112.5bp). Salient trade includes:

  • SOFR Options:
  • +11,000 SFRV4 96.18/96.25 call spds, 1.0 ref 96.07
  • 5,000 SFRZ4 95.68/95.75/95.87/95.93 put condors ref 96.09
  • 3,700 SFRX4 96.50/96.62 call spds ref 96.09
  • 3,700 SFRX4 95.68/95.93/96.18 call flys ref 96.055 vs. -.06
  • +5,000 2QZ4 96.25/96.50/97.50/97.75 call condors 19.5 ref 97.005
  • -4,000 SFRX4 95.75/95.93/96.12 call flys, 4.5 ref 96.09
  • +6,000 SFRZ4 96.12/96.25/96.56 call trees, 0.0 ref 96.09
  • -4,000 SFRV4 95.87/95.93/96.00/96.06 put condor 1.75 ref 9608
  • -20,000 SFRZ4 95.37/95.50 call spds 12.25 ref 96.075
  • Block, +10,000 SFRH5 96.75/97.00 call spds 1.0 over 2QH5 97.25/97.50 call spds
  • Block, 3,000 SFRZ4 95.62/95.75 put spds 1.0 vs. 96.065/0.06%
  • Block, 10,000 SFRH5 96.62/96.87 call spds vs. 2QH5 97.12/97.37 call spds, 0.0 net
  • 10,000 SFRV4 95.87/96.12/96.37 call flys ref 96.075
  • 2,000 SFRX4 96.12/96.25/96.37 call trees ref 96.075
  • 7,700 SFRV4 96.25 calls, 2.5 
  • 1,650 0QV4 97.12/97.50 call spds vs. 2QV4 97.06/97.31 call spds 
  • Block, 3,000 SFRX4 96.00/96.12 call spds 4.5 over 95.50/95.81 put spds
  • Block, 3,000 SFRV4 96.50/96.56 call strip 1.25 ref 96.08
  • 4,500 SFRV4 95.87/96.00 3x2 put spds ref 96.08
  • 3,000 SFRZ4 95.75/95.87 2x1 put spds ref 96.085
  • Treasury Options:
  • 2,100 TYZ4 112.5/114.5 put spds, 44
  • 5,000 TYZ4 113.5 puts, 45 ref 114-17.5
  • 2,600 TYX4 109.75/111 put spds ref 114-18.5
  • -10,000 Wednesday 10Y 114.75/115 put spds, 15
  • 2,750 FVX4 108.75/109.5 3x2 put spds
  • over 2,500 TYX4 116.5 calls, 13-14