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US TSYS: Late SOFR/Treasury Option Summary: Deluge of Downside Puts

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America


Option desks reported another round of heavy put volume Monday as underlying futures continue to weaken following last Friday's strong jobs report (SOFR White pack -0.065-0.080, Tsy 2Y yld climbs to 4.0223%, 10Y yld 4.0139%). Note, buyer of 60,300 wk2 5Y 109 puts, 41.5 ref 108-16 -- cover this week's CPI/PPI and Sep FOMC event risk before expiring this Friday. Meanwhile, projected rate cuts continue to recede -- November not fully pricing a 25bp cut now: Nov'24 cumulative -22bp (-26.6bp late Fri), Dec'24 -48.5bp (-57.2bp), Jan'25 -68.4bp (-80.9bp). Salient trade:

  • SOFR Options:
  • Block, 30,000 SFRF5/SFRH5 96.50 call spds, 4.75 ref 96.06
  • Block, 54,350 SFRF5/SFRH5 97.00 call spds, 2.5 ref 96.06
  • Block 7,500 95.50/96.00 3x1 SFRZ4 95.50/96.00, 22 ref 
  • Block, 10,000 SFRX4 95.25/95.37/95.50 put flys, 1.25 ref 95.68
  • Block, 7,000 0QX4 95.87/96.12/96.25/96.50 put condors, 6.0 ref 96.575
  • +15,000 2QH5 96.00/96.50 5x4 put spds, 48.0-48.5 vs 96.65/0.64%
  • +7,000 0QV4 96.56/96.93 put spds, 28.5 vs. 96.59/0.50%
  • +10,000 0QZ4 96.00 puts, 5.5 vs. 96.58/0.16%
  • +7,000 SFRH5 95.68/96.00 2x1 put spds 2.25 ref 96.065
  • -20,000 SFRX4 96.12 calls, 1.75-1.50 ref 95.67
  • -18,000 SFRH5 95.62/95.75 put spds vs 96.25/96.43 call spds 1.0-1.75,
  • Block/screen, 34,000 0QV4 96.62/96.87 put spds, 20 ref 96.57
  • +10,000 SFRZ4 95.56/95.68/95.81 put flys, 3.75
  • 46,000 SFRF5 95.62/95.75 put spds ref 96.05
  • 35,000 2QZ4 96.50/96.75 put spds ref 96.635
  • Block, 7,000 SFRV4 95.81 calls, 0.75 ref 95.685
  • 6,500 SFRM5 96.50 puts vs. 96.50/97.50 call spds ref 96.295
  • Block, 8,500 SFRX5 95.50/95.62 put spds, 3.25
  • 9,000 SFRH5 95.25/95.75/96.00 put flys ref 96.055
  • 10,000 SFRF5 95.87/96.06/96.25 put flys ref 96.085 to -.065
  • 20,000 SFRZ4 95.37/95.50 put spds, ref 95.72 to -.695
  • 15,000 SFRX4 95.50/95.75/95.87 broken put flys ref 95.71
  • Block, 6,500 SFRH5 95.50/95.75 put spds, 5.5 ref 96.065
  • Treasury Options:
  • Block, +12,500 TYZ4 109.5/111.5 put spds at 30 vs appr 20,000 TYZ4 116.5/117 2x1 call strip at 23 vs. 1,900 TYZ4 112-16
  • over 60,300 wk2 5Y 109 puts, 41.5 ref 108-16 (expire Friday)
  • 5,000 USZ4 112/116 put spds, 25 ref 121-11
  • 29,000 TYZ4 110/112 put spds 37 vs. 112-17/0.29%
  • 5,000 FVX4 108.5/109 strangles, 34 ref 108-16.75
  • 10,000 TYX4 113.5 calls, 15 ref 112-19.5
  • Block/screen, 7,500 TYZ4 110.5/111.5 3x2 put spds, 119
  • Block/screen, 17,500 TYZ4 111/112 put spds, 21 ref 112-22
  • 35,000 TYX4 112/112.75 2x1 put spds, 1 ref 112-27 to -22.5
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Option desks reported another round of heavy put volume Monday as underlying futures continue to weaken following last Friday's strong jobs report (SOFR White pack -0.065-0.080, Tsy 2Y yld climbs to 4.0223%, 10Y yld 4.0139%). Note, buyer of 60,300 wk2 5Y 109 puts, 41.5 ref 108-16 -- cover this week's CPI/PPI and Sep FOMC event risk before expiring this Friday. Meanwhile, projected rate cuts continue to recede -- November not fully pricing a 25bp cut now: Nov'24 cumulative -22bp (-26.6bp late Fri), Dec'24 -48.5bp (-57.2bp), Jan'25 -68.4bp (-80.9bp). Salient trade:

  • SOFR Options:
  • Block, 30,000 SFRF5/SFRH5 96.50 call spds, 4.75 ref 96.06
  • Block, 54,350 SFRF5/SFRH5 97.00 call spds, 2.5 ref 96.06
  • Block 7,500 95.50/96.00 3x1 SFRZ4 95.50/96.00, 22 ref 
  • Block, 10,000 SFRX4 95.25/95.37/95.50 put flys, 1.25 ref 95.68
  • Block, 7,000 0QX4 95.87/96.12/96.25/96.50 put condors, 6.0 ref 96.575
  • +15,000 2QH5 96.00/96.50 5x4 put spds, 48.0-48.5 vs 96.65/0.64%
  • +7,000 0QV4 96.56/96.93 put spds, 28.5 vs. 96.59/0.50%
  • +10,000 0QZ4 96.00 puts, 5.5 vs. 96.58/0.16%
  • +7,000 SFRH5 95.68/96.00 2x1 put spds 2.25 ref 96.065
  • -20,000 SFRX4 96.12 calls, 1.75-1.50 ref 95.67
  • -18,000 SFRH5 95.62/95.75 put spds vs 96.25/96.43 call spds 1.0-1.75,
  • Block/screen, 34,000 0QV4 96.62/96.87 put spds, 20 ref 96.57
  • +10,000 SFRZ4 95.56/95.68/95.81 put flys, 3.75
  • 46,000 SFRF5 95.62/95.75 put spds ref 96.05
  • 35,000 2QZ4 96.50/96.75 put spds ref 96.635
  • Block, 7,000 SFRV4 95.81 calls, 0.75 ref 95.685
  • 6,500 SFRM5 96.50 puts vs. 96.50/97.50 call spds ref 96.295
  • Block, 8,500 SFRX5 95.50/95.62 put spds, 3.25
  • 9,000 SFRH5 95.25/95.75/96.00 put flys ref 96.055
  • 10,000 SFRF5 95.87/96.06/96.25 put flys ref 96.085 to -.065
  • 20,000 SFRZ4 95.37/95.50 put spds, ref 95.72 to -.695
  • 15,000 SFRX4 95.50/95.75/95.87 broken put flys ref 95.71
  • Block, 6,500 SFRH5 95.50/95.75 put spds, 5.5 ref 96.065
  • Treasury Options:
  • Block, +12,500 TYZ4 109.5/111.5 put spds at 30 vs appr 20,000 TYZ4 116.5/117 2x1 call strip at 23 vs. 1,900 TYZ4 112-16
  • over 60,300 wk2 5Y 109 puts, 41.5 ref 108-16 (expire Friday)
  • 5,000 USZ4 112/116 put spds, 25 ref 121-11
  • 29,000 TYZ4 110/112 put spds 37 vs. 112-17/0.29%
  • 5,000 FVX4 108.5/109 strangles, 34 ref 108-16.75
  • 10,000 TYX4 113.5 calls, 15 ref 112-19.5
  • Block/screen, 7,500 TYZ4 110.5/111.5 3x2 put spds, 119
  • Block/screen, 17,500 TYZ4 111/112 put spds, 21 ref 112-22
  • 35,000 TYX4 112/112.75 2x1 put spds, 1 ref 112-27 to -22.5