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US TSYS: SOFR/Treasury Option Roundup: Carry-Over Puts Fade More Aggressive Cuts

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

​​Option desks have reported better downside put & put spread buying on net this morning, carry-over after Thursday's heavy volumes as accounts looked to hedge against additional aggressive cuts by year end after the Fed cut 50bp on Wednesday. Projected rate cuts into early 2025 have receded slightly, latest vs. late Thursday levels (*) as follows: Nov'24 cumulative -34.6bp (-35.9bp), Dec'24 -70.1bp (-72.4bp), Jan'25 -102.0bp (-106.5bp).

  • SOFR Options:
  • +40,000 SFRU6 94.00/94.50/95.00 put flys, 1.5-1.75 ref 97.045
  • +10,000 SFRX4 95.50/95.62 put spds, 0.5 ref 95.99
  • +5,000 SFRZ4 96.75/97.75 call spds, 1.0 vs. 96.015/0.05%
  • 5,000 SFRZ4 95.56/95.81 call spds ref 95.98 to -.985
  • 4,000 SFRZ4 95.87/96.00/96.06/96.18 call condors ref 95.98 to -.985
  • +5,000 SFRF5 96.37/0QF5 96.75 put spreads cab
  • 10,000 0QZ4 97.00 straddles 49.0-49.5 ref 97.07
  • 5,000 SFRZ4 96.75/97.50 call spds ref 96.00 to -.005
  • 3,000 SFRV4 96.18/96.93/96.43 broken call trees ref 96.00
  • 2,500 0QZ4 96.50/96.75 put spds ref 97.06
  • 2,000 0QV4 96.81/96.93 put spds ref 97.065
  • 2,000 0QV4 96.62/96.93/97.12 put flys ref 97.10
  • 2,000 SFRZ4 95.50/95.62 put spds ref 96.005
  • 9,000 SFRF5 96.00/96.25/96.31/96.50 put condors ref 96.605
  • 2,000 SFRZ4 95.00/95.56 put spds ref 96.005
  • 2,000 SFRH5 95.75/96.00 put spds ref 96.62
  • Treasury Options:
  • over 26,900 TYV4 115 calls, 1
  • over 20,400 TYV4 114.75 puts, 4 last ref 114-25
  • 2,500 TYV4 114.5 straddles, 21 ref 114-24
  • 5,000 TYV4 113.75/114.75 call spds
  • 5,000 TYV4 114.5/114.75 put spds, 5 ref 114-23
  • 2,000 FVX4 109.5 puts, 18 ref 110-06.5
  • 2,000 TYZ4 112/114.5 2x1 put spds over 118 calls ref 114-24
  • 1,750 TUX4 104.5/104.75/105 call trees ref 104-09.62
  • over 14,200 TYV4 115 calls, 4 ref 114-26.5
  • 4,400 TYX4 116 calls, 25 ref 114-30 to -30.5
  • 8,600 TYV4 114.25 puts ref 114-29.5 to -30
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​​Option desks have reported better downside put & put spread buying on net this morning, carry-over after Thursday's heavy volumes as accounts looked to hedge against additional aggressive cuts by year end after the Fed cut 50bp on Wednesday. Projected rate cuts into early 2025 have receded slightly, latest vs. late Thursday levels (*) as follows: Nov'24 cumulative -34.6bp (-35.9bp), Dec'24 -70.1bp (-72.4bp), Jan'25 -102.0bp (-106.5bp).

  • SOFR Options:
  • +40,000 SFRU6 94.00/94.50/95.00 put flys, 1.5-1.75 ref 97.045
  • +10,000 SFRX4 95.50/95.62 put spds, 0.5 ref 95.99
  • +5,000 SFRZ4 96.75/97.75 call spds, 1.0 vs. 96.015/0.05%
  • 5,000 SFRZ4 95.56/95.81 call spds ref 95.98 to -.985
  • 4,000 SFRZ4 95.87/96.00/96.06/96.18 call condors ref 95.98 to -.985
  • +5,000 SFRF5 96.37/0QF5 96.75 put spreads cab
  • 10,000 0QZ4 97.00 straddles 49.0-49.5 ref 97.07
  • 5,000 SFRZ4 96.75/97.50 call spds ref 96.00 to -.005
  • 3,000 SFRV4 96.18/96.93/96.43 broken call trees ref 96.00
  • 2,500 0QZ4 96.50/96.75 put spds ref 97.06
  • 2,000 0QV4 96.81/96.93 put spds ref 97.065
  • 2,000 0QV4 96.62/96.93/97.12 put flys ref 97.10
  • 2,000 SFRZ4 95.50/95.62 put spds ref 96.005
  • 9,000 SFRF5 96.00/96.25/96.31/96.50 put condors ref 96.605
  • 2,000 SFRZ4 95.00/95.56 put spds ref 96.005
  • 2,000 SFRH5 95.75/96.00 put spds ref 96.62
  • Treasury Options:
  • over 26,900 TYV4 115 calls, 1
  • over 20,400 TYV4 114.75 puts, 4 last ref 114-25
  • 2,500 TYV4 114.5 straddles, 21 ref 114-24
  • 5,000 TYV4 113.75/114.75 call spds
  • 5,000 TYV4 114.5/114.75 put spds, 5 ref 114-23
  • 2,000 FVX4 109.5 puts, 18 ref 110-06.5
  • 2,000 TYZ4 112/114.5 2x1 put spds over 118 calls ref 114-24
  • 1,750 TUX4 104.5/104.75/105 call trees ref 104-09.62
  • over 14,200 TYV4 115 calls, 4 ref 114-26.5
  • 4,400 TYX4 116 calls, 25 ref 114-30 to -30.5
  • 8,600 TYV4 114.25 puts ref 114-29.5 to -30