US TSYS: Late SOFR/Treasury Option Roundup: Put Focus Ongoing

SOFR & Treasury put option flow continued to revolve around low delta downside puts as underlying rates continued to extend lows through the second half. Curves bear flattened with bonds underperforming after today's $25B 30Y auction tailed. Projected rate cut pricing cools vs. morning levels (*) as follows: Jun'25 at steady at -4.2bp, Jul'25 at -16.7bp (-18.7bp), Sep'25 -34.2bp (-38.4bp), Oct'25 -49.2bp (-55.7bp)

• SOFR Options:
  • -10,000 SFRU5 96.43/96.93 call spds, 5.25
  • Update, over +55,000 SFRZ5 95.68 puts, 3.5 pit/screen
  • Block, 5,000 SFRZ5 95.50/95.87 put spds, 5.5 ref 96.40
  • +20,000 SFRZ5 95.68 puts, 3.5
  • +5,000 0QM5 97.56 calls, 1.5
  • 1,750 SFRK5 95.75/95.81 put spds ref 95.755
  • 2,000 SFRH6/2QH6 96.00 put spds on 3x2 ratio
  • 3,000 SFRM5 95.81/95.93 put spds ref 95.76
  • +2,500 SFRM5 95.68/95.81/95.93 put flys, 2.75
  • +3,000 SFRN5/SFRU5 96.18/96.37 call spd strip 2.0 over -6,000 0QM5 97.00/97.18 call spd
  • 3,500 SFRN5 95.75/95.87/96.00 put flys, 2.75
  • +5,750 SFRU5 95.81/SFRZ5 95.68 put spds, 1.5 net/Sep over
  • -2,000 3QN5 97.00/98.25 call spds, 4.0 ref 96.49
  • over 4,000 SFRN5 95.87 puts ref 96.11
  • 3,000 SFRM5 95.75 puts, ref 95.755
  • +3,500 SFRM5 95.75/95.87/96.00 put flys, 2.75
  • -1,500 SFRK5 95.50/95.62/95.75 put flys, 1.5 ref 95.755
  • +3,000 SFRM5 95.68/95.75/95.81 put flys, 1.75
  • -2,000 SFRN5 96.75/97.00 call spds, 1.0 ref 96.125
• Treasury Options:
  • Update, +10,000 TYM/TYQ 112.5 call spds 44
  • 2,000 TYN5 111.5 calls vs. 110.5/111.5 2x1 put spds ref 111-13
  • 4,000 wk5 US 118/120 call spds ref 114-28
  • over 8,000 wk5 5Y 109.25/109.75 call spds ref 108-19.25
  • 2,100 TYN5 108.5/114.5 strangles ref 111-12.5
  • Block/screen, -30,000 TYN5 109.5/110.5 put spds 16 ref 111-21
  • 1,500 USQ5 108 puts ref 114-25
  • +4,700 wk3 TY 110 puts, 4
  • +2,000 TUN5 104.12/104.87 call spds, 12
  • -2,500 FVM5 108.25 puts, 15-14.5
  • +2,500 FVM5 108.75 puts, 30.5-31.5