Heavier SOFR and Treasury option volume continued Friday, upside call skew still outbid puts as underlying futures quickly rebounded off morning lows. Projected rate cut pricing into year end look firmer vs. early Friday (*): July'24 at -6.5% w/ cumulative at -1.6bp at 5.313%, Sep'24 cumulative -25.2bp (-24.1bp), Nov'24 cumulative -41.4bp (-38.5bp), Dec'24 -62.9bp (-59.6bp). Salient flow includes:
- SOFR Options:
- -10,000 SFRU4 94.75/94.81 put spds .875 ref 94.94
- +10,000 SFRH5 94.87/95.50 put spds 15.5 vs. 95.695/0.26%
- -7,000 SFRZ4 94.25/94.62/95.00 put flys, 3.0 ref 95.32
- -5,000 SFRZ4 95.25/95.50 call spds 8.75 ref 95.33
- +5,000 0QU4 95.75 puts, 4.0 vs. 96.22/0.16%
- +5,000 0QU4 96.25/96.50/96.75 call flys 3.875 ref 95.20
- -6,000 SFRN4 94.93 calls, .5 ref 94.94
- -5,000 2QU4 96.25/96.50 call spds, 15.0 ref 96.51
- -5,000 2QU4 96.37/96.50 call spd with 2QU4 96.25/96.50 call spd strip 22.0
- Block/pit, -40,000 SFRZ4 95.50/96.25/97.00 call flys, 5.5 ref 95.33 to -.32
- -6,000 SFRU4 95.00/95.50 call spds, 3 ref 94.945
- -5,000 SFRX4 95.18 puts, 10.0 vs. 95.27/0.38%
- +5,000 SFRU4 94.87/94.93 put spds, 2.5 vs. 94.935/0.20%
- -12,000 2QQ4 96.25 puts, 4.0 vs. 96.53/.20%
- +6,000 SFRU4 94.62/94.75 put spds vs SFRZ4 94.62/94.75 put spds 0.25 net
- -4,000 SFRZ4 95.25/95.50 call spds, 8.5 ref 95.32
- +/-5,000 SFRN4 94.93 conversions
- 4,500 SFRZ4 95.25/95.31/95.37 call flys
- 13,000 SFRZ4 95.25/95.50 call spds ref 95.295 to -.30
- 3,500 0QN4 96.12/96.25 call spds ref 96.155
- 3,500 SFRV4 95.12/95.31 2x1 put spds ref 95.30
- 1,000 SFRN4 94.93/95.00 3x2 call spds ref 94.935
- Treasury Options:
- 12,000 TYQ4 111.5/112 2x3 call spds, 13 net ref 111-05
- +11,100 TYU4 108/113 strangles, 19 vs. 111-04/0.13%
- -2,000 TYU4 111 straddles, 140
- 2,300 TUQ4 102.25/102.5 call spds ref 102-15.12
- 1,300 TYU4 112/113.5/115 call flys ref 111-00.5
- 2,000 USU4 122124 call spds
- 15,000 TYQ4 111/111.5 call spds ref 110-31.5
- Block, -20,000 TYQ4 111.5 calls, 16-14 ref 110-31.5 to 111-00.5
