​Option desks reported heavy volumes as accounts rushed the field following yesterday's 50bp rate cut. Downside puts dominated trade, however, fading the pick-up in projected rate cuts into early 2025 from an assumed 4.83% effective, latest vs. this morning's pre-data (*) as follows: Nov'24 cumulative -35.9bp (-33.3bp), Dec'24 -72.4bp (-70.8bp), Jan'25 -106.5bp (-1.050bp).

• SOFR Options:
• +10,000 SFRZ4 95.62/95.68 put spds 0.75 vs. 95.985/0.05%
• over +60,000 SFRX4 95.50/95.62 put spds, 0.50 ref 96.01
• Block, 7,500 95.25/96.00/96.75 put flys, 12.5
• Block, 10,000 SFRZ4 95.43/95.50 put strip vs. 95.56/95.62 put strip
• Block, 8,880 SFRZ4 95.43/95.56/95.5/95.62 put condors, 0.0
• -5,000 SFRZ4 95.87/96.00 call spds, 6.0 ref 96.00
• -10,000 0QV4 96.87/97.12 put spds, 11.0 ref 97.07
• +10,500 SFRU5/SFRZ5 96.00/96.50 put spd strip 23.5-24.0
• +10,000 SFRH5 97.75/98.75 2x3 call spds 7.0 ref 96.58
• -10,000 0QH5 96.50/96.75/97.00 put trees, .5 ref 97.06
• Block, 12,000 SFR5 95.68/95.87 put spds 1.0 ref 96.61
• 15,000 SFRU4/SFRZ4 96.00/96.50 put spd spd
• Block/screen, 24,500 SFRZ4 95.68/95.87 put spds 6.0 vs. 95.975/0.10%
• Block, 9,000 0QV4 95.75 puts, cab
• Block, 2,500 SFRH5 95.62/95.75/96.25 broken put trees ref 96.605
• 5,400 SFRX4 96.12/96.25 call spds vs. 95.75/95.87 put spds ref 96.00
• Block, 2,500 SFRX4 96.06/96.18/96.31 call flys 1.75 ref 96.00
• Block, 3,000 SFRH5 95.37/95.75/96.25 broken put trees, 8.0 ref 96.605
• 3,200 SFRH5 95.37/95.75/96.25 put trees ref 96.605
• Block, 2,500 SFRX4 95.75/95.81/95.87/95.93 put condors, 0.5
• 9,500 SFRZ4 95.87/96.12/96.68 call trees vs. 95.25 puts ref 96.01 to 95.99
• 7,600 3QZ4 96.00/96.50 put spds ref 96.955
• 9,800 SFRZ4 96.25/96.37 call spds vs. 95.62/95.75 put spds ref 96.01
• 3,300 SFRX4 96.25/96.75 2x3 call spds ref 96.01
• over 6,600 SFRV4 96.00 puts, ref 96.01
• 3,000 0QV4 95.62/95.75/95.87 put flys ref 96.105
• 3,000 SFRX4 95.62/95.75/95.87 put flys ref 96.05
• 7,500 SFRH5 97.00/97.31 call spds ref 96.61
• 4,000 SFRX4 95.75 puts, 1.75 ref 96.01
• Treasury Options:
• +50,000 wk2 FV 109 puts 9-9.5 vs. 110-04.25/0.15%
• +10,000 wk2 FV 109.25 puts, 11 vs. 110-05.5/0.20%
• -6,000 TYX4 112 puts, 8
• +8,000 wk4 TY 113.25 3 vs. 114-23.5/0.05%
• +10,000 wk4 TY 114 puts, 8
• -5,000 wk4 US 124 puts 27
• -20,000 TYV4 114/114.5 put spds, 6 ref 114-20
• 2,100 WNV4 133.5 vs. WNX4 136 call spds
• 3,000 TYX4 114.5 puts 39 ref 114-31
• 2,500 FVZ4 111/112 call spds ref 110-13.25
• 5,300 FVV 109.75 vs. FVX 110.25 call spds
• 12,900 TYV4 114 puts, 2 ref 114-28