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US TSY OPTIONS: 5Y & 10Y Upside Call Structures

US TSY OPTIONS
USBulletMarketsFixed Income BulletsNorth America

Limited post-holiday SOFR & Treasury option flow overnight involves 5- and 10Y upside call structures so far. Tsy Mar'25 10Y contract trades 108-09 last (-9) vs. 108-08.5 low. Initial technical support at 108-00 (1.500 proj of the Oct 1 - 14 - 16 price swing). Tsy 10Y yield tapped 4.6291% high (+.0404), highest since late May. Curves steeper, 2s10s +1.187 at 26.195, 5s30s +1.148. Projected rate cuts into early 2025 look steady to slightly lower vs. late Tuesday (*) as follows: Jan'25 steady at -2.1bp, Mar'25 at -11.7bp (-12.6bp), May'25 -16.0bp (-17.2bp), Jun'25 -23.7bp (-24.6bp).

  • Treasury Options:
  • 2,000 TYF5 108.25/108.75/109 broken call trees ref 108-09.5
  • 2,500 FVF5 106/106.25/106.5 call flys ref 105-29.75
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Limited post-holiday SOFR & Treasury option flow overnight involves 5- and 10Y upside call structures so far. Tsy Mar'25 10Y contract trades 108-09 last (-9) vs. 108-08.5 low. Initial technical support at 108-00 (1.500 proj of the Oct 1 - 14 - 16 price swing). Tsy 10Y yield tapped 4.6291% high (+.0404), highest since late May. Curves steeper, 2s10s +1.187 at 26.195, 5s30s +1.148. Projected rate cuts into early 2025 look steady to slightly lower vs. late Tuesday (*) as follows: Jan'25 steady at -2.1bp, Mar'25 at -11.7bp (-12.6bp), May'25 -16.0bp (-17.2bp), Jun'25 -23.7bp (-24.6bp).

  • Treasury Options:
  • 2,000 TYF5 108.25/108.75/109 broken call trees ref 108-09.5
  • 2,500 FVF5 106/106.25/106.5 call flys ref 105-29.75