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US TSYS: Early SOFR/Treasury Option Roundup

US TSYS
USBulletMarketsFixed Income BulletsNorth America

Option desks report modest SOFR & Treasury option volume overnight, better 10Y put interest followed by Jan 10Y call condors more recently. Underlying futures continue to extend lows, 10Y yield revisiting late May levels at 4.6068% this morning. Curves mildly steeper with short end rates outperforming (2s10s now at 25.174 vs. 23.991 low), while projected rate cuts into early 2025 look steady to slightly lower vs. late Monday (*) as follows: Jan'25 steady at -2.1bp, Mar'25 steady at -11.7bp, May'25 -16.7bp (-16.0bp), Jun'25 -23.1bp (-23.4bp).

  • SOFR Options:
    • 3,100 SFRF5 95.56/95.62/95.68 put flys
  • Treasury Options:
    • 6,000 TYF5 108.5/108.75/109/109.25 call condors
    • Block, 6,000 TYF5 108.5 puts, 13 ref 108-15, 8,200 total, 11 last
    • 26,000 TYG5 107.5/108.5 put spds, 24 ref 108-16.5
    • 1,700 USF5 112 puts, 2 ref 113-18
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Option desks report modest SOFR & Treasury option volume overnight, better 10Y put interest followed by Jan 10Y call condors more recently. Underlying futures continue to extend lows, 10Y yield revisiting late May levels at 4.6068% this morning. Curves mildly steeper with short end rates outperforming (2s10s now at 25.174 vs. 23.991 low), while projected rate cuts into early 2025 look steady to slightly lower vs. late Monday (*) as follows: Jan'25 steady at -2.1bp, Mar'25 steady at -11.7bp, May'25 -16.7bp (-16.0bp), Jun'25 -23.1bp (-23.4bp).

  • SOFR Options:
    • 3,100 SFRF5 95.56/95.62/95.68 put flys
  • Treasury Options:
    • 6,000 TYF5 108.5/108.75/109/109.25 call condors
    • Block, 6,000 TYF5 108.5 puts, 13 ref 108-15, 8,200 total, 11 last
    • 26,000 TYG5 107.5/108.5 put spds, 24 ref 108-16.5
    • 1,700 USF5 112 puts, 2 ref 113-18