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US TSYS: Early SOFR/Treasury Option Roundup

US TSYS
USBulletMarketsFixed Income BulletsNorth America

Mixed SOFR & Treasury overnight option flow leaning towards low delta Tsy puts while SOFR options look more pared at the moment. Short end rates drew support ahead the NY open, helping projected rate cuts into early 2025 gain slightly vs. late Thursday levels (*) as follows: Jan'25 steady at -2.7bp, Mar'25 steady at -13.1bp, May'25 -17.7bp (-17.0bp), Jun'25 -25.7bp (-25.3bp).

  • SOFR Options:
    • +2,500 SFRJ5 96.00/96.50 call spds, 8.0
    • 2,400 SFRU5 96.12 calls ref 95.96
    • 1,000 0QF5 95.87/96.00/96.12/96.25 put condors ref 95.99
    • 4,000 0QH5 96.12/96.37 call spds ref 95.98
    • 1,000 0QH5 95.37/95.50/95.75 broken put flys
  • Treasury Options:
    • 1,000 USG5 122/125 1x2 call spds
    • over 5,800 TYG5 104 puts, 3 ref 108-16.5
    • over 4,400 TYF5 108.5 puts, 5 last
    • over 4,200 TYF5 108.25 puts, 1 last
    • 3,200 TYG5 104 puts, 3 last
    • 3,000 TYG5 111/112 call spds ref 108-21.5
    • 2,500 FVF5 106.25 calls, 1 ref 106-04.5
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Mixed SOFR & Treasury overnight option flow leaning towards low delta Tsy puts while SOFR options look more pared at the moment. Short end rates drew support ahead the NY open, helping projected rate cuts into early 2025 gain slightly vs. late Thursday levels (*) as follows: Jan'25 steady at -2.7bp, Mar'25 steady at -13.1bp, May'25 -17.7bp (-17.0bp), Jun'25 -25.7bp (-25.3bp).

  • SOFR Options:
    • +2,500 SFRJ5 96.00/96.50 call spds, 8.0
    • 2,400 SFRU5 96.12 calls ref 95.96
    • 1,000 0QF5 95.87/96.00/96.12/96.25 put condors ref 95.99
    • 4,000 0QH5 96.12/96.37 call spds ref 95.98
    • 1,000 0QH5 95.37/95.50/95.75 broken put flys
  • Treasury Options:
    • 1,000 USG5 122/125 1x2 call spds
    • over 5,800 TYG5 104 puts, 3 ref 108-16.5
    • over 4,400 TYF5 108.5 puts, 5 last
    • over 4,200 TYF5 108.25 puts, 1 last
    • 3,200 TYG5 104 puts, 3 last
    • 3,000 TYG5 111/112 call spds ref 108-21.5
    • 2,500 FVF5 106.25 calls, 1 ref 106-04.5