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US TSYS: Early SOFR/Treasury Option Roundup

US TSYS
USBulletMarketsFixed Income BulletsNorth America

Decent SOFR & Treasury option volumes on mixed trade this morning, underlying futures rising to near mid-December levels. Projected rate cuts into early 2025 look steady to slightly higher vs. late Monday levels (*) as follows: Jan'25 steady at -2.8bp, Mar'25 -14.6bp (-13.6bp), May'25 -21.3bp (-19.5bp), Jun'25 -30.8bp (-28.8bp).

  • SOFR Options:
    • 24,000 SFRU5 96.50/97.50 call spds vs. 12,000 SFRZ5 95.50 puts
    • +2,500 SFRZ5 96.00/96.50/97.00 call flys, 8.25
    • 2,400 SFRH5 95.75/96.00 call spds
  • Treasury Options:
    • +12,000 TYG5 110.5/111.5/112/112.75 broken call condors, 7 vs. 109-04/0.05%
    • +5,000 wk2 US 112/112.5 put spds, 6 vs. 114-06
    • 2,000 TYG5 108.5/110 put spds ref 109-01
    • 1,100 TYH5 100/103/104 broken put trees ref 109-05
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Decent SOFR & Treasury option volumes on mixed trade this morning, underlying futures rising to near mid-December levels. Projected rate cuts into early 2025 look steady to slightly higher vs. late Monday levels (*) as follows: Jan'25 steady at -2.8bp, Mar'25 -14.6bp (-13.6bp), May'25 -21.3bp (-19.5bp), Jun'25 -30.8bp (-28.8bp).

  • SOFR Options:
    • 24,000 SFRU5 96.50/97.50 call spds vs. 12,000 SFRZ5 95.50 puts
    • +2,500 SFRZ5 96.00/96.50/97.00 call flys, 8.25
    • 2,400 SFRH5 95.75/96.00 call spds
  • Treasury Options:
    • +12,000 TYG5 110.5/111.5/112/112.75 broken call condors, 7 vs. 109-04/0.05%
    • +5,000 wk2 US 112/112.5 put spds, 6 vs. 114-06
    • 2,000 TYG5 108.5/110 put spds ref 109-01
    • 1,100 TYH5 100/103/104 broken put trees ref 109-05