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US TSYS: Early SOFR/Treasury Option Roundup

US TSYS
USBulletMarketsFixed Income BulletsNorth America

Mixed SOFR & Treasury option trade reported overnight on much lighter volumes than the week opener. SOFR leaning towards upside call structures and puts in Treasury options. Underlying futures continue toi gradually unwind Monday's DeepSeek inspire risk-off support. In turn, projected rate cuts through mid-2025 have eased vs. late Monday (*) levels as follows: Jan'25 at -0.1bp (-0.7bp), Mar'25 at -7.8bp (-8.3bp), May'25 at -14.7bp (-15.9bp), Jun'25 at -26.7bp (-27.9bp), Jul'25 at -31.6bp (-33.7bp).

  • SOFR Options:
    • Block/screen, 3,500 SFRZ5 95.62/96.12 2x1 put spds, 10.0ref 96.10
    • 2,000 SFRJ5 96.00/96.06/96.12 call flys ref 95.935
    • 1,000 0QM5/0QZ5 96.25/96.50/96.75 call fly spd
    • 3,900 SFRH5 95.87/96.00 call spds ref 95.78
  • Treasury Options:
    • 5,000 TYH5 106/107 put spds, 5 ref 108-29
    • 3,000 wk1 TY 107.75/108 put spds (exp 2/7) ref 108-29 to -27.5
    • 1,250 TYH5 103/104.5/107 broken put flys ref 108-31
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Mixed SOFR & Treasury option trade reported overnight on much lighter volumes than the week opener. SOFR leaning towards upside call structures and puts in Treasury options. Underlying futures continue toi gradually unwind Monday's DeepSeek inspire risk-off support. In turn, projected rate cuts through mid-2025 have eased vs. late Monday (*) levels as follows: Jan'25 at -0.1bp (-0.7bp), Mar'25 at -7.8bp (-8.3bp), May'25 at -14.7bp (-15.9bp), Jun'25 at -26.7bp (-27.9bp), Jul'25 at -31.6bp (-33.7bp).

  • SOFR Options:
    • Block/screen, 3,500 SFRZ5 95.62/96.12 2x1 put spds, 10.0ref 96.10
    • 2,000 SFRJ5 96.00/96.06/96.12 call flys ref 95.935
    • 1,000 0QM5/0QZ5 96.25/96.50/96.75 call fly spd
    • 3,900 SFRH5 95.87/96.00 call spds ref 95.78
  • Treasury Options:
    • 5,000 TYH5 106/107 put spds, 5 ref 108-29
    • 3,000 wk1 TY 107.75/108 put spds (exp 2/7) ref 108-29 to -27.5
    • 1,250 TYH5 103/104.5/107 broken put flys ref 108-31