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US TSYS: Early SOFR/Treasury Option Roundup

US TSYS
USBulletMarketsFixed Income BulletsNorth America

Overnight SOFR & Treasury option flow leaning towards upside calls, decent positioning ahead March Tsy option expiration after the close. Of note, April 10Y puts sold over call spread blocks this morning is a partial unwind of Thursday's +50k TYJ5 108 put vs. 110.5 calls - while going short the 111.5 call. Projected rate cuts through mid-2025 look steady to mildly firmer vs. late Thursday levels (*) as follows: Mar'25 steady at -0.5bp, May'25 steady at -5.8bp, Jun'25 at -15.7bp (-15.1bp), Jul'25 at -21.1bp (-20.6bp).

  • Treasury Options:
    • Blocks, total -13,700 TYJ5 108 puts 6 over TYJ5 110.5/111.5 call spds
    • 2,800 TYK5 106.5/108.5 put spds ref 109-06.5
    • 1,300 FVH5 106.5 straddles, 10.5 ref 106-16.75
    • over 8,600 TYH5 109 puts, 1
    • over 6,000 TYJ5 110 calls, 23 last
  • SOFR Options:
    • Block, 9,105 SFRU5 96.25 calls, 11.5 vs. 95.95/0.27%
    • Block, 7,500 SFRZ5 96.50/96.75 call spds, 4.0 ref 96.01
    • 5,000 SFRU5 96.00/96.50/97.00 call flys, 5.5 ref 95.94
    • 2,000 0QM5 96.12/96.37 call spds ref 96.07
    • 9,500 SFRM5 95.81/95.87/95.93 call flys ref 95.83
    • 2,000 SFRU5/SFRZ5 95.62/95.75 put spd spds
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Overnight SOFR & Treasury option flow leaning towards upside calls, decent positioning ahead March Tsy option expiration after the close. Of note, April 10Y puts sold over call spread blocks this morning is a partial unwind of Thursday's +50k TYJ5 108 put vs. 110.5 calls - while going short the 111.5 call. Projected rate cuts through mid-2025 look steady to mildly firmer vs. late Thursday levels (*) as follows: Mar'25 steady at -0.5bp, May'25 steady at -5.8bp, Jun'25 at -15.7bp (-15.1bp), Jul'25 at -21.1bp (-20.6bp).

  • Treasury Options:
    • Blocks, total -13,700 TYJ5 108 puts 6 over TYJ5 110.5/111.5 call spds
    • 2,800 TYK5 106.5/108.5 put spds ref 109-06.5
    • 1,300 FVH5 106.5 straddles, 10.5 ref 106-16.75
    • over 8,600 TYH5 109 puts, 1
    • over 6,000 TYJ5 110 calls, 23 last
  • SOFR Options:
    • Block, 9,105 SFRU5 96.25 calls, 11.5 vs. 95.95/0.27%
    • Block, 7,500 SFRZ5 96.50/96.75 call spds, 4.0 ref 96.01
    • 5,000 SFRU5 96.00/96.50/97.00 call flys, 5.5 ref 95.94
    • 2,000 0QM5 96.12/96.37 call spds ref 96.07
    • 9,500 SFRM5 95.81/95.87/95.93 call flys ref 95.83
    • 2,000 SFRU5/SFRZ5 95.62/95.75 put spd spds