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US TSYS: Early SOFR/Treasury Option Roundup: Calls Ahead NFP

US TSYS
USBulletMarketsFixed Income BulletsNorth America

Option desks report better SOFR & Treasury upside calls on lighter volume overnight, underlying futures mildly weaker in the lead up to January employment data at the bottom of the hour. Note, heavy block sales in Mar'25 2Y futures overnight: -35k TUH from 102-26.25 to -25.5 followed by +20k TYH5 at 109-16; another 12.5k TUH more recently. Projected rate cuts through mid-2025 ease slightly vs. late Thursday levels (*) as follows: Mar'25 steady at -3.9bp, May'25 at -10.7bp (-11.4bp), Jun'25 at -19.6bp (-20.3bp), Jul'25 at -25.1bp (-26.1bp).

  • SOFR Options:
    • 1,500 SFRK5 95.68/95.75/95.81 put flys ref 95.88
    • 4,250 SFRM5 96.50/97.00 call spds ref 95.875 to -.87
    • 4,500 SFRG5 95.81 calls, cab ref 95.74
    • 2,000 SFRJ5 96.06 calls ref 95.875
    • 2,000 SFRZ5 96.00/96.37/96.75 call flys ref 96.055
    • 1,500 3MQ5 95.00/95.50 put spds vs. 96.75/97.00 call spds ref 96.05
    • 1,500 0QG5 95.93/96.31 strangles
  • Treasury Options:
    • 4,000 TYH5 112 calls, 4 ref 109-19
    • 2,000 TYH5 110.5/111.5/112.5 call flys ref 109-19
    • 2,000 TYH5 111.5 calls, 6 ref 109-18.5
    • 2,600 TYH5 110.5 calls, 16 ref 109-16
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Option desks report better SOFR & Treasury upside calls on lighter volume overnight, underlying futures mildly weaker in the lead up to January employment data at the bottom of the hour. Note, heavy block sales in Mar'25 2Y futures overnight: -35k TUH from 102-26.25 to -25.5 followed by +20k TYH5 at 109-16; another 12.5k TUH more recently. Projected rate cuts through mid-2025 ease slightly vs. late Thursday levels (*) as follows: Mar'25 steady at -3.9bp, May'25 at -10.7bp (-11.4bp), Jun'25 at -19.6bp (-20.3bp), Jul'25 at -25.1bp (-26.1bp).

  • SOFR Options:
    • 1,500 SFRK5 95.68/95.75/95.81 put flys ref 95.88
    • 4,250 SFRM5 96.50/97.00 call spds ref 95.875 to -.87
    • 4,500 SFRG5 95.81 calls, cab ref 95.74
    • 2,000 SFRJ5 96.06 calls ref 95.875
    • 2,000 SFRZ5 96.00/96.37/96.75 call flys ref 96.055
    • 1,500 3MQ5 95.00/95.50 put spds vs. 96.75/97.00 call spds ref 96.05
    • 1,500 0QG5 95.93/96.31 strangles
  • Treasury Options:
    • 4,000 TYH5 112 calls, 4 ref 109-19
    • 2,000 TYH5 110.5/111.5/112.5 call flys ref 109-19
    • 2,000 TYH5 111.5 calls, 6 ref 109-18.5
    • 2,600 TYH5 110.5 calls, 16 ref 109-16