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US TSYS: Early SOFR/Treasury Option Roundup: March'25 5Y Put Skew Dominates Flow

US TSYS
USBulletMarketsFixed Income BulletsNorth America

Overnight option flow dominated by Mar'25 5Y skew play: buying over 80,000 put over risk reversals/covered, more than double the existing open interest in the two strikes. The combo covers a lot of data before expiring on Feb 21: today's FOMC obviously, next week's employment report, CPI and PPI. Underlying futures trading firmer, inside narrow range ahead of this afternoon's FOMC - steady rate annc expected. Projected rate cuts through mid-2025 laregely steady vs. late Tuesday (*) levels as follows: Jan'25 at -0.1bp, Mar'25 at -7.8bp, May'25 at -15.4bp, Jun'25 at -26.5bp, Jul'25 at -32.6bp (-32.1bp).

  • Treasury Options:
    • Adds to Block: 36,000 FVH5 106/107.5 put over risk reversals
    • Block, +45,000 FVH5 106/107.5 put over risk reversals, 4.5 vs. 106-19.25//0.51%
    • 1,000 TYH5 107/107.5/108.5 1x3x2 broken put flys
    • +2,500 TYH5 103/104.5/107 broken put flys, 5 ref 109-06.5
    • 3,000 TYH5 106/107 put spds ref 109-07.5
    • -1,500 FVH5 107.75 calls, 7 vs. 106-19.25/0.17%
    • +3,500 TYH5 108 puts, 16 ref 109-07
    • -3,500 TYJ5 106 puts, 10 ref 109-05
  • SOFR Options:
    • 1,500 SFRM5/SFRU5 95.75/96.06 call spd spd
    • 3,350 SFRN5 95.87/96.00/96.12 call flys ref 96.06
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Overnight option flow dominated by Mar'25 5Y skew play: buying over 80,000 put over risk reversals/covered, more than double the existing open interest in the two strikes. The combo covers a lot of data before expiring on Feb 21: today's FOMC obviously, next week's employment report, CPI and PPI. Underlying futures trading firmer, inside narrow range ahead of this afternoon's FOMC - steady rate annc expected. Projected rate cuts through mid-2025 laregely steady vs. late Tuesday (*) levels as follows: Jan'25 at -0.1bp, Mar'25 at -7.8bp, May'25 at -15.4bp, Jun'25 at -26.5bp, Jul'25 at -32.6bp (-32.1bp).

  • Treasury Options:
    • Adds to Block: 36,000 FVH5 106/107.5 put over risk reversals
    • Block, +45,000 FVH5 106/107.5 put over risk reversals, 4.5 vs. 106-19.25//0.51%
    • 1,000 TYH5 107/107.5/108.5 1x3x2 broken put flys
    • +2,500 TYH5 103/104.5/107 broken put flys, 5 ref 109-06.5
    • 3,000 TYH5 106/107 put spds ref 109-07.5
    • -1,500 FVH5 107.75 calls, 7 vs. 106-19.25/0.17%
    • +3,500 TYH5 108 puts, 16 ref 109-07
    • -3,500 TYJ5 106 puts, 10 ref 109-05
  • SOFR Options:
    • 1,500 SFRM5/SFRU5 95.75/96.06 call spd spd
    • 3,350 SFRN5 95.87/96.00/96.12 call flys ref 96.06