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

US TSYS
USBulletMarketsFixed Income BulletsNorth America

Overnight SOFR & Treasury option flow looks mixed, pick up in SOFR calls ahead of this morning's key CPI inflation data. Underlying futures near overnight lows, curves adding slightly to yesterday's steepening (2s10s +.172 at 24.740). Projected rate cuts through mid-2025 look steady to mildly softer vs. late Tuesday levels (*) as follows: Mar'25 at -0.7bp (-1.4bp), May'25 at -6.3bp, Jun'25 at -13.9bp (-14.8bp), Jul'25 at -18.9bp (-19.6bp).

  • SOFR Options:
    • Block, 2,500 SFRJ5 95.62/95.75 put spds ref 95.805
    • 11,500 SFRZ5 96.00 calls
    • 4,100 SFRM5 95.00/95.56/95.62 broken put trees ref 95.81
    • 4,000 SFRM5 95.75/96.00 call spds ref 95.81
    • 5,000 SFRZ5 96.18/97.18 call spds ref 95.975
    • 3,500 SFRH5 96.00 calls, 0.5
    • 2,900 SFRG5 95.68 puts, 0.5
  • Treasury Options:
    • 2,400 FVJ5 105/106 put spds vs. 107.25 calls ref 106-12
    • 8,000 TYH5 106/107 put spds ref 108-28 to -28.5
    • 2,000 USJ5 108 puts, 8 ref 114-18
    • 5,800 TYH5 107.5 puts, 3 ref 108-29.5
    • 30,000 TYH5 110.5 calls, 3 total volume over 33k
    • over 18,600 TYH5108.5 puts, 14 last
    • over 6,000 TYH5 110 calls, 5 ref 108-29
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Overnight SOFR & Treasury option flow looks mixed, pick up in SOFR calls ahead of this morning's key CPI inflation data. Underlying futures near overnight lows, curves adding slightly to yesterday's steepening (2s10s +.172 at 24.740). Projected rate cuts through mid-2025 look steady to mildly softer vs. late Tuesday levels (*) as follows: Mar'25 at -0.7bp (-1.4bp), May'25 at -6.3bp, Jun'25 at -13.9bp (-14.8bp), Jul'25 at -18.9bp (-19.6bp).

  • SOFR Options:
    • Block, 2,500 SFRJ5 95.62/95.75 put spds ref 95.805
    • 11,500 SFRZ5 96.00 calls
    • 4,100 SFRM5 95.00/95.56/95.62 broken put trees ref 95.81
    • 4,000 SFRM5 95.75/96.00 call spds ref 95.81
    • 5,000 SFRZ5 96.18/97.18 call spds ref 95.975
    • 3,500 SFRH5 96.00 calls, 0.5
    • 2,900 SFRG5 95.68 puts, 0.5
  • Treasury Options:
    • 2,400 FVJ5 105/106 put spds vs. 107.25 calls ref 106-12
    • 8,000 TYH5 106/107 put spds ref 108-28 to -28.5
    • 2,000 USJ5 108 puts, 8 ref 114-18
    • 5,800 TYH5 107.5 puts, 3 ref 108-29.5
    • 30,000 TYH5 110.5 calls, 3 total volume over 33k
    • over 18,600 TYH5108.5 puts, 14 last
    • over 6,000 TYH5 110 calls, 5 ref 108-29