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US TSYS: Early SOFR/Treasury Option Roundup: Treasury Puts

US TSYS
USBulletMarketsFixed Income BulletsNorth America

Option desks report better Tsy option volumes overnight, leaning towards 5- & 10Y put structures with underlying futures trading at/near steady - narrow ranges on lighter volumes. Projected rate cuts through mid-2025 look steady to mildly lower vs. late Friday levels (*) as follows: Mar'25 at -1.9bp (-2.5bp), May'25 steady at -7.3bp, Jun'25 at -15.5bp (-15.8bp), Jul'25 at -20.1bp (-20.6bp).

  • Treasury Options:
    • 6,000 TYK5 111/113 call spds ref 109-06.5
    • 2,000 TYK5 105/107 put spds vs. 111/113 call spds ref 109-05
    • -45,000 FVH5 106/107.5 put over risk reversals, 7.5 cr
    • 1,400 FVH5/FVJ5 105.5/106/106.5 put tree strip
    • Block: +10,000 TYH5 107.5 puts, 3.0 w/ +30,000 TYH5 108.5 puts, 13, 42 db for the strip vs. -30,000 TYJ5 107.5/108.5 put spds, 20, 18 net package
    • +10,000 TYH5 108.5 puts, 13 ref 109-07/0.29%
    • +7,000 TYH5 106/107 put spds, 1 ref 109-13/0.22%
    • +10,000 TYJ5 107.5/108.5 put spds, 19 ref 109-05.5 to -06/0.15%
    • 1,000 USH5 110/111 2x1 put spds ref 115-17
  • SOFR Options:
    • 1,500 SFRM5 95.62/95.75/95.87 put flys ref 95.825
    • 5,000 2QH5 95.87/96.25 strangle or combo ref 96.05
    • 2,000 SFRK5 95.62/95.75/95.81/95.87 put condors ref 95.815 to -.82
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Option desks report better Tsy option volumes overnight, leaning towards 5- & 10Y put structures with underlying futures trading at/near steady - narrow ranges on lighter volumes. Projected rate cuts through mid-2025 look steady to mildly lower vs. late Friday levels (*) as follows: Mar'25 at -1.9bp (-2.5bp), May'25 steady at -7.3bp, Jun'25 at -15.5bp (-15.8bp), Jul'25 at -20.1bp (-20.6bp).

  • Treasury Options:
    • 6,000 TYK5 111/113 call spds ref 109-06.5
    • 2,000 TYK5 105/107 put spds vs. 111/113 call spds ref 109-05
    • -45,000 FVH5 106/107.5 put over risk reversals, 7.5 cr
    • 1,400 FVH5/FVJ5 105.5/106/106.5 put tree strip
    • Block: +10,000 TYH5 107.5 puts, 3.0 w/ +30,000 TYH5 108.5 puts, 13, 42 db for the strip vs. -30,000 TYJ5 107.5/108.5 put spds, 20, 18 net package
    • +10,000 TYH5 108.5 puts, 13 ref 109-07/0.29%
    • +7,000 TYH5 106/107 put spds, 1 ref 109-13/0.22%
    • +10,000 TYJ5 107.5/108.5 put spds, 19 ref 109-05.5 to -06/0.15%
    • 1,000 USH5 110/111 2x1 put spds ref 115-17
  • SOFR Options:
    • 1,500 SFRM5 95.62/95.75/95.87 put flys ref 95.825
    • 5,000 2QH5 95.87/96.25 strangle or combo ref 96.05
    • 2,000 SFRK5 95.62/95.75/95.81/95.87 put condors ref 95.815 to -.82