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US TSYS: Lat eSOFR/Treasury Option Roundup: Heavy SOFR Puts

US TSYS
USBulletMarketsFixed Income BulletsNorth America

Heavy option volumes reported Friday, SOFR outpacing Treasury flows with the former leaning towards downside puts as underlying futures retreated towards post data lows late in the session. Projected rate cuts through mid-2025 have retreated since this morning's data, current vs. morning levels* as follows: Jan'25 at -0.7bp (-1.7bp), Mar'25 -6.3bp (-10.1bp), May'25 -10.5bp (-15.9bp), Jun'25 -18.2bp (-25.6bp), Jul'25 -20.2bp (25.5bp).

  • SOFR Options
    • Block, 9,000 SFRM5 95.62/95.75 put spds, 6.0 ref 95.84
    • +20,000 0QK5 95.25/95.50 put spds 1.0-1.25 over 96.00/96.12 call spds
    • Block, +6,400 SFRZ5 97.00/98.00 call spds, 8.0 vs. 95.925/0.12%
    • +8,000 0QM5/0QU5 94.50/95.00 put spd strip 9.75 total
    • +5,000 0QM5 94.00/94.50/95.00 put flys, 2.5 vs. 95.87/0.05%
    • +10,000 SFRZ5 95.25/95.75 2x1 put spds, 3.25 ref 95.915
    • +6,000 SFRM5 96.00/96.25 call spds, 4.5 ref 95.845
    • -5,000 SFRZ5 96.56 calls, 18.5 ref 95.905
    • -6,000 0QM5 95.75 puts cvrd vs 2QM5/3QM5 95.75 put strip cvrd, 10.5 net puts over
    • +20,000 0QM5 96.37/97.00 call spds vs 95.37/95.62 put spd, 3.0 net calls over
    • -10,000 0QG5 96.00 calls, 12.0 ref 95.95
    • -20,000 0QH5 96.62 calls, 3.0
    • +7,000 0QZ5 97.25 calls, 9.5 vs. 95.87/0.14%
    • +10,000 SFRJ5 96.50 calls, 2.75 ref 95.855
    • -5,000 SRM5 96.00/96.25 call spds, 4.5 ref 95.845
    • -8,000 SFRJ5 95.75 puts, 7.0 ref 95.84
    • -10,000 SFRG5 95.68 puts, 1.5 ref 95.75
    • +5,000 SFRU5 96.50/97.00 call spds 5.0 ref 95.88
    • +10,000 SFRK5 96.50/96.75/97.00/97.25 call condors, 1.00 ref 95.91
    • Block, 5,000 SFRZ5 95.25/95.75 2x1 put spds, 3.0 net ref 95.935
    • 5,000 SFRM5 96.06/96.18 call spd vs. 0QM5 96.25/96.37 call spd
    • 10,000 SFRF5 95.87 calls, cab
    • 2,000 0QG5 95.81/95.87/95.93 put flys ref 96.02
    • Block/screen, 10,000 2QH5 95.00/95.50 put spds, 4.0 vs. 95.94/0.15%
    • +3,000 SFRH5 95.875/96.1875 call spd 3.25, ref 95.795
    • 1,500 SFRK5 95.75/95.87/96.00 put flys ref 95.92
    • Blocks, +10,000 SFRM5 95.75/95.9375/96.1875/96.375 call condor, 5.0 vs. 95.90/0.10%
    • Blocks, +18,966 SFRJ5 96.125/96.3125/96.5625/96.75 call condor, 2.50 ref 95.93
  • Treasury Options
    • 10,000 TYG5 107.5/108.25 call spds 27 ref 107-24
    • 4,000 TYG5 104.25/105.75 put spds ref 107-21
    • -10,000 TYG5 106/106.5 put strips, 14
    • 4,000 Monday wkly TY 107/107.25 put spds ref 108-03 (expire Monday)
    • over -19,500 wk2 TY 107.5 puts, 4-5 (expire today, OI 39,662)
    • 2,000 TYH5 106/108 2x1 put spd vs. 108.5/111 1x2 call spds ref 108-08.5
    • 3,150 TYH5 111/113 1x2 call spds ref 108-02.5
    • 2,000 TYG5 109.5/110.5/111.5 call flys ref 108-04.5
    • +13,000 TYH 106.5/107.5 2x1 put spd, 4 ref 108-05 (106.5 strike appr 4.95%)
    • 3,500 TYG5 108/109.5 put spds, ref 108-05
    • 5,000 TYG5 106.5/107.5 put spds, ref 108-05
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Heavy option volumes reported Friday, SOFR outpacing Treasury flows with the former leaning towards downside puts as underlying futures retreated towards post data lows late in the session. Projected rate cuts through mid-2025 have retreated since this morning's data, current vs. morning levels* as follows: Jan'25 at -0.7bp (-1.7bp), Mar'25 -6.3bp (-10.1bp), May'25 -10.5bp (-15.9bp), Jun'25 -18.2bp (-25.6bp), Jul'25 -20.2bp (25.5bp).

  • SOFR Options
    • Block, 9,000 SFRM5 95.62/95.75 put spds, 6.0 ref 95.84
    • +20,000 0QK5 95.25/95.50 put spds 1.0-1.25 over 96.00/96.12 call spds
    • Block, +6,400 SFRZ5 97.00/98.00 call spds, 8.0 vs. 95.925/0.12%
    • +8,000 0QM5/0QU5 94.50/95.00 put spd strip 9.75 total
    • +5,000 0QM5 94.00/94.50/95.00 put flys, 2.5 vs. 95.87/0.05%
    • +10,000 SFRZ5 95.25/95.75 2x1 put spds, 3.25 ref 95.915
    • +6,000 SFRM5 96.00/96.25 call spds, 4.5 ref 95.845
    • -5,000 SFRZ5 96.56 calls, 18.5 ref 95.905
    • -6,000 0QM5 95.75 puts cvrd vs 2QM5/3QM5 95.75 put strip cvrd, 10.5 net puts over
    • +20,000 0QM5 96.37/97.00 call spds vs 95.37/95.62 put spd, 3.0 net calls over
    • -10,000 0QG5 96.00 calls, 12.0 ref 95.95
    • -20,000 0QH5 96.62 calls, 3.0
    • +7,000 0QZ5 97.25 calls, 9.5 vs. 95.87/0.14%
    • +10,000 SFRJ5 96.50 calls, 2.75 ref 95.855
    • -5,000 SRM5 96.00/96.25 call spds, 4.5 ref 95.845
    • -8,000 SFRJ5 95.75 puts, 7.0 ref 95.84
    • -10,000 SFRG5 95.68 puts, 1.5 ref 95.75
    • +5,000 SFRU5 96.50/97.00 call spds 5.0 ref 95.88
    • +10,000 SFRK5 96.50/96.75/97.00/97.25 call condors, 1.00 ref 95.91
    • Block, 5,000 SFRZ5 95.25/95.75 2x1 put spds, 3.0 net ref 95.935
    • 5,000 SFRM5 96.06/96.18 call spd vs. 0QM5 96.25/96.37 call spd
    • 10,000 SFRF5 95.87 calls, cab
    • 2,000 0QG5 95.81/95.87/95.93 put flys ref 96.02
    • Block/screen, 10,000 2QH5 95.00/95.50 put spds, 4.0 vs. 95.94/0.15%
    • +3,000 SFRH5 95.875/96.1875 call spd 3.25, ref 95.795
    • 1,500 SFRK5 95.75/95.87/96.00 put flys ref 95.92
    • Blocks, +10,000 SFRM5 95.75/95.9375/96.1875/96.375 call condor, 5.0 vs. 95.90/0.10%
    • Blocks, +18,966 SFRJ5 96.125/96.3125/96.5625/96.75 call condor, 2.50 ref 95.93
  • Treasury Options
    • 10,000 TYG5 107.5/108.25 call spds 27 ref 107-24
    • 4,000 TYG5 104.25/105.75 put spds ref 107-21
    • -10,000 TYG5 106/106.5 put strips, 14
    • 4,000 Monday wkly TY 107/107.25 put spds ref 108-03 (expire Monday)
    • over -19,500 wk2 TY 107.5 puts, 4-5 (expire today, OI 39,662)
    • 2,000 TYH5 106/108 2x1 put spd vs. 108.5/111 1x2 call spds ref 108-08.5
    • 3,150 TYH5 111/113 1x2 call spds ref 108-02.5
    • 2,000 TYG5 109.5/110.5/111.5 call flys ref 108-04.5
    • +13,000 TYH 106.5/107.5 2x1 put spd, 4 ref 108-05 (106.5 strike appr 4.95%)
    • 3,500 TYG5 108/109.5 put spds, ref 108-05
    • 5,000 TYG5 106.5/107.5 put spds, ref 108-05