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US TSYS: Lat SOFR/Treasury Option Roundup

US TSYS
USBulletMarketsFixed Income BulletsNorth America

Decent SOFR & Treasury option flow leaned towards low delta Tsy puts while SOFR options focused on upside calls as short end rates rebounded, helping projected rate cuts into early 2025 gain slightly vs. this morning levels (*) as follows: Jan'25 steady at -2.7bp, Mar'25 -13.3bp (-13.1bp), May'25 -18.5bp (-17.7bp), Jun'25 -26.5bp (-25.7bp).

  • SOFR Options:
    • Screen/Block +60,000 SFRM5 96.12/96.62 call spds 3.0-3.25 over 95.56 puts vs. 95.92/0.36%
    • +5,000 SFRH5 96.00 calls, 4.0 vs. 95.81/0.24%
    • +3,000 0QF5/0QH5 96.00/96.12/96.25 call tree strip, 10.5 total (+1 leg 0QF, +2 legs 0QH)
    • +2,500 0QH5 96.00/96.50 1x2 call spds, 7.5 vs. 95.995/0.14%
    • +2,500 SFRH5 96.25 calls, 2.25 ref 95.815
    • -2,500 SFRG5/SFRH5 96.00 call strip, 6.0 vs. 95.80/0.38%
    • -3,000 SFRZ5 96.00 puts, 39.0 vs. 95.995/0.50%
    • +2,500 SFRZ5 95.61/96.12 2x1 put spds, 2.0 ref 96.01
    • +2,000 0QH5 96.00 puts. 22.0 vs. 95.995/0.51%
    • +5,000 SFRM5 96.62/96.87 call spds, 1.5 vs. 95.91
    • +5,000 SFRM5 98.00 calls, 1.5
    • +2,500 SFRJ5 96.00/96.50 call spds, 8.0
    • 2,400 SFRU5 96.12 calls ref 95.96
    • 1,000 0QF5 95.87/96.00/96.12/96.25 put condors ref 95.99
    • 4,000 0QH5 96.12/96.37 call spds ref 95.98
    • 1,000 0QH5 95.37/95.50/95.75 broken put flys
  • Treasury Options:
    • 2,500 TYG5 111/111.5 call spds ref 108-18
    • 2,100 FVG5 107/108 call spds ref 106-03.75
    • 1,000 USG5 122/125 1x2 call spds
    • over 5,800 TYG5 104 puts, 3 ref 108-16.5
    • over 4,400 TYF5 108.5 puts, 5 last
    • over 4,200 TYF5 108.25 puts, 1 last
    • 3,200 TYG5 104 puts, 3 last
    • 3,000 TYG5 111/112 call spds ref 108-21.5
    • 2,500 FVF5 106.25 calls, 1 ref 106-04.5
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Decent SOFR & Treasury option flow leaned towards low delta Tsy puts while SOFR options focused on upside calls as short end rates rebounded, helping projected rate cuts into early 2025 gain slightly vs. this morning levels (*) as follows: Jan'25 steady at -2.7bp, Mar'25 -13.3bp (-13.1bp), May'25 -18.5bp (-17.7bp), Jun'25 -26.5bp (-25.7bp).

  • SOFR Options:
    • Screen/Block +60,000 SFRM5 96.12/96.62 call spds 3.0-3.25 over 95.56 puts vs. 95.92/0.36%
    • +5,000 SFRH5 96.00 calls, 4.0 vs. 95.81/0.24%
    • +3,000 0QF5/0QH5 96.00/96.12/96.25 call tree strip, 10.5 total (+1 leg 0QF, +2 legs 0QH)
    • +2,500 0QH5 96.00/96.50 1x2 call spds, 7.5 vs. 95.995/0.14%
    • +2,500 SFRH5 96.25 calls, 2.25 ref 95.815
    • -2,500 SFRG5/SFRH5 96.00 call strip, 6.0 vs. 95.80/0.38%
    • -3,000 SFRZ5 96.00 puts, 39.0 vs. 95.995/0.50%
    • +2,500 SFRZ5 95.61/96.12 2x1 put spds, 2.0 ref 96.01
    • +2,000 0QH5 96.00 puts. 22.0 vs. 95.995/0.51%
    • +5,000 SFRM5 96.62/96.87 call spds, 1.5 vs. 95.91
    • +5,000 SFRM5 98.00 calls, 1.5
    • +2,500 SFRJ5 96.00/96.50 call spds, 8.0
    • 2,400 SFRU5 96.12 calls ref 95.96
    • 1,000 0QF5 95.87/96.00/96.12/96.25 put condors ref 95.99
    • 4,000 0QH5 96.12/96.37 call spds ref 95.98
    • 1,000 0QH5 95.37/95.50/95.75 broken put flys
  • Treasury Options:
    • 2,500 TYG5 111/111.5 call spds ref 108-18
    • 2,100 FVG5 107/108 call spds ref 106-03.75
    • 1,000 USG5 122/125 1x2 call spds
    • over 5,800 TYG5 104 puts, 3 ref 108-16.5
    • over 4,400 TYF5 108.5 puts, 5 last
    • over 4,200 TYF5 108.25 puts, 1 last
    • 3,200 TYG5 104 puts, 3 last
    • 3,000 TYG5 111/112 call spds ref 108-21.5
    • 2,500 FVF5 106.25 calls, 1 ref 106-04.5