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US TSYS: Late SOFR/Treasury Option Roundup

US TSYS
USBulletMarketsFixed Income BulletsNorth America

SOFR & Treasury option flow leaned toward upside calls Thursday as underlying futures bounced following a strong $44B 7Y note auction (2.2bp stop through to 4.532%. Tsy Mar'25 10Y contract trades 108-22 last (+4) vs. 108-06.5 low. Initial technical resistance well above at 110-03.5 (20D EMA). Tsy 10Y yield has retreated to 4.7600% after tapping 4.6293% high (+.0406), highest since late May. In turn, projected rate cuts into early 2025 look have gained some ground vs. this morning's levels (*) as follows: Jan'25 -2.7bp (-2.1bp), Mar'25 at -13.1bp (-11.7bp), May'25 -17.0bp (-16.0bp), Jun'25 -25.3bp (-23.7bp).

  • SOFR Options:
    • -1,500 SFRM5 95.87/SFRU5 95.93 straddle strip, 95.50 total cr
    • -4,000 2QG5 95.50/96.00 put spds, 16
    • -2,000 SFRM5 96.12/96.25 call strip 21.25 vs. 95.88/0.55%
    • +2,000 SFRM5 96.12 calls, 12 vs. 95.88/0.33%
    • +2,000 SFRM5 95.87 straddles, 37.5 ref 95.88
    • +5,000 SFRU5 95.25/95.75 1x2 put spds 6.25 ref 95.93
    • +15,000 0QZ4 97.00/98.00 call spds, 9.0 vs. 95.905/0.10%
    • +1,000 SFRH6 95.68/95.75/95.81/97.00 put condors, 0.75
    • -2,000 SFRG5/SFRH5 96.00 call strip 6.0 vs. 95.785/0.38%
  • Treasury Options:
    • over 5,000 TYF5 108.5/108.75 call spds ref 108-10.5 to -21.5
    • 2,000 TYG5 110/111 call spds 11 ref 108-19
    • 2,700 FVH5 109/110 call spds, 2 ref 105-29.5
    • 2,000 TYG5 104 puts ref 108-09
    • +10,000 wk2 TY 107 puts, 10-11 vs. 108-05/0.08%
    • -5,000 USG5 108/112 put spds vs. wk2 US 108/112 put spds, 16 net
    • 1,000 TYF5 108/108.25 2x1 put spds ref 108-08
    • 2,100 TYH5 106.5/107 put spds ref 108-08
    • 2,000 TYF5 108.25/108.75/109 broken call trees ref 108-09.5
    • 2,500 FVF5 106/106.25/106.5 call flys ref 105-29.75
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SOFR & Treasury option flow leaned toward upside calls Thursday as underlying futures bounced following a strong $44B 7Y note auction (2.2bp stop through to 4.532%. Tsy Mar'25 10Y contract trades 108-22 last (+4) vs. 108-06.5 low. Initial technical resistance well above at 110-03.5 (20D EMA). Tsy 10Y yield has retreated to 4.7600% after tapping 4.6293% high (+.0406), highest since late May. In turn, projected rate cuts into early 2025 look have gained some ground vs. this morning's levels (*) as follows: Jan'25 -2.7bp (-2.1bp), Mar'25 at -13.1bp (-11.7bp), May'25 -17.0bp (-16.0bp), Jun'25 -25.3bp (-23.7bp).

  • SOFR Options:
    • -1,500 SFRM5 95.87/SFRU5 95.93 straddle strip, 95.50 total cr
    • -4,000 2QG5 95.50/96.00 put spds, 16
    • -2,000 SFRM5 96.12/96.25 call strip 21.25 vs. 95.88/0.55%
    • +2,000 SFRM5 96.12 calls, 12 vs. 95.88/0.33%
    • +2,000 SFRM5 95.87 straddles, 37.5 ref 95.88
    • +5,000 SFRU5 95.25/95.75 1x2 put spds 6.25 ref 95.93
    • +15,000 0QZ4 97.00/98.00 call spds, 9.0 vs. 95.905/0.10%
    • +1,000 SFRH6 95.68/95.75/95.81/97.00 put condors, 0.75
    • -2,000 SFRG5/SFRH5 96.00 call strip 6.0 vs. 95.785/0.38%
  • Treasury Options:
    • over 5,000 TYF5 108.5/108.75 call spds ref 108-10.5 to -21.5
    • 2,000 TYG5 110/111 call spds 11 ref 108-19
    • 2,700 FVH5 109/110 call spds, 2 ref 105-29.5
    • 2,000 TYG5 104 puts ref 108-09
    • +10,000 wk2 TY 107 puts, 10-11 vs. 108-05/0.08%
    • -5,000 USG5 108/112 put spds vs. wk2 US 108/112 put spds, 16 net
    • 1,000 TYF5 108/108.25 2x1 put spds ref 108-08
    • 2,100 TYH5 106.5/107 put spds ref 108-08
    • 2,000 TYF5 108.25/108.75/109 broken call trees ref 108-09.5
    • 2,500 FVF5 106/106.25/106.5 call flys ref 105-29.75