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US TSYS: Late SOFR/Treasury Option Roundup

US TSYS
USBulletMarketsFixed Income BulletsNorth America

SOFR & Treasury option trade remained mixed late Thursday, SOFR call flow picked up in the second half as underlying futures extended highs after it became apparent Trump's reciprocal tariff plans would not be implemented until early April, sentiment improved as the delay gave additional time for negotiations. Projected rate cuts through mid-2025 steady to slightly firmer vs. this morning (*) as follows: Mar'25 steady at -0.5bp, May'25 steady at -3.9bp, Jun'25 at -11.1bp (-9.8bp), Jul'25 at -15.1bp (-13.6bp).

  • SOFR Options:
    • Block, 10,000 0QK5 96.00/96.12 call spds, 5.5 ref 95.995
    • +5,000 SFRU5 95.75/95.87/96.00 call flys, 1.0
    • 2,400 SFRZ5 96.00/96.12/96.18/96.31 call condors
    • 3,000 0QU5 94.50/95.00 put spd vs. 3QU5 94.37/94.87 put spd spd
    • 2,300 0QH5 95.87/96.00/96.12/96.31 broken call condors ref 95.94
    • 6,000 SFRM5 95.93/96.00 call spds ref 95.765
    • 1,750 SFRK5 95.62/95.75/95.88 put trees
    • 4,000 SFRH5 95.56/95.62/95.68 put flys ref 95.69
    • 5,500 SFRU5 96.00/96.12/96.25/96.37 call condors ref 95.85 to -.855
    • 4,000 2QM5 95.87 calls, ref 95.915
    • 7,250 SFRJ5 95.62/95.68/95.75 put flys ref 95.76
  • Treasury Options:
    • 5,000 TYH5 108/109 put spds, 21 ref 108-27.5
    • over 8,000 TYJ5 107/109 2x1 put spds ref 108-26.5
    • 2,750 USJ5 118/120/122 call flys, 8 ref 114-16
    • 1,500 TYH5 109.5/109.75/110 call flys ref 108-24
    • 4,000 TYH5 108.25/109.25 strangles, 14 ref 108-24.5
    • over 7,800 TYJ5 110 calls 16 last ref 108-15
    • 6,000 TYH5 107.75/108.25 put spds vs. 109 calls ref 108-14.5
    • over 7,000 TYH5 107.5 puts, 4 ref 108-13
    • 1,500 wk2 TY 108/108.25 3x2 put spds ref 108-14 (exp Fri)
    • 2,000 TYH5 107.25/108 put spds ref 108-12.5
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SOFR & Treasury option trade remained mixed late Thursday, SOFR call flow picked up in the second half as underlying futures extended highs after it became apparent Trump's reciprocal tariff plans would not be implemented until early April, sentiment improved as the delay gave additional time for negotiations. Projected rate cuts through mid-2025 steady to slightly firmer vs. this morning (*) as follows: Mar'25 steady at -0.5bp, May'25 steady at -3.9bp, Jun'25 at -11.1bp (-9.8bp), Jul'25 at -15.1bp (-13.6bp).

  • SOFR Options:
    • Block, 10,000 0QK5 96.00/96.12 call spds, 5.5 ref 95.995
    • +5,000 SFRU5 95.75/95.87/96.00 call flys, 1.0
    • 2,400 SFRZ5 96.00/96.12/96.18/96.31 call condors
    • 3,000 0QU5 94.50/95.00 put spd vs. 3QU5 94.37/94.87 put spd spd
    • 2,300 0QH5 95.87/96.00/96.12/96.31 broken call condors ref 95.94
    • 6,000 SFRM5 95.93/96.00 call spds ref 95.765
    • 1,750 SFRK5 95.62/95.75/95.88 put trees
    • 4,000 SFRH5 95.56/95.62/95.68 put flys ref 95.69
    • 5,500 SFRU5 96.00/96.12/96.25/96.37 call condors ref 95.85 to -.855
    • 4,000 2QM5 95.87 calls, ref 95.915
    • 7,250 SFRJ5 95.62/95.68/95.75 put flys ref 95.76
  • Treasury Options:
    • 5,000 TYH5 108/109 put spds, 21 ref 108-27.5
    • over 8,000 TYJ5 107/109 2x1 put spds ref 108-26.5
    • 2,750 USJ5 118/120/122 call flys, 8 ref 114-16
    • 1,500 TYH5 109.5/109.75/110 call flys ref 108-24
    • 4,000 TYH5 108.25/109.25 strangles, 14 ref 108-24.5
    • over 7,800 TYJ5 110 calls 16 last ref 108-15
    • 6,000 TYH5 107.75/108.25 put spds vs. 109 calls ref 108-14.5
    • over 7,000 TYH5 107.5 puts, 4 ref 108-13
    • 1,500 wk2 TY 108/108.25 3x2 put spds ref 108-14 (exp Fri)
    • 2,000 TYH5 107.25/108 put spds ref 108-12.5