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US TSYS: Late SOFR/Treasury Option Roundup: Fading Underlying Support

US TSYS
USBulletMarketsFixed Income BulletsNorth America

Decent SOFR & Treasury option flow leaned towards low delta put structures Monday, fading the bounce in underlying futures to mid-December levels. Projected rate cuts into early 2025 gain momentum vs. this morning, levels (*) as follows: Jan'25 steady at -2.8bp, Mar'25 -14.6bp (-13.6bp), May'25 -20.6bp (-19.5bp), Jun'25 -30.3bp (-28.8bp).

  • SOFR Options
    • Update, over +18,000 SFRZ5 95.00 puts 8.0 vs. 96.065/0.10%
    • +2,500 SFRJ5/SFRM5 95.50/95.62/95.75 put fly strip, 5.25
    • +2,500 SFRF5 95.75 puts 1.25 vs. 95.805/.05%
    • Block, 15,000 SFRM5 96.125/96.62 call spds 4.5 over SFRM5 95.56 puts vs. 95.945/0.36%
    • +6,000 SFRZ5 95.00 puts, 8.0 vs. 96.065/0.10%
    • -3,000 2QG5 95.87/96.00/96.12 put trees 4.0, 2 legs over ref 96.025
    • over +34,200 0QM5 96.37/97.00 call spds 6.5 over 95.37/95.62 put spds ref 96.02
    • 3,800 SFRK5 96.06/96.25 call spds ref 95.945
    • 2,500 SFRF5 95.75/95.87/96.00/96.12 call condors ref 95.825
    • 2,500 0QH5 95.62 puts ref 96.015
  • Treasury Options
    • -10,000 TYH5 109 straddles, 209-211 ref 108-30.5
    • 1,000 TYG5 106/107 4x3 put spds ref 108-12
    • +10,000 wk2 TY 107/108 put spds, 8
    • +5,000 wk3 FV 106.75 calls 2 over FVG5 107 calls vs. 106-11/0.05%
    • 1,200 FVH5 105/107.5 strangles ref 106-08
    • 3,800 Wednesday wkly 30Y 113/113.5 put spds
    • 1,200 TYG5 107/108.25 put spds ref 108-19
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Decent SOFR & Treasury option flow leaned towards low delta put structures Monday, fading the bounce in underlying futures to mid-December levels. Projected rate cuts into early 2025 gain momentum vs. this morning, levels (*) as follows: Jan'25 steady at -2.8bp, Mar'25 -14.6bp (-13.6bp), May'25 -20.6bp (-19.5bp), Jun'25 -30.3bp (-28.8bp).

  • SOFR Options
    • Update, over +18,000 SFRZ5 95.00 puts 8.0 vs. 96.065/0.10%
    • +2,500 SFRJ5/SFRM5 95.50/95.62/95.75 put fly strip, 5.25
    • +2,500 SFRF5 95.75 puts 1.25 vs. 95.805/.05%
    • Block, 15,000 SFRM5 96.125/96.62 call spds 4.5 over SFRM5 95.56 puts vs. 95.945/0.36%
    • +6,000 SFRZ5 95.00 puts, 8.0 vs. 96.065/0.10%
    • -3,000 2QG5 95.87/96.00/96.12 put trees 4.0, 2 legs over ref 96.025
    • over +34,200 0QM5 96.37/97.00 call spds 6.5 over 95.37/95.62 put spds ref 96.02
    • 3,800 SFRK5 96.06/96.25 call spds ref 95.945
    • 2,500 SFRF5 95.75/95.87/96.00/96.12 call condors ref 95.825
    • 2,500 0QH5 95.62 puts ref 96.015
  • Treasury Options
    • -10,000 TYH5 109 straddles, 209-211 ref 108-30.5
    • 1,000 TYG5 106/107 4x3 put spds ref 108-12
    • +10,000 wk2 TY 107/108 put spds, 8
    • +5,000 wk3 FV 106.75 calls 2 over FVG5 107 calls vs. 106-11/0.05%
    • 1,200 FVH5 105/107.5 strangles ref 106-08
    • 3,800 Wednesday wkly 30Y 113/113.5 put spds
    • 1,200 TYG5 107/108.25 put spds ref 108-19