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US TSYS: Late SOFR/Treasury Option Roundup: Mixed as Rate Cut Pricing Cools

US TSYS
USBulletMarketsFixed Income BulletsNorth America

Option desks reported vol structure sales and carry-over mixed SOFR & Treasury flows Friday. Weaker underlying futures are near overnight lows in late trade, Tsy curves little steeper (2s10s +1.187 at 31.884). Projected rate cuts through mid-2025 receded vs. early Friday (*) levels as follows: Mar'25 at -3.9bp (-4.2bp), May'25 at -11.8bp (-12.3bp), Jun'25 at -22.6bp (-24.0), Jul'25 at -28.5bp (-29.5bp).

  • SOFR Options:
    • +4,000 0QH5/2QH5 96.25 call spds, 1.38 steepener
    • 9,750 SFRU5 95.37/95.62/95.87 put flys
    • Block/screen, 8,000 SFRZ5/2QZ5 97.00 call spds, 0.5 front Dec over
    • +10,000 SFRM5 95.50/95.62 put spds, 0.5 vs. 95.88/0.05%
    • +4,000 0QG5 96.00/96.37 1x2 call over risk reversals, 0.0 ref 96.135
    • -10,000 0QM5 96.25/96.75/97.25 call flys, 8.0 vs. 96.105/0.12%
    • +2,500 0QJ5 95.43/95.50 2x1 put spds, 2.0 vs. 96.09/.05%
    • -4,000 0QH5 96.00/96.37 1x2 call over risk reversals, 2 net ref 96.12
    • 3,000 SFRU5 96.25/96.50/96.62/96.87 call condors, 2.75 ref 96.03
    • -2,500 0QG5 96.12 straddles, 17.5 ref 96.11
    • +7,500 SFRJ5 95.68/95.75/95.81/95.87 put condors, 2.25 vs. 95.90/0.05%
    • 1,750 SFRZ5 93.75/94.25/94.50/94.75 broken put condors ref 96.095
    • 1,750 2QH5 96.06 straddles ref 96.065
    • 1,250 SFRJ5 96.00/96.31/96.43 broken call trees
    • 1,200 2QH5 95.50/95.75 put spds vs. 96.12 calls
    • 1,400 SFRH5 95.62/95.75/95.81 put flys
  • Treasury Options:
    • -6,000 TYH5 108.25/110.25 strangles, 34
    • +10,000 wk1 FV 106/106.25 put spds, 4 ref 106-19.5
    • +7,500 TYK5 109 straddles 2-33 vs. -15,000 TYK5 105/113 strangles at 26 (1-45 net on the 1x2 iron fly, ref 109-05)
    • 2,000 FVH5 105.5/106.25 put spds, 13 ref 106-18.25
    • 4,000 TYH5 108 puts vs. wk1 TY 108.5 puts, 5 net ref 109-05
    • Block, 4,000 TYH5 108/109/110 call flys, 16 vs. 109-09.5/0.05%
    • 1,800 TYH5 107/108.5 put spds ref 109-03.5
    • over 6,000 FVH5 107.25/108.25 1x2 call spds vs. 12,000 104 puts
    • +5,000 TYH5 105/107 2x1 put spds, 5 vs 108-31.5 to 109-01.5/0.08%
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Option desks reported vol structure sales and carry-over mixed SOFR & Treasury flows Friday. Weaker underlying futures are near overnight lows in late trade, Tsy curves little steeper (2s10s +1.187 at 31.884). Projected rate cuts through mid-2025 receded vs. early Friday (*) levels as follows: Mar'25 at -3.9bp (-4.2bp), May'25 at -11.8bp (-12.3bp), Jun'25 at -22.6bp (-24.0), Jul'25 at -28.5bp (-29.5bp).

  • SOFR Options:
    • +4,000 0QH5/2QH5 96.25 call spds, 1.38 steepener
    • 9,750 SFRU5 95.37/95.62/95.87 put flys
    • Block/screen, 8,000 SFRZ5/2QZ5 97.00 call spds, 0.5 front Dec over
    • +10,000 SFRM5 95.50/95.62 put spds, 0.5 vs. 95.88/0.05%
    • +4,000 0QG5 96.00/96.37 1x2 call over risk reversals, 0.0 ref 96.135
    • -10,000 0QM5 96.25/96.75/97.25 call flys, 8.0 vs. 96.105/0.12%
    • +2,500 0QJ5 95.43/95.50 2x1 put spds, 2.0 vs. 96.09/.05%
    • -4,000 0QH5 96.00/96.37 1x2 call over risk reversals, 2 net ref 96.12
    • 3,000 SFRU5 96.25/96.50/96.62/96.87 call condors, 2.75 ref 96.03
    • -2,500 0QG5 96.12 straddles, 17.5 ref 96.11
    • +7,500 SFRJ5 95.68/95.75/95.81/95.87 put condors, 2.25 vs. 95.90/0.05%
    • 1,750 SFRZ5 93.75/94.25/94.50/94.75 broken put condors ref 96.095
    • 1,750 2QH5 96.06 straddles ref 96.065
    • 1,250 SFRJ5 96.00/96.31/96.43 broken call trees
    • 1,200 2QH5 95.50/95.75 put spds vs. 96.12 calls
    • 1,400 SFRH5 95.62/95.75/95.81 put flys
  • Treasury Options:
    • -6,000 TYH5 108.25/110.25 strangles, 34
    • +10,000 wk1 FV 106/106.25 put spds, 4 ref 106-19.5
    • +7,500 TYK5 109 straddles 2-33 vs. -15,000 TYK5 105/113 strangles at 26 (1-45 net on the 1x2 iron fly, ref 109-05)
    • 2,000 FVH5 105.5/106.25 put spds, 13 ref 106-18.25
    • 4,000 TYH5 108 puts vs. wk1 TY 108.5 puts, 5 net ref 109-05
    • Block, 4,000 TYH5 108/109/110 call flys, 16 vs. 109-09.5/0.05%
    • 1,800 TYH5 107/108.5 put spds ref 109-03.5
    • over 6,000 FVH5 107.25/108.25 1x2 call spds vs. 12,000 104 puts
    • +5,000 TYH5 105/107 2x1 put spds, 5 vs 108-31.5 to 109-01.5/0.08%