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US TSYS: Late SOFR/Treasury Option Roundup: Squaring Up Ahead Friday's NFP

US TSYS

Trading desks reported two-way positioning and outright position squaring in SOFR and Treasury options Thursday as trading accounts migrated to the sidelines ahead of Friday morning's key jobs report for November while the Federal Reserve enters blackout at midnight Friday. Underlying futures are trading weaker but well off early lows, curves reversing midweek steepening with 2s10s -2.022 at 2.816. Projected rate cuts into early 2025 have cooled slightly, current levels vs. this morning (*) as follows: Dec'24 cumulative -17.5bp (-18.5bp), Jan'25 -24.5bp (-24.4bp), Mar'25 -39.6bp (-39.2bp), May'25 -49.6bp (-50.2bp).

  • SOFR Options:
    • -25,000 SFRZ4 95.56/95.62/95.68 call flys, 2.0 ref 95.5975
    • +5,000 0QZ4 96.37 calls 3.5 ref 96.21
    • +3,000 SFRH5 96.00/96.25 1x2 call spds 1x2 0.75 ref 95.84
    • +15,000 SFRZ5 98.00/98.50/99.00 call flys 1.25 ref 96.23
    • +10,000 SFRM5 95.37/95.62 put spds 4.25 ref 96.03
    • -10,200 2QZ4 96.50 puts, 19.5 ref 96.325
    • 2,750 0QF5 95.93/96.12/96.25 broken put trees
    • Block, 4,000 SFRZ4 95.56/95.68 call spds 5.75
    • 7,600 0QH5 96.25 puts, 22.5 ref 96.30
    • -4,000 SFRZ4 95.62/95.68/95.75 2x1x1 call trees, 3.5
    • 3,500 SFRZ4 95.37/95.50/95.62/95.75 put condors, 9 ref 95.595
    • Block/screen, 9,000 SFRF5 96.00/96.25 call spds, 2.75
    • Block/screen, 11,500 SFRH5 95.50/95.75/95.87/96.00 broken put condors, 1.25
    • Block, 7,500 0QZ4 96.62/96.87 call spds, 0.5 
    • 1,500 SFRZ4 95.62/95.68/95.75 2x1x1 put trees ref 95.5925
    • 1,200 SFRF5 95.75/95.81/95.87 put flys ref 95.5925
  • Treasury Options:
    • 3,440 FVF5 105.75/106.75 2x1 put spds ref 107-15.75
    • 11,000 TYF5 105/106.5/108 put trees, 1 ref 111-01.5
    • 10,000 wk1 TY110.25/110.50/110.75 put trees ref 111-00 (expire Fri)
    • +20,000 TYG5 113 calls, 22 vs. 111-03/0.07%
    • 2,300 TYG5 113.5/TYH5 113 call spds 
    • 1,100 FVF5 104.75/105.75 put spds vs. 109 calls
    • 1,500 TYG5 108/TYH5 109 3x2 put calendar spd ref 111-02
    • -10,000 TYF5 109 puts, 6 ref 111-01
    • +2,000 TYG5 107/108.5/109.5 2x3x1 broken put flys, 16 
    • 6,000 wk2 TY 109.5 puts, 3 ref 111-05 to -04
    • 2,000 TYG5 107/107.5/109/109.5 put condors, ref 111-05
    • 6,000 TYG5 108.5 puts 14 ref 111-04.5
USBulletMarketsFixed Income BulletsNorth America
USBulletMarketsFixed Income BulletsNorth America

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