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US TSYS: Late SOFR/Treasury Option Roundup: Unwinding Long Held Calls

US TSYS
USBulletMarketsFixed Income BulletsNorth America

Option desks report a pick-up in SOFR call trade in the second half, decent volumes with one account unwinding large out-of-the-money call spds, limited upside call fly buyers and at the money vol sellers. Underlying futures mildly mixed, curves steeper with short end rates outperforming. Projected rate cuts through mid-2025 look steady to mildly higher vs. this morning's levels (*) as follows: Mar'25 at -1.6bp (-1.9bp), May'25 steady at -7.3bp, Jun'25 at -15.9bp (-15.5bp), Jul'25 at -21.1bp (-20.1bp).

  • SOFR Options:
    • +15,000 0QU5/0QZ5 96.12/96.62/97.12 call fly strip, 16.5-17.5
    • -40,000 0QZ5 97.00/98.00 call spds 8.0 to 8.25 vs. 96.08/0.14% (unwind of buys from Dec 26-Jan 7 from 9.0 to 10.0 vs. 95.905 to 96.005) +5,000 0QK5 96.31/96.62/96.93 call flys, 3.75
    • +15,000 SFRN5 95.25/95.37/95.62 2x3x1 broken put flys, 0.75/wings over and bid
    • -5,000 SFRU5 9593 straddles 39.5 ref 95.945
    • -8,000 0QJ5 9550 puts, 2.0 vs 96.08/0.10%
    • +8,000 SFRK5 95.62/95.68/95.75 put flys 1.75
    • +10,000 SFRK5 95.68/95.75/95.81 put flys 1.5-1.75
    • +2,500 SFRM5/SFRU5 95.68/97.00 call spd strip 43.00
    • +4,000 SFRM5 95.50/95.62 put spds, 0.5 vs. 95.85/0.06%
    • -6,000 SFRM5 96.31/96.50 call spds .25 over SFRM5 95.50/95.62 put spds ref 9583.5
    • +10,000 0QM5 95.12/95.50 put spds 4.0 ref 96.065
    • +2,500 0QM5 95.12/95.50 put spds, 4.0
    • 1,500 SFRM5 95.62/95.75/95.87 put flys ref 95.825
    • 5,000 2QH5 95.87/96.25 strangle or combo ref 96.05
    • 2,000 SFRK5 95.62/95.75/95.81/95.87 put condors ref 95.815 to -.82
  • Treasury Options:
    • -6,000 TYJ5 108/111 strangles, 39, appr implied vol 5.94% 
    • 3,400 TYH5 106/107 put spds ref 109-09.5
    • 6,000 TYK5 111/113 call spds ref 109-06.5
    • 2,000 TYK5 105/107 put spds vs. 111/113 call spds ref 109-05
    • -45,000 FVH5 106/107.5 put over risk reversals, 7.5 cr
    • 1,400 FVH5/FVJ5 105.5/106/106.5 put tree strip
    • Block: +10,000 TYH5 107.5 puts, 3.0 w/ +30,000 TYH5 108.5 puts, 13, 42 db for the strip vs. -30,000 TYJ5
    • 07.5/108.5 put spds, 20, 18 net package
    • +10,000 TYH5 108.5 puts, 13 ref 109-07/0.29%
    • +7,000 TYH5 106/107 put spds, 1 ref 109-13/0.22%
    • +10,000 TYJ5 107.5/108.5 put spds, 19 ref 109-05.5 to -06/0.15%
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Option desks report a pick-up in SOFR call trade in the second half, decent volumes with one account unwinding large out-of-the-money call spds, limited upside call fly buyers and at the money vol sellers. Underlying futures mildly mixed, curves steeper with short end rates outperforming. Projected rate cuts through mid-2025 look steady to mildly higher vs. this morning's levels (*) as follows: Mar'25 at -1.6bp (-1.9bp), May'25 steady at -7.3bp, Jun'25 at -15.9bp (-15.5bp), Jul'25 at -21.1bp (-20.1bp).

  • SOFR Options:
    • +15,000 0QU5/0QZ5 96.12/96.62/97.12 call fly strip, 16.5-17.5
    • -40,000 0QZ5 97.00/98.00 call spds 8.0 to 8.25 vs. 96.08/0.14% (unwind of buys from Dec 26-Jan 7 from 9.0 to 10.0 vs. 95.905 to 96.005) +5,000 0QK5 96.31/96.62/96.93 call flys, 3.75
    • +15,000 SFRN5 95.25/95.37/95.62 2x3x1 broken put flys, 0.75/wings over and bid
    • -5,000 SFRU5 9593 straddles 39.5 ref 95.945
    • -8,000 0QJ5 9550 puts, 2.0 vs 96.08/0.10%
    • +8,000 SFRK5 95.62/95.68/95.75 put flys 1.75
    • +10,000 SFRK5 95.68/95.75/95.81 put flys 1.5-1.75
    • +2,500 SFRM5/SFRU5 95.68/97.00 call spd strip 43.00
    • +4,000 SFRM5 95.50/95.62 put spds, 0.5 vs. 95.85/0.06%
    • -6,000 SFRM5 96.31/96.50 call spds .25 over SFRM5 95.50/95.62 put spds ref 9583.5
    • +10,000 0QM5 95.12/95.50 put spds 4.0 ref 96.065
    • +2,500 0QM5 95.12/95.50 put spds, 4.0
    • 1,500 SFRM5 95.62/95.75/95.87 put flys ref 95.825
    • 5,000 2QH5 95.87/96.25 strangle or combo ref 96.05
    • 2,000 SFRK5 95.62/95.75/95.81/95.87 put condors ref 95.815 to -.82
  • Treasury Options:
    • -6,000 TYJ5 108/111 strangles, 39, appr implied vol 5.94% 
    • 3,400 TYH5 106/107 put spds ref 109-09.5
    • 6,000 TYK5 111/113 call spds ref 109-06.5
    • 2,000 TYK5 105/107 put spds vs. 111/113 call spds ref 109-05
    • -45,000 FVH5 106/107.5 put over risk reversals, 7.5 cr
    • 1,400 FVH5/FVJ5 105.5/106/106.5 put tree strip
    • Block: +10,000 TYH5 107.5 puts, 3.0 w/ +30,000 TYH5 108.5 puts, 13, 42 db for the strip vs. -30,000 TYJ5
    • 07.5/108.5 put spds, 20, 18 net package
    • +10,000 TYH5 108.5 puts, 13 ref 109-07/0.29%
    • +7,000 TYH5 106/107 put spds, 1 ref 109-13/0.22%
    • +10,000 TYJ5 107.5/108.5 put spds, 19 ref 109-05.5 to -06/0.15%