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STIR: Midday SOFR Option Update

STIR
BulletMarketsFixed Income Bullets

Call volume picked up heading into midday, implied vol softer on moderate straddle & strangle selling. Projected rate cuts through mid-2025 gain slightly vs. this morning's levels (*) as follows: Mar'25 at -4.2bp (-4.1bp), May'25 at -11.9bp (-11.2bp), Jun'25 at -22.7bp (-22.1bp), Jul'25 at -29.1bp (-28.6bp).

  • +5,000 0QJ5 95.62/95.87/96.00 put trees, 0.5 ref 96.185
  • -4,000 0QH5 96.31 calls, 8.0 ref 96.155/0.36%
  • +4,000 0QH5 96.06/96.31 1x2 call spds, 3.0 ref 96.16
  • +10,000 0QH5 97.00/3QH5 96.87 call spds, cab net steepener
  • +20,000 0QU5 97.12/98.12 call spds, 6.5 ref 96.15
  • +10,000 SFRU5 96.62/97.62 call spds, 5.75 ref 96.015
  • -5,000 SFRM5 95.87/96.12 call spds, 6.75 vs. 95.915/0.54%
  • +10,000 SFRZ5 95.75/96.00 put spds vs. 5,000 96.50 calls, 1.75 net
  • -4,000 SFRN5 95.62/96.37 strangles, 13.0 ref 96.035
  • +5,000 SFRZ5 94.87/95.12/95.37/95.62 put condors, 2.25 ref 96.125
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Call volume picked up heading into midday, implied vol softer on moderate straddle & strangle selling. Projected rate cuts through mid-2025 gain slightly vs. this morning's levels (*) as follows: Mar'25 at -4.2bp (-4.1bp), May'25 at -11.9bp (-11.2bp), Jun'25 at -22.7bp (-22.1bp), Jul'25 at -29.1bp (-28.6bp).

  • +5,000 0QJ5 95.62/95.87/96.00 put trees, 0.5 ref 96.185
  • -4,000 0QH5 96.31 calls, 8.0 ref 96.155/0.36%
  • +4,000 0QH5 96.06/96.31 1x2 call spds, 3.0 ref 96.16
  • +10,000 0QH5 97.00/3QH5 96.87 call spds, cab net steepener
  • +20,000 0QU5 97.12/98.12 call spds, 6.5 ref 96.15
  • +10,000 SFRU5 96.62/97.62 call spds, 5.75 ref 96.015
  • -5,000 SFRM5 95.87/96.12 call spds, 6.75 vs. 95.915/0.54%
  • +10,000 SFRZ5 95.75/96.00 put spds vs. 5,000 96.50 calls, 1.75 net
  • -4,000 SFRN5 95.62/96.37 strangles, 13.0 ref 96.035
  • +5,000 SFRZ5 94.87/95.12/95.37/95.62 put condors, 2.25 ref 96.125