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STIR: Midmorning SOFR Option Update

STIR
BulletMarketsFixed Income Bullets

Volume gradually picking up this morning, leaning towards downside puts as accts fade the bid in underlying off early session lows. Projected rate cuts through mid-2025 look steady to mildly higher vs. this morning's levels (*) as follows: Mar'25 at -1.9bp (-2.5bp), May'25 steady at -7.3bp, Jun'25 at -16.4bp (-15.5bp), Jul'25 at -21.6bp (-20.1bp).

  • +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%
  • 1,500 SFRK5 95.68/95.75/95.81 put flys
  • -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 0QU5/0QZ5 96.12/96.62/97.12 call fly strip, 16.5
  • +2,500 0QM5 95.12/95.50 put spds, 4.0
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Volume gradually picking up this morning, leaning towards downside puts as accts fade the bid in underlying off early session lows. Projected rate cuts through mid-2025 look steady to mildly higher vs. this morning's levels (*) as follows: Mar'25 at -1.9bp (-2.5bp), May'25 steady at -7.3bp, Jun'25 at -16.4bp (-15.5bp), Jul'25 at -21.6bp (-20.1bp).

  • +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%
  • 1,500 SFRK5 95.68/95.75/95.81 put flys
  • -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 0QU5/0QZ5 96.12/96.62/97.12 call fly strip, 16.5
  • +2,500 0QM5 95.12/95.50 put spds, 4.0