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STIR: Morning SOFR Option Update: Better Put Volume

STIR
BulletMarketsFixed Income Bullets

Better SOFR put structure buying since the open, fading this morning's post-PPI rally with underlying futures scaling off of this morning's knee-jerk rally. Projected rate cuts through mid-2025 continue to retreat, current vs. late Friday levels* as follows: Jan'25 steady at -0.7bp, Mar'25 at -5.8bp (-4.9bp), May'25 -10.2bp (-9bp), Jun'25 -17.6bp (-16.5bp), Jul'25 at -20.4bp (-18.7bp).

  • +3,000 SFRM5 95.81/95.93/96.18 2x3x1 call flys 3.0 ref 95.835
  • +15,000 0QK5 94.75/95.00 put spds, 2.0 vs. 95.905/0.05%
  • +10,000 SFRU5 95.50/95.75/96.00 put flys, 6.5
  • +15,000 SFRZ5 95.37/95.62/95.87 put flys, 5.5-5.75 ref 95.895
  • +5,000 SFRM5 95.87/96.31 call spds 8.0 ref 95.835
  • +4,000 SFRG5 95.62/95.68/95.75 put flys 3.0 ref 95.74
  • +5,000 SFRZ5 95.37/95.62/95.87 put flys 5.5 ref 95.875
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Better SOFR put structure buying since the open, fading this morning's post-PPI rally with underlying futures scaling off of this morning's knee-jerk rally. Projected rate cuts through mid-2025 continue to retreat, current vs. late Friday levels* as follows: Jan'25 steady at -0.7bp, Mar'25 at -5.8bp (-4.9bp), May'25 -10.2bp (-9bp), Jun'25 -17.6bp (-16.5bp), Jul'25 at -20.4bp (-18.7bp).

  • +3,000 SFRM5 95.81/95.93/96.18 2x3x1 call flys 3.0 ref 95.835
  • +15,000 0QK5 94.75/95.00 put spds, 2.0 vs. 95.905/0.05%
  • +10,000 SFRU5 95.50/95.75/96.00 put flys, 6.5
  • +15,000 SFRZ5 95.37/95.62/95.87 put flys, 5.5-5.75 ref 95.895
  • +5,000 SFRM5 95.87/96.31 call spds 8.0 ref 95.835
  • +4,000 SFRG5 95.62/95.68/95.75 put flys 3.0 ref 95.74
  • +5,000 SFRZ5 95.37/95.62/95.87 put flys 5.5 ref 95.875