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STIR: SOFR Option Update, Call Buying Edges Puts, Supports Implieds

STIR
BulletMarketsFixed Income Bullets

Underlying futures continue to gain. Projected rate cuts through mid-2025 gaining vs. late Monday levels (*) as follows: Mar'25 at -3.1bp (-1.8bp), May'25 at -14.0bp (-10.2bp), Jun'25 at -31.9bp (-26.0bp), Jul'25 at -43.1bp (-35.3bp).

  • Block, 15,000 0QM5 97.00/97.50 call spds 7.5
  • +10,000 0QM5 97.00/97.50 call spds, 7.5 ref 96.01
  • +5,000 SFRZ5 96.00 puts, 15.5
  • -3,000 SFRZ5 96.43 straddles, 72.0 ref 96.415
  • +5,000 SFRU5 97.00 calls 11.0 ref 96.275
  • -5,000 SFRJ5 96.12/96.37 call spds, 3.75 ref 96.005
  • +20,000 0QM5 97.00/97.50 call spds, 7.25 ref 96.565
  • -30,000 0QM5 95.12/95.50 put spds .75 vs. 96.545 to -.535/0.06%
  • -10,000 SFRN5 95.56/95.75/95.93 put flys, 4. ref 96.26
  • -5,000 SFRZ5 96.25/96.50 call spds, 10.0 ref 96.41
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Underlying futures continue to gain. Projected rate cuts through mid-2025 gaining vs. late Monday levels (*) as follows: Mar'25 at -3.1bp (-1.8bp), May'25 at -14.0bp (-10.2bp), Jun'25 at -31.9bp (-26.0bp), Jul'25 at -43.1bp (-35.3bp).

  • Block, 15,000 0QM5 97.00/97.50 call spds 7.5
  • +10,000 0QM5 97.00/97.50 call spds, 7.5 ref 96.01
  • +5,000 SFRZ5 96.00 puts, 15.5
  • -3,000 SFRZ5 96.43 straddles, 72.0 ref 96.415
  • +5,000 SFRU5 97.00 calls 11.0 ref 96.275
  • -5,000 SFRJ5 96.12/96.37 call spds, 3.75 ref 96.005
  • +20,000 0QM5 97.00/97.50 call spds, 7.25 ref 96.565
  • -30,000 0QM5 95.12/95.50 put spds .75 vs. 96.545 to -.535/0.06%
  • -10,000 SFRN5 95.56/95.75/95.93 put flys, 4. ref 96.26
  • -5,000 SFRZ5 96.25/96.50 call spds, 10.0 ref 96.41