US TSYS: Early SOFR/Treasury Option Roundup: March'25 5Y Put Skew Dominates Flow
Overnight option flow dominated by Mar'25 5Y skew play: buying over 80,000 put over risk reversals/covered, more than double the existing open interest in the two strikes. The combo covers a lot of data before expiring on Feb 21: today's FOMC obviously, next week's employment report, CPI and PPI. Underlying futures trading firmer, inside narrow range ahead of this afternoon's FOMC - steady rate annc expected. Projected rate cuts through mid-2025 laregely steady vs. late Tuesday (*) levels as follows: Jan'25 at -0.1bp, Mar'25 at -7.8bp, May'25 at -15.4bp, Jun'25 at -26.5bp, Jul'25 at -32.6bp (-32.1bp).
- Treasury Options:
- Adds to Block: 36,000 FVH5 106/107.5 put over risk reversals
- Block, +45,000 FVH5 106/107.5 put over risk reversals, 4.5 vs. 106-19.25//0.51%
- 1,000 TYH5 107/107.5/108.5 1x3x2 broken put flys
- +2,500 TYH5 103/104.5/107 broken put flys, 5 ref 109-06.5
- 3,000 TYH5 106/107 put spds ref 109-07.5
- -1,500 FVH5 107.75 calls, 7 vs. 106-19.25/0.17%
- +3,500 TYH5 108 puts, 16 ref 109-07
- -3,500 TYJ5 106 puts, 10 ref 109-05
- SOFR Options:
- 1,500 SFRM5/SFRU5 95.75/96.06 call spd spd
- 3,350 SFRN5 95.87/96.00/96.12 call flys ref 96.06
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
STIR: Large Jun'25 SOFR Midcurve Option Package
- Just over 33,000 0QM5 96.37/97.00 call spds vs. 95.37/95.62 put spds ref 96.02 - checking direction.
US TSYS: Tsys Unwinding Friday's Sale, PMI, Pending Home Sales Ahead Year End
- Treasuries are looking modestly firmer, near early early London session highs as rates recover from Friday's sell-off. The Mar'25 10Y contract trades 108-19 last (+5) vs. 108-21 high on decent volumes heading into year end: just over 175k at the moment.
- Average to small year-end duration extensions: US +0.07Y, EU: +0.04Y, UK -.02Y (Bbg)
- Tsy 10Y yield at 4.5951% (-.0303), curves mixed with 2s10s -.342 at 28.950 despite overnight Block steepener: +4,276 TUH5 at 102-22.75 vs. -2,592 TYH5 108-17.5 (0256:12ET); 5s30s +1.752 at 37.159.
- Projected rate cuts into early 2025 look steady to slightly higher vs. late Friday levels (*) as follows: Jan'25 steady at -2.8bp, Mar'25 -13.6bp (-13.3bp), May'25 -19.5bp (-18.5bp), Jun'25 -28.8bp (-26.5bp).
- Data on tap (prior, estimate): MNI Chicago PMI (40.2, 43.0) at 0945ET, followed by Pending Home Sales at 1000ET MoM (2.0%, 0.8%), YoY (6.6%, 7.9%). Dallas Fed Mfg Activity at 1030ET (-2.7, -3.0). Dearth of scheduled Fed speak until Richmond Fed's Barkin gives keynote remarks at a Maryland Bankers assn event on January 3 at 1100ET (text & Q&A).
- Treasury auctions $84B 13W, $72B 26W bills at 1130ET followed by 75B 42D CMBs at 1300ET.
EUROPEAN INFLATION: Portugal HICP Accelerates, Core CPI Also Higher
Portugal HICP rose to 3.1% Y/Y in December, its highest since June 2024 and notably above November's 2.7%. The national CPI measure also saw some acceleration, both on headline (3.01% vs 2.47% Nov) as well as on core (2.80% vs 2.61% Nov). Behind the higher CPI headline, Statistics Portugal identifies energy and unprocessed food as the predominant drivers.
- Specifically, energy CPI came in at 4.89% Y/Y (2.14% Nov, mainly driven by base effects as M/M this was +0.43%), while unprocessed food CPI was 3.42% Y/Y (1.95% prior, again partially a base effect as this was +0.50%M/M).
- CPI excl. housing accelerated just over 0.5pp, as headline, indicating that rental inflation saw a similar increase to the wider index (+0.10% M/M).
- For reference, Portugal contributes 2.4% to the overall Eurozone HICP 2024 basket.
- December flash inflation data for Ireland will be released tomorrow, with the other major releases of the December round out next week. Belgium HICP already came in at 4.4% Y/Y, decelerating four tenths vs November, while Spain HICP surprised consensus to the upside earlier today (2.8% Y/Y vs 2.6% cons).
