US TSYS: Early SOFR/Treasury Option Roundup: SOFR Calls Ahead NFP
Option desks reported better SOFR call flow on net overnight, muted Treasury option volumes in the lead up to this morning's April employment report. Underlying futures steady (FVM5) to mixed, curves mildly flatter with the short end underperforming (2s10s -.587 at 50.895, 5s30s -.826 at 90.892). Projected rate cut pricing drifts near late Thursday levels (*) as follows: May'25 steady at -1.8bp, Jun'25 at -15.5bp (-14.6bp), Jul'25 at -36.3bp (-35.8bp), Sep'25 -57.4bp (-56.8bp).
- SOFR Options:
- 4,000 SFRU5 95.62/95.75/95.87 put flys
- 2,000 0QK5 97.00/97.25/97.50 call flys ref 96.915
- 3,000 SFRK5 96.12 calls ref 95.885
- +1,000 SFRK5 95.81/95.93/96.06 call flys, 2.75
- 2,000 0QK5 96.93 straddles 28.5
- +2,500 SFRU5 95.75 puts, 3.0 vs 96.285/0.10%
- +1,000 SFRZ5 96.00/96.25/96.50 call flys, 3.5
- 2,500 SFRH6 97.50/97.75/98.00/98.25 call condors ref 96.765
- +2,000 0QM5 97.25/97.75 call spds, 6.0 vs. 96.88/0.20%
- 2,125 0QN5 97.12/97.35 call spds ref 96.925
- Treasury Options:
- over 5,400 TYM5 113 calls, 28 last
- +2,500 wk2 TY 110.25/110.5/111 broken put flys, 5.0 vs. 111-26/0.08%
- 4,000 wk2 FV 108 puts, 4.5
- +2,000 TUM5 102.87 puts, 1
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US DATA: Mortgage Applications Continue To Track Sideways With Rates
MBA composite mortgage applications continued to see another mild pullback as 30Y rates further stabilized around the 6.7% level. It masks new purchase applications at one of their highest levels in the past two years but activity is still subdued on a historical basis.
- Composite applications dipped -1.6% (sa) last week after -2.0% the week prior and -6.2% before that, further chipping away at a 34% two-week increase in late Feb/early March.
- Once again, refis led the modest pullback (-5.6% after -5.3%) whilst new purchase applications saw their fifth consecutive weekly increase (most recently 1.5% after 0.7%).
- The 30Y conforming rate inched another 1bp lower to 6.70%, broadly consolidating around the 6.7% level for the past five weeks now having eased from a recent high of 7.09% in early January.
- It's a move that stoked a relatively modest uplift in activity when looking at broader trends, although activity is still subdued with new purchases at 61% of 2019 levels and refis at 41%.
EQUITIES: Longer dated Estoxx put spread
- SX5E (18/12/26) 4400/3400ps 1x2, bought for 53 in 2k.
The last time SX5E was trading below 4400 was over a year ago in early January 2024.
DUTCH AUCTION PREVIEW: On offer next week
DSTA has announced it will be looking to sell E2.0-2.5bln of the 0.50% Jul-32 DSL (ISIN: NL0015000RP1) at its auction next Tuesday, April 8.
