US TSYS: Late SOFR/Treasury Option Roundup
Though volumes waned in the second half, SOFR & Treasury option trade leaned toward upside call structures Friday while underlying futures reversed early support to finish near session lows: TYH5 -5.5 at 108-20.5. Projected rate cuts through mid-2025 look steady to lower vs. this morning's levels (*) as follows: Jan'25 steady at -2.8bp, Mar'25 -13.2bp (-14.4bp), May'25 -17.8bp (-19.5bp), Jun'25 -26.5bp (-28.2bp).
- SOFR Options:
- -2,500 2QH5 95.87/4QH5 95.75 put spds, 0.0 net steepener
- +4,000 SFRU5 96.50/97.50 call spds, 10.25 - legged
- 5,200 SFRF5 95.87/96.00/96.06 broken call flys ref 95.82
- 2,000 2QF5 96.25/96.37 call spds ref 96.055
- Block, 3,000 SFRU5 96.31/96.43 call spds, 3.0 ref 96.025
- 4,000 SFRM5 96.25 calls ref 95.95
- 3,000 SFRZ5 95.25/95.43/95.75 broken put trees ref 96.07
- Treasury Options:
- -10,000 wk2 TY 108 puts 7 ref 108-23.5 to -24
- over 3,000 USG5 111/113 put spds vs. USH5 111 put ref 113-24
- +17,000 Wednesday wkly TY 109.75 calls, 4 (expire next wk)
- 3,200 TYG5 111 calls, 7 last
- 2,600 TYG5 109 straddles
- 2,000 FVG5 105.75 puts, 10
- over 10,000 FVG5 106.5/107 call spds vs. 105.75 puts ref 106-12.75
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US TSYS: Late SOFR/Treasury Option Roundup
SOFR and Treasury options flow included decent two-way positioning in calls and puts Wednesday as underlying futures continued to climb higher after this morning's lower than expected ISM services data. Projected rate cuts into early 2025 continued to gain, current levels vs. this morning's (*) as follows: Dec'24 cumulative -18.9bp (-18.5bp), Jan'25 -25.3bp (-24.4bp), Mar'25 -41.3bp (-39.0bp), May'25 -51.5bp (-47.8bp).
- SOFR Options:
- +10,000 SFRH5 95.50/95.75/95.87/96.00 put condors 1.25 ref 95.86
- 11,600 0QZ4 97.00 calls ref 96.27
- Block/pit total -40,000 SFRH5 95.75/96.00/96.25 put flys, 4.75 ref 95.83
- +5,000 SFRZ4 95.50/95.56 2x1 put spds 0.25
- Block, 5,000 SFRM5 95.75/96.00/96.25 put flys, 4.0 net ref 96.00
- +15,000 SFRM5 96.00/96.25 call spds vs 0QM5 97.25 calls 0.25 net/cvrd
- -5,000 SFRZ4 95.56/95.62/95.68 call flys, 2.25 ref 95.585
- +1,000 SFRH5 95.81/0QH5 96.25 straddle strip, 80.25
- -2,000 SFRM5 96.00 straddles, 51.5 ref 9598.5
- -4,000 SFRM5 95.50/96.00 3x1 put spds ref 9599
- Block, -9,000 SFRH5/M5/U5 97.50/98.50 1x2 call spd strip, 3.5 net package
- 10,000 SFRH5 95.56 puts vs. 95.87/96.00 call spds ref 95.82
- +6,000 SFRM5 96.06/96.18 call spds vs. 2QM596.75/96.87 call spd spd, 1.0 net steepener
- -5,000 SFRF5 95.87/96.0625/96.25 put flys, 2.0 ref 95.825
- Treasury Options:
- 7,800 TYF5 111.5 calls, 33 ref 111-04.5
- 5,000 FVF5 108/109 1x2 call spds ref 107-14.5 to -14.75
- 4,000 wk1 TY 109.5/109.75 put spds, 2 ref 110-24.5, expire Friday
- +4,400 weekly Mon US 120/121 call spds, 9 ref 118-23, expire 12/9
- 2,000 TYF5 112.75/113.25 call spds ref 110-31
EURJPY TECHS: Bearish Outlook
- RES 4: 165.04/166.69 High Nov 15 / High Oct 31 and the bull trigger
- RES 3: 164.76 High Nov 20 and a key short-term resistance
- RES 2: 162.32 50-day EMA
- RES 1: 158.64/161.27 High Dec 2 / 20-day EMA
- PRICE: 158.08 @ 17:05 GMT Dec 4
- SUP 1: 156.18 Low Dec 03
- SUP 2: 156.05 Low Sep 17
- SUP 3: 155.15 Low Sep 16 and a key support
- SUP 4: 153.87 Low Dec 8 / 14 2023
EURJPY remains soft, despite the recovery off the weekly lows into the Wednesday high. Recent weakness marks an extension of the current bear cycle. A number of retracement points have been cleared and most recently, 157.87, 76.4% of the Sep 16 - Oct 31 bull cycle, has been pierced. A clear break of it would strengthen a bearish theme and open 155.15, the Sep 16 low. Initial firm resistance is 161.27, the 20-day EMA. A breach of this average is required to signal a reversal.
US TSY FUTURES: BLOCK: Large Mar'25 10Y Ultra-Bond Buy
- +10,427 UXYH5 114-27.5, buy through 114-26.5 post time offer at 1426:40ET. The 10Y ultra bond contract trades 114-28.5 last.
