US TSYS: Late SOFR/Treasury Option Roundup

SOFR & Treasury options remain mixed in the second half, volumes picking up in the wings. Underlying futures higher/off highs. Projected rate cut pricing retreats slightly vs. morning levels (*) as follows: Jun'25 steady at 0.0bp, Jul'25 at -3.6bp (-4.1bp), Sep'25 at -17.4bp (-17.9bp), Oct'25 at -29.6bp (-30.6bp), Dec'25 at -44.9bp (-45.9bp).

• SOFR Options:
  • Block, +6,250 0QV5 95.87/96.12/96.37 put trees, 4.5 ref 96.625 -- adds to:
  • +10,000 0QV5 95.87/96.12/96.37 put trees, 4.0 ref 96.625
  • +4,000 0QV5 95.75/96.12/96.37 broken put trees, 3.5
  • +6,000 0QM5 96.50/96.62 call spds, 3.0 vs. 96.46/0.25%
  • +20,000 SFRN5 97.37 calls, 0.5 ref 95.86
  • +4,000 SFRZ5 95.56/95.68/95.81 put flys, 2.5 ref 96.105
  • +10,000 0QU5 95.62/95.87 put spds, 1.5 ref 96.555
  • +8,000 SFRN5 95.87/96.00/96.12 call flys, 1.25-1.5
  • +2,500 SFRZ5 96.18/96.50/96.81 call flys, 3.5 vs. 96.12/0.20%
  • -4,000 SFRH6 95.62 put 0.5 over 96.25/96.62/97.00 call fly
  • +2,500 0QN5 97.62/98.25 call strip, .75
  • -7,500 0QZ5 97.25/97.50 call spds 0.5 over 96.37/96.62/96.87 call flys
  • -10,000 SFRH6 95.68 puts, 6.5 ref 96.29
  • -10,000 0QQ5 96.87 calls, 4.0 vs. 96.565/0.26%
  • Block, 4,800 SFRU5 95.75/95.87 put spds 8.0 ref 95.87
  • 9,000 SFRU5 95.81/95.93 call spds ref 95.865
  • 2,500 0QV5 96.00/96.25 put spds ref 96.61
  • 2,000 SFRZ5 96.25/96.50 call spds
  • 5,000 SFRZ5 96.25/96.37/96.50/96.62 call condors ref 96.11
  • 1,000 SFRU5 95.68/95.87/96.00 broken put flys ref 95.865
  • 1,000 0QM5 96.37/96.50/96.75/97.00 broken call condors ref 96.475
  • +5,000 0QM5 96.43/96.56/96.68 1x3x2 call flys 1.5 vs. 96.425/0.05%
• Treasury Options:
  • +10,000 TYN5 108.5 puts, 3 vs. 110-04.5/0.05%
  • 1,250 TUQ5 103.75/104 2x3 call spds vs. 2,500 TUQ5 103.12 puts ref 103-15.88
  • 3,000 TYN5 109 puts, 8 ref 110-04
  • 5,500 Wed wkly TY 109.25/109.75 put spds ref 110-02.5 (exp 6/11)
  • +3,000 FVQ5 107.75/108.75 1x2 call spds 4.5 ref 107-21
  • Block, -10,000 FVN5 107 puts, 6 ref 107-19.5

Bloomberg reports: "US-China trade talks in London will continue tomorrow, according to a person familiar with the talks. Talks to resume at 10a in London" [0500ET].

• Today's meeting began just after 1pm local time (0800ET), though there were basically no headlines emerging from the talks themselves.
• Little market reaction to the news that talks would continue - an extension into Tuesday was seen as a distinct possibility.

• Stocks are holding modest gains late Monday, near session highs with the Dow joining S&Ps and Nasdaq on a relatively quiet start to the week as investors set their sites on this Wednesday's CPI inflation data for direction.
• Currently, the Dow trades up 99.15 points (0.23%) at 42862.01, S&P E-Minis up 18.25 points (0.3%) at 6025, Nasdaq up 92.8 points (0.5%) at 19622.68.
• Materials, energy and tech-related stocks continued to lead gainers in late trade: Enphase Energy +7.48%, Albemarle +4.93%, ON Semiconductor +4.86%, QUALCOMM +4.53%, Microchip Technology +4.52%, Advanced Micro Devices +4.49% and Evergy +4.12%.
• Meanwhile, health care and insurers continued to underperform after Goldman Sachs healthcare conference where industry leaders reported average hospital stays remain longer than pre-Covid levels.
• Laggers included Universal Health Services -6.10%, Intuitive Surgical -5.43%, Aon -4.06%, Allstate -3.79%, HCA Healthcare -3.21%, Arthur J Gallagher -3.19% and Progressive Corp-3.19%.