US TSYS: Late SOFR/Treasury Option Roundup
SOFR/Treasury option volumes remained strong, generally better calls on net with some large low delta puts trading in the second half. Underlying futures are mixed after the bell - well off knee-jerk/post-data highs. Curves twisted steeper, however, with short end rates outperforming. As such - projected rate cut pricing gained momentum vs. early morning levels (*): Oct'25 at -22.4bp (-21.5bp), Dec'25 at -40.5bp (-39.0bp), Jan'26 at -49.9bp (-47.7bp), Mar'26 at -59.9bp (-57.5bp).
- SOFR Options:
- Block, 5,000 SFRV5 96.06 puts, cab
- over 21,000 SFRZ5 95.87 puts, cab
- +4,000 3QV5 96.50 puts, 4.0 vs. 96.57 to -.575/0.30%
- +8,000 0QZ5 97.00/97.06/97.18/97.25 call condors, 1.0 vs. 96.895 to -.88/0.05%
- +2,500 0QZ5 97.00 puts, 23.5 vs. 96.875/0.62%
- +5,000 SFRZ5 96.50/96.75 2x1 call spds (wrong way), 3.75 ref 96.27
- +2,000 SFRH6 96.43 straddles, 31.75-32.0
- -12,000 SFRZ5/SFRH6 96.43 call spds, 12.75 (Mar over)
- Block/screen, +20,000 0QZ5 97.75 calls, 1.0
- +2,000 SFRZ5 96.37/96.50/96.62 call flys, 2.0 ref 96.27
- over 7,500 SFRZ5 96.62/96.68 call spds ref 96.265 to -.27
- 3,000 SFRZ5 96.00/96.37 1x3 call spds ref 96.275
- -5,000 SFRZ5 95.75/96.00/96.25 put trees, 7.0
- 4,000 SFRZ5 96.18/96.31/96.50/96.62 call condors ref 96.27
- 4,000 SFRZ5 97.00 calls, 1.0-0.75
- 3,600 SFRV5 96.06/96.12 put spds ref 96.26 to -.265
- Block/screen, +7,500 0QZ5 97.00 calls vs. 3QZ5 96.75 calls, 0.0-0.5
- Block, +4,000 SFRZ5 96.50/96.62 call spds, 0.75
- -6,000 SFRV5 96.31 calls, 2.0 vs. 96.25/0.10%
- +2,000 SFRZ5 96.06/96.18/96.25/96.31 broken put condors 0.5
- -4,500 0QX5 96.87/97.12 strangles, 17.5 ref 96.86
- 2,000 SFRV5 96.12 puts, 0.5 ref 96.27
- Treasury Options:
- 4,800 TYZ5 110/114 strangles, 35 ref 112-08.5
- 7,000 TUZ5 105 calls, 2.5ref 104-04
- +52,000 wk2 Tuesday US 109 puts, 1 ref 116-03 (exp 10/7)
- over +58,000 USX5 104 puts, 1-2 ref 116-06 to -04
- 3,600 TYX5 109/109.5/110 put trees
- 2,500 USV5 112/116 2x1 put spds ref 116-14 to -12
- over 7,500 TYV5 112.5 puts, 9 last ref 112-12
- 4,900 FVV5 109 puts, 1
- 2,700 USX5 113/116 put spds vs. 119 calls ref 116-12 to -13
- 3,900 TYV5 113 straddles, ref 112-13 to-13.5
- appr 4,000 TYV5 112 straddles, 16 ref 112-13.5
- 2,500 FVZ5 108/110 strangles, ref 109-03.5
- over 10,800 TYZ5 113/113.5/114/114.5 call condors ref 112-12.5
- 4,000 w2 TY 112 puts ref 112-11 (exp 10/10)
- -2,000 TYX5 112 puts, 33 vs. 112-07/0.43%
- -10,000 FVX5 110.75 calls, 2.5 vs. 109-01/0.08%
- +4,000 TYX5 112.5/113/113.5/114.5 broken call condors on 4x4x4x3 ratio, 1 db
- over +9,000 FVV5 108.75 puts, 0.5 ref 109-01.25
- +3,000 TYX5 111.5 puts, 20 ref 112-08.5
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
US TSYS: Late SOFR/Treasury Option Roundup: Mixed on Rising Volumes
SOFR/Treasury option volumes improved in the second half, flow mixed with large Oct 5Y put buyer in Tsys, SOFR options revolving around better calls. Underlying futures off early session lows with TYZ5 nearing initial resistance at 112-15.5 (High Aug 5 and the bull trigger), curves twist steeper with 2s10s +3.063 at 61.112 (near Mid-April levels last seen early 2022)., 5s30s +2.986 at 120.423. Projected rate cuts have gained slightly vs. early morning (*) levels: Sep'25 at -21.6bp (-21.4bp), Oct'25 at -34.6bp (-34.1bp), Dec'25 at -55.6bp (-54.4bp), Jan'26 at -69.1bp (-68.1bp).
- SOFR Options:
- +8,000 SFRZ5 96.50/97.00 call spds, 4.125 ref 96.235
- 5,000 0QZ5 97.50 calls ref 97.025
- +20,000 SFRH6 96.75/97.25 call spds, 8.5
- -5,000 SFRU6 95.50/98.25 call over risk reversals, 5.0 vs. 96.925
- -4,000 SFRH6 96.50 calls, 22.5 vs. 96.495/0.50%
- -5,000 SFRM6 97.00/97.50 call spds vs. 3QM6 96.87/97.37 call spds, 0.0 net
- -5,000 SFRZ5 96.00 puts, 4.5
- -2,500 SFRU6 97.75/98.00 call strip w/ 96.00 put vs. 96.87 straddle, 42.0 total (straddle sold over)
- Block, 5,700 SFRU5 96.00/96.06/96.18/96.25 call condors 0.5 ref 95.89
- +2,500 SFRU5 96.00/96.06/96.18/96.25 call condors, 0.5 vs 95.9175/0.05%
- 2,000 2QZ5 96.25/96.37/96.62 broken put flys, 4.5 ref 96.85/0.10%
- +2,000 0QU5/2QU5 97.12 call spds, 1.0 net
- 2,600 SFRF6 96.50 calls ref 96.475
- Treasury Options:
- Block/screen +50,000 FVV5 108.5 puts, 6.5-7.0 vs. 109-13.75/0.18%
- +12,000 wk5 TY 112.5 calls, 7 vs. 112-12/0.36%
- -3,000 TYV5 111/113.5 strangles, 29
- -2,500 TYV5 112.25 straddles, 120
- +4,000 TYX5 109.5/113 strangles, 48
- 4,000 TYV5 112.5/113/113.5 call flys
- +1,600 TUZ5 104.5/105.25 2x3 call spds, 13
- 1,900 USV5 111.5/112.5 put spds ref 113-30
- -2,500 USV5 111 puts, 23 ref 114-00
- +2,000 TYV5 109.5 puts, 4 vs. 112-00.5/0.08%
EURJPY TECHS: Trend Needle Points North
- RES 4: 177.08 2.000 proj of the Feb 28 - Mar 18 - Apr 7 price swing
- RES 3: 175.43 High Jul 11 ‘24 and a key medium-term resistance
- RES 2: 174.86 1.764 proj of the Feb 28 - Mar 18 - Apr 7 price swing
- RES 1: 173.02/97 High Aug 13 / High Jul 28 and the bull trigger
- PRICE: 171.40 @ 16:00 BST Aug 27
- SUP 1: 170.56 50-day EMA
- SUP 2: 169.73/45 Low Jul 31 / 23.6% of the Feb 28 - Jul 28 bull leg
- SUP 3: 168.46 Low Jul 1
- SUP 4: 167.46 Low Jun 23
EURJPY is in consolidation mode. The trend structure remains bullish and the cross is trading closer to its recent highs. Key support to watch lies at the 50-day EMA at 170.56. A clear break of the average is required to highlight a stronger short-term bearish threat. Moving average studies are in a bull-mode position reinforcing the primary uptrend. Key resistance to watch is the Jul 28 high of 173.97, a break would confirm a continuation of the bull cycle.
US TSY OPTIONS: BLOCK/Screen Oct'25 5Y Put Buy
- Appr +50,000 FVV5 108.5 puts from 6.5-7 in the last few minutes vs. 109-13.75/0.18%
