US TSYS: Late SOFR/Treasury Option Roundup: Better Puts as Yields Rise
May-21 19:06
Aside from a large scale buyer of Jun'25 SOFR calls, flow leaned towards low delta put structures Wednesday as underlying futures weaker, near lows while projected rate cut pricing drifts near early morning levels (*) as follows: Jun'25 at -1.4bp (-0.5bp), Jul'25 at -7bp (-6.7bp), Sep'25 at -20.8bp (-19.6bp), Oct'25 at -33.5bp (-33.7bp), Dec'25 at -50.6bp (-50.7bp).
- SOFR Options:
- over +100,000 SFRM5 96.50 calls, 0.5
- -4,000 SFRZ5 95.87/96.00 put spds, 5.75
- +3,000 0QX5 96.00 puts, 10.5 ref 96.62
- +20,000 SFRZ5 95.37/95.62 put spds, 1.5 ref 96.17
- -6,000 SFRU5 95.81 / SFRZ5 95.68 put spds, 5.0 net/Sep over
- -2,500 SFRM5 95.75 puts, 8.25 ref 95.68
- +4,000 0QM5 96.25 puts, 2.5 vs. 96.53
- -2,000 2QZ5 95.75/97.25 strangles, 20.75 ref 96.43
- Block 5,000 SFRU5 96.12/96.37 call spds, 3.5 ref 95.89
- 1,900 SFRM5 95.68/95.75/95.81 call flys ref 95.68
- 2,600 SFRM5 95.75/95.87 2x1 put spds ref 95.68
- +6,000 SFRM5 95.68 puts, 2.5
- 2,000 SFRM5 95.75 put vs. 0QN5 96.12 put, 0.5 net flattener
- +1,000 SFRM5 95.50/95.68 2x1 put spds cab
- +5,000 0QM5 96.12 puts, 1.0 vs. 96.575 to -.58/0.05%
- -2,000 2QN5 96.43 puts, 14.5 vs. 96.50/0.44%
- Treasury Options:
- 11,491 TYN5 100/108.5/110 broken put flys ref 109-28
- 3,800 FVU5 106.25/107.5 2x1 put spds ref 107-18.75
- 2,000 FVM5 107.5/107.75 call spds 6 ref 107-16.5
- +25,000 TYN5 111.5 calls, 18 vs. 109-28/0.20%, appr 6.78% vol (total volume over 58k on day
- -3,500 TYN5 110 straddles, 143, appr 6.63% vol
- 1,250 USM5 112/USN5 109 put spds
- 20,000 TYM5 110.5/111 call spds, 2 ref 109-29
- over 3,300 USN5 109 puts, 50 ref 111-19
- +8,000 TYM5 111/112/113 call flys, 1.0
- (another 3k TYM5 112 calls, 1 ref 109-30)
- +5,000 TYM5 109.5 puts, 6
- +3,000 TYU5 107.5 puts, 41-42
- +3,000 FVM5 108 calls, 2
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US STOCKS: Late Equities Roundup: Hugging Lows
Apr-21 18:54
- Stocks are holding near deep session lows in late Monday trade, Consumer Discretionary and Information Technology sectors continue to underperform with lack of clarity and communication over trade negotiations widely sited.
- Currently, the DJIA trades down 1258.06 points (-3.21%) at 37884.8, S&P E-Minis down 180.5 points (-3.4%) at 5132 (April 10 lows, still off April 7 low of 4832.00, The Nasdaq down 596.8 points (-3.7%) at 15689.37.
- Information Technology and Consumer Discretionary sectors continued to underperform, semiconductor makers primarily weighing on the IT sector: Super Micro Computer -7.60%, Arista Networks -6.04%, NVIDIA -5.76%, Palo Alto Networks -5.47%, Oracle -5.41% and Broadcom -4.91%.
- The Consumer Staples sector weighed down by Tesla -6.91%, DoorDash -5.87%,Chipotle Mexican Grill -4.48%, Carnival -4.22%, Ross Stores -4.01% and TJX Cos -3.93%.
- A mix of Financials, interactive media and pharmaceuticals outperformed in late trade: Discover Financial Services +3.34%, Fidelity National Information +3.00%, Netflix +1.40%, Moderna +1.34% and Dollar General +1.15%.
- Equity earnings resume after the close: Hexcel Corp, Medpace Holdings Inc, W R Berkley Corp, AGNC Investment Corp and Western Alliance Bancorp reporting.
PIPELINE: Corporate Bond Update, $5B American Express 4Pt Priced
Apr-21 18:25
- Date $MM Issuer (Priced *, Launch #)
- 04/21 $5B *American Express $1.6B 4NC3 +98, $400M 4NC3 SOFR+126, $1.5B 6NC5 +108, $1.5B 11NC10 +128
- 04/21 $700M Excelerate Energy 5NC2
- 04/21 $2B QXO Inc. 7NC3 investor calls
US: FED Reverse Repo Operation
Apr-21 18:23
RRP usage rebounds to $114.114B this after noon from $58.600B last Thursday. Usage had fallen to $54.772B last Wednesday, April 16 -- lowest level since April 2021. Usage had surged to the highest level since December 31, 2024 last Monday, March 31: $399.167B. The number of counterparties at 38.
