US TSYS: Late SOFR/Treasury Option Roundup: Heavier Call Volume
With a few exceptions, SOFR & Treasury options saw better call volumes carry over from overnight, huge Green Mar'26 SOFR Call spd add (+200k/wk) and not a particularly useful buy of 100k way-out of the money TYQ5 calls at sub-cab levels. Underlying futures remain firmer/near session , projected rate cut pricing gain slightly vs this morning's pre-data (*) levels: Jul'25 at -0.6bp, Sep'25 at -15.2bp (-14.2bp), Oct'25 at -28.6bp (-27.1bp), Dec'25 at -46.8bp (-43.7bp).
- SOFR Options:
- +150,000 2QH6 98.00/98.25 call spds .87 (adds to +50k on Monday for 1.0)
- +6,000 SFRZ5 95.87/96.06/96.18/96.31 put condors, 0.0 vs. 96.6/0.10%
- Block/pit, -10,000 SFRZ5 96.25/96.50/96.75/97.00 call condors, 3.75
- 2,500 SFRZ5 95.62/95.75/95.87 put flys, ref 96.08
- -19,750 SFRQ5 95.68/95.75 put spds 1.25 ref 95.815
- Block/screen, +20,000 SFRH6 96.37/96.50 call spds vs. 96.00/96.12 put spds, 0.5 net vs. 96.31/0.15%
- 1,000 SFRU5 95.68/95.75/95.872x3x1 broken put flys ref 95.815
- Treasury Options:
- -100,000 TYQ5 115.5 calls, cab-7
- over -60,000 TYU5 107/108 put spds, 5 ref 110-15.5
- 2,100 USQ5 111/111.5 put spds, 9 ref 112-20
- 2,500 TYQ5 107.5/108.5 2x1 put spds ref 110-18
- 9,100 TYV5 109 puts 41 ref 110-13.5
- Block, 7,500 TYV5 108 puts, 25 vs. 110-14/0.20%
- Block, 7,500 TYV5 108/TYX5 107.5 put spds, 3 vs. 110-16/0.56
- +5,000 TYU5 113/115 1x2 call spds, 2 vs. 110-12.5/0.05%
- -2,500 TUU5 103.25 puts, 5.5
- +15,000 TYU5 115 calls, 3
- +10,000 TYU5 115.5 calls, 3
- +5,000 TYU5 108/109 put spds, 11
- Block/screen over +47,000 TYU5 108.5/109.5 put spds 16 vs. 110-10/0.15%
- 2,500 TUU5 103.12/103.37/103.5/103.62 broken put condors, 0.5 net ref 103-17.12
- -3,000 TYQ5 109.75/110.75 call over risk reversals, 0.0
- 4,300 TYV5 111/112 call spds ref 110-08
- 4,250 TYQ5 110.5 calls ref 110-12
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US TSY OPTIONS: Late BLOCK: Jul'5 5Y Calls
- 10,000 FVN5 108 calls, 10 vs. 107-29.5/0.44% at 1503:17ET - additional 10,000 trade on screen at 11
US TSYS: Lat e SOFR/Treasury Option Roundup: Forward Rate Cut Pricing cools
Option desks reported light SOFR & Tsy option flow Monday, mixed flow as underlying futures retreated from early session highs. Underlying futures trade weaker but off late overnight lows, projected rate cut pricing has cooled vs. morning levels (*) as follows: Jun'25 at 0.0bp, Jul'25 at -3.1bp (-4.1bp), Sep'25 at -17.4bp (-18.4bp), Oct'25 at -30.6bp (-34.9bp), Dec'25 at -46.4bp (-46.9bp).
- SOFR Options:
- Update, total 20,000 0QZ5 96.75/97.00/97.50/97.75 call condors, 6.0 ref 96.72/0.05%
- Block, 5,000 SFRV5 95.75/95.93/96.50 broken call trees, 2.5 net ref 96.125
- +4,000 0QV5 97.00/97.50/98.00 call flys, 5.5 vs. 96.695/0.10%
- +5,000 0QN5 96.75 calls, 8.5 ref 96.62/0.38%
- -1,500 2QZ5 96.50 straddles, 61.0-60.5
- 1,000 SFRU5 95.87/96.06 2x3 call spds, 1.25
- 3,000 SFRU5 95.37/95.62 put spds, 0.5 ref 95.88 to -.875
- 1,500 SFRN5 95.62/95.75/95.87 put flys, 4.5
- Treasury Options:
- -7,500 TYN5 110.25/112 1x2 risk reversals (-p) vs. 110-22.5/0.41%
- 1,200 TYQ5/TYU5 110.5 call spds, 16 ref 110-23
- 2,000 TYQ5 110/111 strangles, 1-19
- 2,000 TYN5 110.5/110.75/111/111.25 call condors
- 1,250 TYN5 109/109.5 put spds vs. 111.75/112.25 call spds ref 110-14.5
- +1,000 TYU5 107/108 put spds 9 vs. 110-21/0.08%
EURJPY TECHS: Northbound
- RES 4: 168.01 High Jul 26 ‘24
- RES 3: 167.87 2.0% 10-dma envelope
- RES 2: 167.47 61.8% retracement of the Jul 11 - Aug 5 2024 bear leg
- RES 1: 167.22 High Jun 16
- PRICE: 167.03 @ 17:23 BST Jun 16
- SUP 1: 164.41 20-day EMA
- SUP 2: 163.33 50-day EMA
- SUP 3: 162.80/161.78 Low Jun 3 / Low May 26
- SUP 4: 161.09 Low May 23 and key support
The trend set-up in EURJPY remains bullish and the cross has delivered a fresh cycle high once again, today. A key resistance at 165.21, the May 13 high, has been cleared, strengthening bullish conditions that confirms a resumption of the uptrend and opens 167.47, a Fibonacci retracement. Key short-term support lies at 161.09, the May 23 low, where a break is required to highlight a reversal. First support is at 164.41, the 20-day EMA.
