US TSYS: Late SOFR/Treasury Option Roundup: Large No Dec Cut Hedging
While early Treasury call interest faded in the the second half, a surge in SOFR put options were reported despite underlying futures clinging near session highs after the bell. Note large Dec'25 SOFR ratio put spread - a cheap hedge for no rate cut by year end even as projected cuts pricing gained. Underlying futures gained after Fed Gov Waller comments of potential for July rate cut this morning. Projected rate cut pricing gains vs. this morning's levels (*) as follows: Jul'25 at -3.6bp (-2.6bp), Sep'25 at -20bp (-17.1bp), Oct'25 at -33.6bp (-30.1bp), Dec'25 at -51bp (-46.4bp).
- SOFR Options:
- +50,000 SFRZ5 95.50/95.68 2x1 put spd 0.25 (Fed on hold through Yr end hedge)
- -5,000 SFRU5 95.87/96.00/96.12 1x3x2 call flys, .25 ref 95.895
- -2,500 2QU5 96.62 straddles, 42.0 ref 96.645
- -20,000 SFRV5 96.00 puts, 10.5 to 10.0 ref 96.135
- -20,000 SFRQ5 95.62/95.75 put spds, 2.0 ref 95.88
- +4,000 SFRN5 95.62/95.68/95.75 put fly, 0.5 vs. 95.87/0.05%
- -5,000 0QU5 96.43 puts, 11.0 vs. 96.66/0.33%
- +10,000 SFRU5 96.18/96.31 call spds, 1.125 ref 95.875
- +10,000 SFRH6 98.00/99.00 2x3 call spds 3.0 over 95.50 puts ref 96.385 to -.36
- 13,200 SFRZ5 95.75 puts ref 96.13
- +10,000 2QX5/2QZ5 96.00/96.25/96.50 put fly strip, 7.5 total db
- 13,400 SFRZ5 95.87 puts, ref 96.105
- 4,000 0QU5 97.00 calls ref 96.66
- 3,500 SFRN5 95.81 puts ref 95.86
- 2,200 SFRN5 95.75 puts ref 95.86
- 4,500 SFRH6 96.37 calls ref 96.325
- Treasury Options:
- 2,500 TUU5 103.75 puts, 103-22.38
- 2,200 FVQ5 109.5 calls ref 108-06.5
- 2,500 TYQ5 116.5/117 call spds ref 110-27
- over 10,000 TYU5 107/108 put spds, 8 ref 110-25.5
- -10,000 TYU5 115 calls, 12.0
- 2,000 TYU5 107/108 put spds 8 ref 110-22
- -8,500 TYQ5 110.5 straddles, 141-140 (implieds 5.98-5.92%)
- over +50,000 TYQ5 112 calls, 24 ref 110-20 to -20.5 appr implied vol 6.49%
- -15,000 TYQ5 109/110/111/112 iron condors, 38
- 5,000 TYQ5 111 calls vs. 109/110 put spds ref 110-20.5
- 5,000 wk4 TY 110.5/110.75 strangles
- 3,000 TYQ5 109/110 2x1 put spds, 6 ref 110-21
- 5,400 TYQ5 112 calls, 27 ref 110-26.5
- +25,000 TYQ5 112.5 calls, 20 vs. 110-27.5/0.20%, appr implied vol 6.57%
- 6,600 FVN5 107.75 puts ref 108-05.5
- 12,900 TYN5 111 calls ref 110-28
- 2,100 USN5 112.5 puts, 2 ref 113-18
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US TSYS: Late SOFR/Treasury Option Roundup: Better Puts as Yields Rise
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
EURJPY TECHS: Key Support Remains Exposed
- RES 4: 166.69 High Oct 31 2024 and a key resistance
- RES 3: 166.10 High Nov 6
- RES 2: 165.21/43 High May 13 / High Nov 8 2024
- RES 1: 164.07 High May 15
- PRICE: 162.99 @ 16:17 GMT May 21
- SUP 1: 162.28/15 50-day EMA / Low May 19
- SUP 2: 161.60 Low May 6
- SUP 3: 160.99 Low Apr 22
- SUP 4: 159.48 Low Apr 9
EURJPY maintains a bearish tone following the pullback from its recent high and is trading closer to its latest lows. Recent weakness is considered corrective. However, the cross has tested a key support at 162.28, the 50-day EMA. A clear break of this level would undermine a bearish theme and signal scope for a deeper retracement. For bulls, a resumption of gains would refocus attention on the bull trigger at 165.21, the May 13 high.
US STOCKS: Late Equities Roundup: Pharmaceuticals, Estate Management Lagging
- Stocks retreated again after bouncing off early second half lows Wednesday, taking cues from higher Treasury Bond yield, not to mention a large sell program (1,891 names, largest since April 10). Trading desks had cited this morning's higher bond yields partly triggered by fiscal developments (or lack thereof) as lawmakers continue to discuss Pres Trump's tax/spending bill.
- Investor sentiment flagged amid concerns the "big beautiful" tax & spending deal will increase the deficit an estimated $3.3 trillion over 10 years, weighing on equities as well as the Greenback (Bbg US$ index -5.22 at 1217.49).
- Currently, the DJIA trades down 696.7 points (-1.63%) at 41980.32, S&P E-Minis down 74.75 points (-1.25%) at 5884.5, Nasdaq down 183.1 points (-1%) at 18959.6.
- Health Care and Real Estate sectors underperformed in late trade, pharmaceuticals companies continued to weigh on the former with Moderna -7.29%, Bio-Techne -6.02% and Charles River Laboratories -5.32%. Estate management and investment trust stocks weighed on the former with CBRE Group -4.84%, Alexandria Real Estate -4.38%, Iron Mountain -3.69% and Weyerhaeuser -3.62%.
- Communication Services and Consumer Staples sectors outperformed in late trade, interactive media and entertainment buoyed the Communication Services sector with Alphabet +3.68%, Match Group +0.34% and Netflix +0.32%. Limited gainers in Staples included Philip Morris International +0.34%, Monster Beverage +0.21% and Coca-Cola Co +0.14%.
