US TSYS: Late SOFR/Treasury Option Roundup: Ongoing SOFR Calls
SOFR and Treasury option flow remains mixed, the former leaning towards low delta calls again even as underlying futures reversed early gains - look to finish near session lows. Curves mixed: 2s10s +1.043 at 54.531, 5s30s -.115 at 99.058. Projected rate cut pricing holding largely steady vs. morning levels (*): Oct'25 holds at -23.7bp, Dec'25 at -44.8bp (-44.5bp), Jan'26 at -54.7bp (-54.6bp), Mar'26 at -65.2bp (-65.1bp).
- SOFR Options:
- -8,000 SFRZ5 96.00/96.12/96.50/96.62 call condors, 10.5 ref 96.325
- +6,000 0QZ5 96.75/96.87/97.00 put trees, 0.0 ref 96.905
- +8,000 SFRZ5 96.18/96.25/96.31 put flys, cab ref 96.325
- +5,000 0QZ5 97.25/97.50 call spds, 2.75
- over 9,300 SFRZ5 96.37 calls largely vs. to 96.43 calls on ratio
- +59,000 SFRZ5 96.68/96.81 call spds, 0.25-0.5
- Block, 2,500 0QF6 96.87/97.00/97.12/97.37 broken call condors, 0.5
- +5,000 SFRU6 96.75/0QU6 96.62 put spds, 0.5
- +2,000 SFRZ5 96.12/96.18/96.25/96.31 put condors, 1.0 ref 96.32
- +2,000 SFRZ5 96.25/96.37/96.50/96.62 call condors, 6.25 ref 96.32
- +4,000 SFRZ5 96.50/96.62 call spds, 1.0 ref 96.315
- +2,000 0QX5 96.31 calls, 2.5 ref 96.935
- Treasury Options:
- 2,000 TYX5 112.75 calls, 18 ref 112-16.5
- 3,000 FVX5 108.25 puts ref 109-05.25
- 1,500 TYX5 112.5 puts, 25 ref 112-16.5, total volume over 11,500
- over 7,700 TYX5 113 calls, 14 ref 112-17.5
- 5,000 FVX5 108.5/109.5 strangles, 13 ref 109-05.25
- over +10,900 TYX5 111.75 puts, 7 ref 112-18.5
- over 5,200 TYZ5 112.5 puts, 43-44
- +2,000 wk3 TY 112.25/112.5/112.75/113 call condors, 6.0 vs. 112-21-0.05%
- 4,350 TUZ5 104/104.25 2x1 put spds, 1.0 vs. 104-06/0.10%
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US TSYS: Late SOFR/Treasury Options Leaning Toward Calls, Rate Cuts Cool
Option desks reported mixed SOFR and Treasury flow Tuesday, leaning toward calls even as underlying futures look to finish lower/near lows. Projected rate cuts recede slightly from pre-open (*) levels: Sep'25 at -27.2bp (-27bp), Oct'25 at -45.9bp (-47.3bp), Dec'25 at -67.9bp (-69.2bp), Jan'26 at -79.9bp (-82.3bp).
- SOFR Options:
- -4,000 SFRH7 96.00/98.00 risk rev w/ SFRM7 96.12/98.12 risk rev, both call over 1 total
- 3,000 96.25/96.37/96.50/96.62 call condors ref 96.36
- Block, 6,500 SFRZ5 96.62/96.75 call spds 1.75
- +2,500 SFRM6/SFRU6 97.50/98.25 call spd strip, 18.5
- 2,000 SFRZ5 96.37/96.43/96.50 call flys ref 96.355
- 2,000 SFRZ5 96.25/96.37 call spds ref 96.38
- 2,850 SFRU5 96.00/96.06/96.18/96.25 call condors, ref 95.985
- +5,000 SFRU5 96.00/96.12 call spds, 1.5
- +2,500 SFRZ5 95.81/95.93 put spds, 0.5 vs. 96.35/0.05%
- +5,000 SFRZ5 96.50/96.62/96.75/96.87 call condors, 1.5
- +10,000 SFRU5 95.93/96.00/96.06 call flys, 2.75
- 2,000 SFRU5 95.87/96.00/96.12 iron flys, 4.0 ref 95.99
- Block, +5,000 SFRU5 95.87/95.93/96.00 call flys, 2
- Block, +2,500 SFRU5 96.00/96.12 call spds, 1.25
- Block/screen, +4,000 SFRZ5 96.50/96.62/96.75/96.87 call condors, 1.5
- +6,000 SFRZ5 96.00/96.12 put spds, 1.75
- -2,000 0QU5 97.00/97.50 call spd vs. 2QU5 97.00/97.37 call spds, 2.0 net
- +5,000 SFRU5 96.00 calls, 1.75
- Treasury Options:
- 2,400 TUV5 104.75/105 1x2 call spds ref 104-14.25
- 2,400 FVZ5 110 calls ref 109-29.25
- 2,500 FVV5 109.75 puts, 17.5 ref 109-28.25
- 5,000 TUV5 104.25/104.5 call spds ref 104-14.88
- 5,000 TYV5 113.5/114 call spds ref 113-13
- +2,000 TYV5 111.75/112.75 put spds 13 vs. 113-08.5/0.08%
- +1,500 TYV 112/113 put spds, 15 vs. 113-16.5/0.23%
- +1,500 TUH6 104.62/105.25 call spds, 13.5 vs. 104-14.75/0.20%
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: 173.97 High Jul 28 and the bull trigger
- PRICE: 172.65 @ 17:35 BST Sep 9
- SUP 1: 171.15 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
The trend set-up in EURJPY remains bullish and sights are on key resistance and the bull trigger at 173.97, the Jul 28 high. Clearance of this level would confirm a continuation of the bull phase. Note that moving average studies are in a bull-mode position too, highlighting a primary uptrend. A break of 173.97 would open 174.86, a Fibonacci projection. Key support to watch lies at the 50-day EMA at 171.15.
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: 173.97 High Jul 28 and the bull trigger
- PRICE: 172.64 @ 17:35 BST Sep 9
- SUP 1: 171.15 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
The trend set-up in EURJPY remains bullish and sights are on key resistance and the bull trigger at 173.97, the Jul 28 high. Clearance of this level would confirm a continuation of the bull phase. Note that moving average studies are in a bull-mode position too, highlighting a primary uptrend. A break of 173.97 would open 174.86, a Fibonacci projection. Key support to watch lies at the 50-day EMA at 171.15.
