US TSYS: Late SOFR/Treasury Option Roundup: Puts Unwound

SOFR & Treasury options remained mixed lat eMonday, lighter volumes with multiple spring holiday closures in Asia and UK. Focus on Wednesday's FOMC policy annc, no rate change expected. Underlying futures weaker but off late session lows. Projected rate cut pricing vs. morning levels (*) as follows: May'25 steady at -0.5bp, Jun'25 at -7.3bp (-8.4bp), Jul'25 at -23.3bp (-25.5bp), Sep'25 -42.2bp (-46.9bp).

• SOFR Options:
  • +15,000 SFRM5 95.68/95.75/95.81/95.87 put condors, 2.0 ref 95.78
  • +8,000 0QM5 98.00 calls, 1.0 vs. 96.805/0.05%
  • -2,500 SFRK5 95.62/95.68/95.75 2x3x1 put flys w/ SFRM5 95.62/95.75 put spds, 10.5 total
  • +15,000 SFRU5 98.00 calls
  • -10,000 SFRU5 96.43/96.62 call spds, 3.25
  • +4,000 SFRU5 95.75/95.87 2x1 put spds, 0.5 ref 96.14
  • 2,000 SFRH6 97.18/98.25 call spds vs. 0QH6 97.25/98.25 call spds, 2.5 net/0QH6 over
  • +2,500 SFRH6 97.50/98.00 call spds, 7.5 ref 96.67
  • +5,000 SFRN5 95.75/95.87 put spds 2.0 vs. 96.195/0.05%
  • +4,000 0QM5/0QU5 97.00/97.50/98.00 call fly spd, 0.5 net
  • +4,000 SFRZ5 95.93 puts, 9.5 ref 96.475
  • 2,000 SFRK5 95.93/96.00 call spds ref 95.80
  • over 3,500 SFRK5 96.06 calls, 0.5 ref 95.81
• Treasury Options:
  • 7,500 TYM5 111.5 calls, 36 ref 111-01
  • Block, 8,500 TYM5 112.5 calls, 14 ref 111-01
  • +3,000 TYM5 111 straddles, 123 6.89% vol
  • 4,000 TYM5 108 puts, 2 ref 111-01.5
  • over 12,200 TYM5 113 calls, 10 ref 111-02
  • -17,000 FVN5 110.5/111.5 call spds 5.5 ref 108-14.75
  • 1,500 TYM5 111.75 straddles,
  • over 7,000 TYN5 110.5 puts ref 111-08
  • 2,000 TYM5 111/112 2x1 put spds
  • over 7,500 TYM5 112 calls, 25 last
  • 1,600 FVM5 107/107.5 put spds ref 108-14.25
  • 2,000 TYM5 110.5/111.25 put spds, 22 ref 111-06.5
  • over 3,200 TYM5 111.25 calls, 46 ref 111-08
  • 1,000 TYM5 111/112/113/114 call condors
  • 1,600 FVM5 107.25 puts ref 108-15.25

• RES 4: 165.88 2.0% 10-dma envelope
• RES 3: 165.43 High Nov 8        
• RES 2: 164.90 High Dec 30 ‘24 and a key medium-term resistance   
• RES 1: 164.63 High Mar 18 and the bull trigger 
• PRICE: 163.15 @ 15:05 GMT May 5
• SUP 1: 162.37 20-day EMA     
• SUP 2: 161.65 50-day EMA
• SUP 3: 160.99 Low Apr 22   
• SUP 4: 159.48 Low Apr 9 

A bullish theme in EURJPY remains intact and last Thursday’s rally reinforces current trend conditions. The cross has pierced key resistance at 164.19, the Mar 18 high. A clear break of this hurdle would confirm a resumption of the bull cycle that started Feb 28. This would open 164.90 next, the Dec 30 ‘24 high. First key support to watch is 161.65, the 50-day EMA. Clearance of this level would undermine the bull cycle. 

• Stocks continue to inch higher late Monday, moderate gains in the DJIA outpacing weaker SPX eminis and Nasdaq indexes at the moment. Currently, the DJIA trades up 65.13 points (0.16%) at 41381.93, S&P E-Minis down 11 points (-0.19%) at 5698, Nasdaq down 42.7 points (-0.2%) at 17935.12.
• Industrials and Consumer Services sectors led gainers in the second half, mostly travel related shares supported the former: Delta Air Lines +3.44%, Cummins +2.38%, United Airlines +2.38% and Uber Technologies +2.21%.
• Interactive media and entertainment supported the Consumer Services sector: Charter Communications +3.17%, Take-Two Interactive +2.64%, Electronic Arts +2.56% and Live Nation Entertainment +2.09%.
• Conversely, oil and gas stocks continued to weigh on the Energy sector as crude remains weaker (WTI -1.16 at 57.13): APA -3.92%, Occidental Petroleum -3.52%, ConocoPhillips -2.99%, ONEOK Inc -2.50% and Exxon Mobil -2.38%.
• Consumer Discretionary sector weighed by Starbucks -2.80%, Chipotle Mexican Grill -2.33%, Mohawk Industries -2.03%, Tesla -1.54% and NIKE -1.42%.
• Latest earnings after the close include: Neurocrine Biosciences, Ford Motor, Mattel Inc, Clorox, Diamondback Energy, Coterra Energy, Vertex Pharmaceuticals, Celanese, Williams Cos, Realty Income, Hims & Hers Health and Palantir Technologies .