US TSYS: Late SOFR/Treasury Option Roundup: Serial April Expiration
SOFR options tended toward low delta calls Friday while Treasury options were more mixed on much better volumes amid continued positioning/position squaring ahead today's April expiration. Underlying futures modestly bid, upper half of narrow range w/ TYM5 at 111-08.5 (+3), curves steeper wi the 5s30s climbing to 59.686 - steepest since late September. As such, projected rate cuts through mid-2025 have gained vs. morning levels (*) as follows: May'25 at -5.2bp, Jun'25 at -21.2bp (-20.5bp), Jul'25 at -33.5bp (-31.5bp), Sep'25 -50.2bp (-47.8bp).
- SOFR Options:
- 2,800 SFRN5 95.56/95.62/95.68 put flys ref 96.18
- +4,000 SFRM5 95.75/95.87 2x1 put spds 3.25
- 2,000 SFRK5 95.87/95.93/96.00/96.12 broken call condors ref 95.925
- 3,000 SFRK5 95.75/95.81/95.87/95.93 call condors ref 95.915 to -.92
- +4,000 SFRK5 96.00/96.50 call spds, 5.0 ref 95.92
- 6,000 SFRU5 97.00 calls, 6.0 last
- 1,500 SFRU5 96.50/96.75 call spds
- 4,000 SFRZ5 97.50 calls ref 96.33
- 1,000 0QM5 96.00/96.25 put spds vs. 96.75/97.00 call spds ref 96.51
- 1,000 SFRK5 95.81/95.93/96.00/96.12 call condors ref 95.91
- 2,100 SFRJ5 96.00 calls ref 95.90
- Treasury Options: Aoril serial options expire today
- Update on May structures: closer to 20,000 TYK5 111.5/112.5/113 1x3x2 broken put AND call flys ref 111-02 to -03.5
- 7,000 TYK5 105.5/107 2x1 put spds ref 111-03
- -10,000 wk4 TY 112.5 calls, 2 vs. 111-04.5
- +5,000 wk4 TU 103.75 calls, 3 vs. 103-19.6
- Block: 10,000 TYK5 112.5/114 call spds vs. TYM5 112/113.5 call spd, 10 net/Jun over ref 111-08
- over 8,000 TYK5 113 calls, 18-20 ref 111-08
- 5,000 TYJ5 111.25/111.5 1x3 call spds vs. 111 put ref 111-07
- appr 4,000 FVJ5 108 straddles
- over 3,400 FVJ5 108.25 calls
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Historical bullets
MNI: FED MINUTES: WANT FURTHER DISINFLATION BEFORE NEXT CUT
- FED MINUTES: WANT FURTHER DISINFLATION BEFORE NEXT CUT
- FED: CAN TAKE CAREFUL APPROACH ON CUTS GIVEN UNCERTAINTY
- FED SAW INCREASED UPSIDE RISKS TO INFLATION IN JAN MEET
- 'VAST MAJORITY' OF FOMC STILL BELIEVES POLICY RESTRICTIVE
- VARIOUS OFFICIALS-CAN SLOW OR PAUSE QT DUE TO DEBT TALKS
- TRADE, IMMIGRATION COULD HINDER DISINFLATION PROCESS-FED
EURGBP TECHS: Pivot Resistance Stays Intact For Now
- RES 4: 0.8474 High Jan 20 and a key resistance
- RES 3: 0.8420 76.4% retracement of the Jan 20 - Feb 3 bear leg
- RES 2: 0.8388 61.8% retracement of the Jan 20 - Feb 3 bear leg
- RES 1: 0.8347/78 50-day EMA / High Jan 6 and pivot resistance
- PRICE: 0.8278 @ 16:09 GMT Feb 19
- SUP 1: 0.8266/8248 Low Feb 19 / 3 and bear trigger
- SUP 2: 0.8223 Low Dec 19 and a key support
- SUP 3: 0.8203 Low Mar 7 ‘22 and a lowest point of a multi-year range
- SUP 4: 0.8163 123.6% retracement of the Dec 19 - Jan 20 bull leg
EURGBP traded lower again overnight but - for now - remains inside a range. The early February bounce still appears to have undermined a recent bearish threat. Attention is on 0.8378, the Jan 6 high and a key short-term pivot resistance. Clearance of it would strengthen a bullish condition and signal scope for a stronger recovery. For bears, a resumption of weakness would once again refocus attention on 0.8248, the Feb 3 low and the bear trigger.
OPTIONS: US Options Roundup
Tuesday's US rates/bond options flow included:
- SFRH5 96.06c, traded for half in 4k.
- SFRJ5 95.87/95.81/95.62p ladder, traded for 4 in 2k.
- SFRK5 97.43c, traded for 0.75 in 2k.
- SFRM5 95.93/96.06cs, traded for 1.5 in 7.5k.
- SFRM5 95.68p, traded for 2.5 in 3k.
- SFRM5 95.56/95.68/96.00/96.12 Iron Condor, sold at 2.25 in 3k.
- SFRQ5 95.93^, bought for 34.5 in 2k.
- SFRU5 95.93^, sold at 37 and 36.5 in 8k total
- SFRU5 95.93^, traded for 37 in 2k and 36.5 in 3.5k.
- SFRZ5 96.37/96.12/95.68p ladder, sold at 6.25 in 3k.
- 0QH5 95.93/96.06/96.18/96.43c condor, traded 3.5 in 5k.
- 0QM5 96.06 with 2QM5 96.00 straddle strip, bought for 93 in 1.5k.
- 2QU5 96.62/97.00cs, traded 5 in 3k.
