US TSYS: Late SOFR/Treasury Option Roundup: SOFR Put Surge
May-09 19:13
SOFR options saw better put structure buying throughout the session, volume picking up in the second half as underlying rates continued to retreat from midmorning highs. Projected rate cut pricing held steady to slightly cooler vs. morning levels (*) as follows: Jun'25 steady at -4.3bp, Jul'25 steady at -17.2bp, Sep'25 -34.9bp (-35.1bp), Oct'25 -49.7bp (-50.7bp).
- SOFR Options:
- +20,000 SFRM5 95.68/95.75 put spds w/ 5,000 SFRM5 95.25/95.37 put spd and 95.12/95.37 put spd, pays 11.0 for the strip ref 95.745
- over +6,000 3QZ5 94.00/95.00 put spds, 3.5 vs. 96.30/0.06%
- +40,000 SFRZ5 95.62/95.87 put spds, 5.5 ref 96.35 (paper +40-50k SFRZ5 95.68 puts, 3.5 Thu)
- 15,000 SFRZ5/2QZ5 96.75/97.00 call spd spd 3.25 net 2QZ5 over
- +4,000 0QN5 97.25/3QN5 96.87 call spds 3.25 0QN5 over
- +3,000 SFRM5 95.93/96.18 call spds 1.25 ref 95.745
- 1,500 SFRH6 95.87/96.87 call spds vs. 0QH6 96.12/97.12 call spds
- 4,000 3QZ5 94.00/95.00 put spds ref 96.35
- 19,800 SFRV5 96.12/96.37 2x1 put spds ref 96.36
- 3,800 SFRN5 95.62/95.75 call spds ref 96.075
- 5,000 0QK5 96.81/97.06/97.31 call flys ref 96.695
- 3,000 SFRN5 95.62/95.75 put spds ref 96.07
- Treasury Options:
- 2,000 TYM5 113/114 1x2 call spds ref 110-29.5
- 10,000 wk2/wk3 TY 111 call spd, 21 ref 111-00
- 4,000 Wed wkly 10Y 112/112.5 call spds ref 110-30 to -31.5
- 4,300 FVN 109.5/110.5 call spds ref 108-13.25
- 4,000 TYN5 110.5/111.5 2x1 put spds ref 110-27.5
- 2,000 USM5 116/117 call spds
- 5,000 Monday wkly 10Y 110.75/111 call spds (exp 5/12)
- 8,400 wk5 FV 109/110 call spds vs wk5 TY 113/114 call spds
- 4,000 TYM5 111/112 2x1 put spds ref 110-25.5
- 3,000 wk5 US 118/120 call spds ref 113-21
- over 8,300 TYM5 109.75 puts ref 110-29
- Block/screen, 39,200 TYM5 109.5 puts, 9-8 ref 110-26.5
- Block, -20,000 FVM5 109 calls, 7 ref 108-05
- 3,000 FVN5 108.5/109/109.5/110.5 broken call condors ref 108-08.5
- 2,000 TYM5 112/113/115 broken call flys ref 110-25.5
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Historical bullets
US OUTLOOK/OPINION: US Goods Imports With Highest China Share
Apr-09 19:09
- We include apparel in the summary section of the MNI US CPI Preview (here) as around 30% of end-use US imports are from China and apparel forms about 2.5% of the total CPI basket.
- Analysts expect a moderation to 0.3% M/M after 0.6% M/M. It’s a noisy category and so should be taken with caution but we’ll nevertheless watch it closely.
- Other areas to watch for initial passthrough before potentially much larger increases feedthrough in months ahead after a lurch higher in tariff rates include cell phones, computers and related accessories and electrical apparatus.
- The below table is a useful guide of what areas to watch, with the US tariff on China jumping from 20% in March to an announced 104% earlier this week (after China retaliation) and now 125% after today's latest announcement from US President Trump.
US TSY OPTIONS: BLOCK: Large May'25 10Y Put Cross
Apr-09 19:08
- 30,000 TYK5 108.5 puts, 11 vs. 110-11/0.02% at 1502:29ET
STIR: BLOCK: Jun'25 SOFR Skew Play
Apr-09 19:03
- 5,000 SFRM5 95.62/95.75 put spds 1.0 over 96.00/96.12 call spds ref 95.915, CME site shows puts sold over at 1454:12ET
