US TSYS: Late SOFR/Treasury Option Roundup: Tsy Pin Risk Evaporates
SOFR & Treasury options continued to revolve around low delta/upside calls Friday, some profit taking/unwinds after the underlying surged higher following dovish comments from Fed Chair Powell at Jackson Hole symposium. Sep Tsy options expiring, pin risk evaporating as futures hold off strikes. Projected rate cuts gained vs. early morning (*) levels: Sep'25 at -21.2bp (-16.9bp), Oct'25 at -34.1bp (-29.6bp), Dec'25 at -55.1bp (-47.7bp), Jan'26 at -68.6bp (-58.6bp).
- SOFR Options:
- Block, 13,125 SFRU5 96.06/96.12 call spds 0.75 vs. 95.925/0.06%
- +5,000 0QU5 97.00/97.50 call spds .5 over 2QU5 97.00/97.37 call spds
- -17,000 SFRZ5 95.75 puts, 0.75 ref 96.235
- +8,000 SFRH6 96.56/97.06 call spds .5 over 2QH6 97.00/97.50 call spds
- -4,000 SFRH6 97.00 calls, 9.5 vs. 96.48/0.24%
- -3,000 SFRVB5 96.00 puts, 2.0 ref 96.24
- -3,000 SFRZ5 96.50 calls, 7.0 vs. 96.23/0.28%
- Block, 5,000 SFRZ5 95.75 puts, 0.75
- -4,000 SFRU5 95.87 calls, 7.0
- -20,000 0QZ5 96.75/97.00/97.50/97.75 call condors 8.75-9.0 (adds to appr 10k yesterday)
- over 15,000 SFRU5 95.81/95.87/96.00 call flys ref 95.855
- over 10,000 SFRU5 95.68/95.75/95.81 put trees
- 2,000 SFRU5 96.00/96.12/96.25 call flys ref 95.855
- 7,800 SFRU5 96.12/96.25 call spds ref 95.8525
- 2,000 SFRZ5 95.93 puts ref 96.145
- 3,200 0QU5 96.62/97.00 strangles ref 96.78
- 3,200 SFRU5 96.06 calls
- Treasury Options: Reminder Sep Tsy options expire today
- +15,000 wk4 Mon TY 111.5 puts, cab-7 exp Mon
- 3,000 wk5 TY 112.5/113 2x1 put spds, 1 ref 112-05, exp 8/29
- +67,000 TYV5 113.5 calls, 18 vs. 112-03/0.23%
- over 3,400 TYU5 113 calls ref 111-17
- 1,000 FVU5 108.5/108.75 call spds ref 108-18.5
- 2,500 FVU5 108.5/109.25 call spds ref 108-19.5
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US TSYS: Late SOFR/Treasury Option Roundup: Low Delta Puts Lead Volume
Decent SOFR & Treasury option volumes reported Wednesday, mixed trade with low delta puts outpacing calls by the close. Underlying futures weaker but off lows. Projected rate cut pricing cools slightly vs. late Tuesday (*) levels: Jul'25 at -1.2bp, Sep'25 at -16bp (-16.4bp), Oct'25 steady at -28.7bp, Dec'25 at -44.8bp (-45.6bp).
- SOFR Options:
- +20,000 SFRU5 95.75/95.81/95.93/96.00 call condors 2.12-2.25
- +3,000 0QZ5 97.25/97.75/98.00 1x3x2 call flys 4.0 ref 96.825
- +14,000 SFRZ5 95.75/95.87/96.25/96.37 put condors 5.75-6.0
- +5,000 SFRU5 95.87/96.12 call spds 1.25 over 95.62/95.75 put spds ref 95.835
- +5,000 SFRU5 95.87/96.00/96.12 call flys w/ 95.62/95.75 2x1 put spds, 5.5
- 2,000 SFRU5 95.62/96.00 strangles
- -2,000 2QQ5/2QU5 96.37 puts, 1.75 ref 96.77
- -5,000 0QU5 97.50/98.50 call spds vs. 2QU5 97.50/98.00 call spds, 0.75 flattener
- -5,000 0QU5/2QU5 97.50/98.50 call spds, 0.75
- -4,000 SFRQ5/SFRU5 96.00 call spds, 1.25 ref 95.835
- Block/screen, +44,265 SFRQ5 95.62 put, cab (reduced from 103k)
- Block/screen, +8,284 0QQ5 97.00/97.25 call spds, 3.0
- 2,000 0QZ5 98.00 calls ref 96.865
- 2,000 SFRX5 96.31/96.50 call spds ref 96.11
- 7,200 SFRU5 95.62/95.68 2x1 put spds, 0.5 ref 95.835
- 10,000 0QQ 96.87 calls ref 96.785
- 3,000 SFRU5 96.00/96.37 call spds, 1.75 vs. 95.845/0.05%
- +2,000 SFRU5 96.00/96.25 call spds, 1.5 vs. 95.845/0.05%
- Treasury Options:
- 4,300 TYU5 110.5/112 call spds, 46 ref 111-05.5
- over 17,400 FVU5 108.5 calls ref 108-14.5 to -14.75
- +2,000 TYQ5 111 straddles, 26
- +2,000 TYQ5 111/111.5 1x2 call spds, 10
- -1,500 TYU5 111/112.5 call spds, 34 vs. 111-05.5/0.32%
- -1,500 wk5 TY 111 puts, 20 vs. 111-02.5/0.43%
- -1,500 TYU5 109 puts, 7
US TSY FUTURES: BLOCK: Late Sep'25 5Y Sale
- -14,000 FVU5 108-10.75, sell through 108-11.25 post time bid at 1443:18ET, DV01 $600,000.
- The 5Y contract trades 108-10.25 last (-8) vs. 108-09.5 low.
EURJPY TECHS: Trend Needle Points North
- RES 4: 175.43 High Jul 11 ‘24 and a key medium-term resistance
- RES 3: 174.86 1.764 proj of the Feb 28 - Mar 18 - Apr 7 price swing
- RES 2: 173.43 High Jul 12 ‘24
- RES 1: 173.24 High Jul 15
- PRICE: 171.77 @ 16:10 BST Jul 23
- SUP 1: 171.37 Low Jul 22
- SUP 2: 170.97 20-day EMA
- SUP 3: 169.32 Low Jul 3
- SUP 4: 168.24 50-day EMA
The trend set-up in EURJPY remains bullish. Recent fresh cycle highs reinforce current conditions. A price sequence of higher highs and higher lows highlights a dominant uptrend and note that moving average studies are in a bull-mode position. Sights are on 173.43, the Jul 12 ‘24 high. Support to watch lies at 170.97, the 20-day EMA. A move below this average would signal scope for a corrective pullback.
