SOFR and Treasury options favored upside call structures, bullish tone carried over to put selling while others took a stab at selling vol in May 10Y options ahead of tomorrow afternoon's reciprocal tariff announcement from DC. Projected rate cuts through mid-2025 rebounded from late Monday - look steady to mixed vs. this morning's levels (*) as follows: May'25 at -5.3bp (-4.7bp), Jun'25 at -22.1bp (-22.3bp), Jul'25 at -39.1bp (-38.6bp), Sep'25 -56.6bp (-56.1bp).
- SOFR Options:
- Block, +18,000 SFRM5 96.12/96.50 call spds, 4.0 ref 95.935
- -10,000 0QK5 96.75/97.00 call spds, 6.0 vs. 96.60/0.15%
- +7,000 SFRJ5 96.25 calls, 1.0 vs. 95.93/0.08%
- +3,000 SFRZ5 96.62 calls,26.0 vs. 96.435/0.42%
- 4,000 SFRQ5 95.50/95.68/95.87 put flys ref 96.225
- 2,100 SFRM5 95.37/95.62 put spds vs. 96.37/96.62 call spds
- 3,200 SFRM5 95.75/95.87/95.93 put trees
- 3,000 SFRU5 96.25/96.50 call spds
- 1,500 SFRU5 95.25/95.50/95.75/96.00 put condors ref 96.22
- 10,000 SFRM5 96.06/96.18 call spds vs. 2QM5 96.75/96.87 call spds
- 2,000 SFRM5 95.62/95.68 put spds ref 95.925
- Block/screen, 6,000 SFRM5 96.12/96.50 call spds, 3.5 ref 95.915
- 2,000 0QM5 97.00 calls vs. 2,500 97.50 calls ref 96.595
- 1,500 2QJ5 96.75 calls ref 96.58
- Treasury Options:
- -12,000 TYK5 111 puts, 27 vs. 111-22.5/0.35%
- -5,300 TYK5 111.5 straddles, 134
- -10,000 TYK5 111/112.25 strangles, 100
- 2,000 TUK5 103.75/103.87/104/104.25 broken call condors ref 103-22.5
- 5,200 USM5 119 calls vs. wk1 US 119.5/121 call spds ref 118-18
- 1,000 USK5 120/123/126 call flys ref 118-16
- 8,000 TYK5 112/112.5/113/113.5 call condors ref 111-24.5
- 7,000 Wed wkly TY 111.5/wk1 TY 111.75 call spds
- over 10,200 TYK5 113 calls, 21 last
- 10,000 TYM5 113.5/115.5 call spds ref 111-24
- over 6,700 each: TYK5 111.5 and 112 calls
- over 6,200 TYK5 114 calls 8 last ref 111-22
- 2,000 FVK5 108.75/109 call spds ref 108-11.25
- 8,000 TYK5 113.5/115 call spds ref 111-17.5