Option desks reported light SOFR & Tsy option flow Monday, mixed flow as underlying futures retreated from early session highs. Underlying futures trade weaker but off late overnight lows, projected rate cut pricing has cooled vs. morning levels (*) as follows: Jun'25 at 0.0bp, Jul'25 at -3.1bp (-4.1bp), Sep'25 at -17.4bp (-18.4bp), Oct'25 at -30.6bp (-34.9bp), Dec'25 at -46.4bp (-46.9bp).
- SOFR Options:
- Update, total 20,000 0QZ5 96.75/97.00/97.50/97.75 call condors, 6.0 ref 96.72/0.05%
- Block, 5,000 SFRV5 95.75/95.93/96.50 broken call trees, 2.5 net ref 96.125
- +4,000 0QV5 97.00/97.50/98.00 call flys, 5.5 vs. 96.695/0.10%
- +5,000 0QN5 96.75 calls, 8.5 ref 96.62/0.38%
- -1,500 2QZ5 96.50 straddles, 61.0-60.5
- 1,000 SFRU5 95.87/96.06 2x3 call spds, 1.25
- 3,000 SFRU5 95.37/95.62 put spds, 0.5 ref 95.88 to -.875
- 1,500 SFRN5 95.62/95.75/95.87 put flys, 4.5
- Treasury Options:
- -7,500 TYN5 110.25/112 1x2 risk reversals (-p) vs. 110-22.5/0.41%
- 1,200 TYQ5/TYU5 110.5 call spds, 16 ref 110-23
- 2,000 TYQ5 110/111 strangles, 1-19
- 2,000 TYN5 110.5/110.75/111/111.25 call condors
- 1,250 TYN5 109/109.5 put spds vs. 111.75/112.25 call spds ref 110-14.5
- +1,000 TYU5 107/108 put spds 9 vs. 110-21/0.08%