EQUITIES: US Cash Opening Calls

Still looking ahead to Next Week's Equity Option Expiry in Notional Term, these will of course change and the focus will be on Gamma Flows at expiry.

• SPX: $3.31T.
• NDX: $117.51bn.
• Amazon: $19.66bn.
• Apple: $24.26bn.
• SX5E: €328.50bn.
• SX7E: €21.16bn.
• DAX: €83.88bn.
• UKX: £26.25bn.

Post-CPI SOFR & Treasury options volume gains, option desks reporting two-way puts, vol sales and buying in 5Y midcurve calls. Projected rate cut pricing back in play vs. morning levels (*) as follows: Jun'25 steady at 0.0bp, Jul'25 at -4.6bp (-3.6bp), Sep'25 at -19.7bp (-16.6bp), Oct'25 at -32.6bp (-28.1bp), Dec'25 at -49.4bp (-43.1bp).

• SOFR Options:
  • -6,000 SFRN5 95.75 puts, 1.0
  • +4,000 SFRU5 95.50 puts, 0.5 ref 95.84
  • -3,000 2QH5 96.37 straddles 72.5 ref 96.37
  • -2,500 SFRZ5 95.25/95.50/95.75 put flys, 3.5 ref 96.07
  • +4,000 SFRZ5 97.00 calls, 6.0 ref 96.06
• Treasury Options:
  • +10,000 wk1 FV 109/110 call spds, 5
  • -5,000 TYQ 112 calls 23 ref 110-17.5, 5.84% appr implied vol
  • 1,500 TYN5 109.52/109.75 put spds

EQUITY ROLL PACE: This should start to pick up into next Week, triple Witching is Friday the 20th.

• SPX: 6%.
• NDX: 3%.
• DOW: 2%.
• VGA: 4%.
• DAX: 2%.
• FTSE: 2%.