US TSYS: Early SOFR/Treasury Option Roundup
Oct-25 11:35
Trade desks report better Treasury option volumes overnight, Dec 10- and 5Y put structures aside from decent two-way in soon to expire November options. SOFR flow rather muted as underlying futures gain slightly. Current projected rate cuts into early 2025 look steady to mildly lower vs. late Thursday levels (*): Nov'24 cumulative steady at -23.6bp, Dec'24 -42.6bp (-42.9bp), Jan'25 -59.6bp (-60.1bp), Mar'25 -80.2bp (-81.0bp). Highlight trade includes:
- Treasury Options: Reminder, November options expire today
- 3,000 FVZ4 106.5 puts
- 2,300 TYF5 111 puts, ref 111-16.5
- over 14,000 TYZ4 109.5/111 put spds vs. 112.5 calls ref 111-09 to -09.5
- 7,000 wk1 TY 112 calls expire Nov 1
- 2,000 TYZ4 109.5/111 put spds vs. 113 calls ref 111-12.5
- SOFR Options:
- 8,100 2QZ4 96.25/2QH5 96.00 put spds
- 2,000 0QZ4 95.68/96.18 put spds vs. 3QZ4 95.37/96.12 put spds
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
STIR: BLOCK: Mar'25 SOFR Conditional Bull Curve Steepener
Sep-25 11:31
- 10,000 SFRH5 96.62/96.87 call spds vs. 2QH5 97.12/97.37 call spds, even net for the conditional curve steepener: SFRH5 bought vs. 2QH5 at 0715:55ET.
OUTLOOK: Price Signal Summary - Gilts Bear Cycle Still In Play
Sep-25 11:22
- In the FI space, Bund futures continue to trade below their recent highs. The latest move down - a correction - has resulted in a breach of the 20-day EMA. This does signal scope for a deeper retracement near-term, potentially towards the 50-day EMA, at 133.68. Clearance of this average would undermine a bullish theme. For bulls, a stronger reversal higher would refocus attention on key resistance and the bull trigger at 135.66, the Aug 5 high.
- A bull cycle in Gilt futures remains intact, however, the sell-off that started Sep 7, highlights a corrective phase and this week’s move lower suggests potential for a continuation near-term. Support at 98.92, 76.4% of the Sep 2 - 17 bull leg, has been cleared and this strengthens the current bearish theme. The break exposes the key support at 98.11, the Sep 2 low. For bulls, a clear reversal higher would refocus sights on 101.54, Sep 17 high.Initial resistance is at 99.82, the 20-day EMA.
SONIA: Call fly buyer
Sep-25 11:20
SFIZ4 95.50/95.65/95.80c fly, bought for 3.25 in 5.5k.
Trending Top
Mar-27 20:13
