US TSYS: Early SOFR/Treasury Option Roundup: Puts Pre-PPI
Mixed overnight SOFR & Treasury option trade leaning towards downside puts ahead the NY open, focus on PPI inflation data after yesterday's higher than expected CPI weighed heavily on rates (10Y yield tapped 4.6576% high). Underlying futures recovering some of yesterday's move (extended highs on Pres Trump's mention of imminent reciprocal tariffs today). Projected rate cuts through mid-2025 slightly firmer vs. late Wednesday lows (*) as follows: Mar'25 steady at -0.5bp, May'25 at -3.9bp (-3.2bp), Jun'25 at -9.8bp (-9.1bp), Jul'25 at -13.6bp (-12.6bp).
- SOFR Options:
- 2,400 SFRZ5 96.00/96.12/96.18/96.31 call condors
- 3,000 0QU5 94.50/95.00 put spd vs. 3QU5 94.37/94.87 put spd spd
- 2,300 0QH5 95.87/96.00/96.12/96.31 broken call condors ref 95.94
- 6,000 SFRM5 95.93/96.00 call spds ref 95.765
- 1,750 SFRK5 95.62/95.75/95.88 put trees
- 4,000 SFRH5 95.56/95.62/95.68 put flys ref 95.69
- 5,500 SFRU5 96.00/96.12/96.25/96.37 call condors ref 95.85 to -.855
- 4,000 2QM5 95.87 calls, ref 95.915
- 7,250 SFRJ5 95.62/95.68/95.75 put flys ref 95.76
- Treasury Options:
- over 7,800 TYJ5 110 calls 16 last ref 108-15
- 6,000 TYH5 107.75/108.25 put spds vs. 109 calls ref 108-14.5
- over 7,000 TYH5 107.5 puts, 4 ref 108-13
- 1,500 wk2 TY 108/108.25 3x2 put spds ref 108-14 (exp Fri)
- 2,000 TYH5 107.25/108 put spds ref 108-12.5
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US TSYS: Early SOFR/Treasury Option Roundup
Mixed SOFR/Treasury options flow reported overnight, leaning towards downside put structures in the lead up to this morning's PPI data. Underlying futures modestly firmer but scaling off of early London session highs. Projected rate cuts through mid-2025 continue to retreat, current vs. late Friday levels* as follows: Jan'25 steady at -0.7bp, Mar'25 steady at -4.9bp, May'25 -9.0bp (-8.4bp), Jun'25 -16.5bp (-16.3bp), Jul'25 steady at -18.7bp.
- SOFR Options:
- 3,200 SFRJ5 95.62/95.75/95.81/95.88 broken put condors
- 3,200 SFRU5 95.87 puts vs. 95.87/96.12 call spds
- 7,000 SFRJ5 95.50/95.56 put spds ref 95.835
- 2,000 SFRM5 95.37/95.62 put spds ref 95.835
- -3,500 SFRU5 95.00/95.75 2x1 put spds, 12.0 ref 95.885
- Treasury Options:
- 1,100 USJ5 110/112/114 put flys
- 2,250 FVG5 106.25/106.75/107.50 broken call flys
- 2,000 TYJ5 107/107.5 put spds ref 107-14
- 4,500 TYG5 107 puts
- +10,000 TYG5 108 calls, 16 vs. 107-15/0.32%
EGB SYNDICATION: 10-year GGB: Final terms
- Spread set earlier at MS+102bp (guidance was MS+107bps area)
- Size: E4bln (top of the E3-4bln range MNI expected)
- Books in excess of E40.5bln (inc JLM interest)
- Maturity: 15 June 2035
- Settlement: 21 January, 2025 (T+5)
- ISIN: GR0124041758
Via Bloomberg / market source
OUTLOOK: Price Signal Summary - Trend Needle In Bunds Points South
- In the FI space, the trend in Bund futures remains bearish and last week’s extension reinforces this theme. The contract has cleared key support at 132.00, the Nov 6 low. The clear break of this level strengthens a bearish theme. Sights are on the 130.00 handle next. Key short-term resistance is at 133.03, the 20-day EMA. Gains would be considered corrective and allow an oversold condition to unwind. First resistance is at 131.71, the Jan 9 high.
- The trend condition in Gilt futures is unchanged, it remains bearish and last week’s fresh cycle lows reinforce current conditions. The latest move down also highlights an acceleration of the trend. Sights are on 88.87 next, a 2.764 projection of the Dec 20 -27 - Jan 2 price swing. Initial resistance is at 90.31, last Thursday’s intraday high. Resistance at the 20-day EMA, is at 91.86. The EMA is seen as an important hurdle for bulls.
