US TSYS: Early SOFR/Treasury Option Roundup: SOFR Calls Ahead CPI
Overnight SOFR & Treasury option flow looks mixed, pick up in SOFR calls ahead of this morning's key CPI inflation data. Underlying futures near overnight lows, curves adding slightly to yesterday's steepening (2s10s +.172 at 24.740). Projected rate cuts through mid-2025 look steady to mildly softer vs. late Tuesday levels (*) as follows: Mar'25 at -0.7bp (-1.4bp), May'25 at -6.3bp, Jun'25 at -13.9bp (-14.8bp), Jul'25 at -18.9bp (-19.6bp).
- SOFR Options:
- Block, 2,500 SFRJ5 95.62/95.75 put spds ref 95.805
- 11,500 SFRZ5 96.00 calls
- 4,100 SFRM5 95.00/95.56/95.62 broken put trees ref 95.81
- 4,000 SFRM5 95.75/96.00 call spds ref 95.81
- 5,000 SFRZ5 96.18/97.18 call spds ref 95.975
- 3,500 SFRH5 96.00 calls, 0.5
- 2,900 SFRG5 95.68 puts, 0.5
- Treasury Options:
- 2,400 FVJ5 105/106 put spds vs. 107.25 calls ref 106-12
- 8,000 TYH5 106/107 put spds ref 108-28 to -28.5
- 2,000 USJ5 108 puts, 8 ref 114-18
- 5,800 TYH5 107.5 puts, 3 ref 108-29.5
- 30,000 TYH5 110.5 calls, 3 total volume over 33k
- over 18,600 TYH5108.5 puts, 14 last
- over 6,000 TYH5 110 calls, 5 ref 108-29
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US TSYS: Early SOFR/Treasury Option Roundup: Puts onNet
Aside from some decent SOFR call plays, better put volume on net reported in SOFR & Treasury options overnight. Underlying futures mildly lower/off lows. Projected rate cuts through mid-2025 continue to retreat, current vs. late Friday levels* as follows: Jan'25 steady at -0.7bp, Mar'25 -4.7bp (-6.3bp), May'25 -8.4bp (-10.5bp), Jun'25 -15.9bp (-18.2bp), Jul'25 -17.7bp (20.2bp).
- SOFR Options:
- 5,000 SFRG5/SFRH5 95.87/96.06 call spd spds
- 3,500 2QJ5 96.25/96.87 call spds ref 95.74
- over 26,000 SFRU5 95.87/96.06 call spds vs. 95.25 puts ref 95.835
- 2,000 SFRU5 96.50/97.00 call spds ref 95.835
- +10,000 SFRU5 95.50/95.62 put spds, 3.5 ref 95.835 to -.85
- 1,500 0QJ5/3QJ5 95.25 put spds
- Block, 4,100 SFRU5 96.12 puts, 45.5 ref 95.85
- Block, 3,156 0QU5 96.12 puts, 58.0 ref 95.80
- 5,200 0QG5 95.87/96.12/96.25 broken put trees ref 95.845
- 3,000 SFRM5 95.75 puts ref 95.82
- 2,000 SFRM5 96.12/96.37 call spds ref 95.825
- Treasury Options:
- 2,500 FVH5 105.5/105.75/106/106.25 call condors
- over 6,300 TYG5 108.5 calls, 6 last
- 2,000 TYH5 106 puts, 28 last
- 3,000 TYH5 106/107 put spds ref 107-08.5
- 1,500 TYG5 107.5/109 put spds, 114 ref 107-08.5
- over 4,700 FVH5 104.5 puts, 17 last
- 4,600 FVG5 105.5 puts, 24.5 last
- 4,400 FVH5 105 puts, 28 ref 105-11
- 3,500 FVZH5 101.75 puts ref 105-14
OUTLOOK: Price Signal Summary - Bund Bears Still In The Driver's Seat
- 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 breach strengthens a bearish theme and sights are on the 130.00 handle next. Key short-term resistance is at 133.26, 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 92.13. The EMA is seen as an important hurdle for bulls.
GBP: Cable tests 1.2100
- With Cable testing the 1.2100 figure, immediate attention will now turn to 1.2087 0.764 proj of the Sep 26 - Nov 22 - Dec 6 price swing.
- GBPUSD has so far printed a 1.2100 low.
