US TSYS: Late SOFR/Treasury Option Roundup
SOFR & Treasury option trade remained mixed late Thursday, SOFR call flow picked up in the second half as underlying futures extended highs after it became apparent Trump's reciprocal tariff plans would not be implemented until early April, sentiment improved as the delay gave additional time for negotiations. Projected rate cuts through mid-2025 steady to slightly firmer vs. this morning (*) as follows: Mar'25 steady at -0.5bp, May'25 steady at -3.9bp, Jun'25 at -11.1bp (-9.8bp), Jul'25 at -15.1bp (-13.6bp).
- SOFR Options:
- Block, 10,000 0QK5 96.00/96.12 call spds, 5.5 ref 95.995
- +5,000 SFRU5 95.75/95.87/96.00 call flys, 1.0
- 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:
- 5,000 TYH5 108/109 put spds, 21 ref 108-27.5
- over 8,000 TYJ5 107/109 2x1 put spds ref 108-26.5
- 2,750 USJ5 118/120/122 call flys, 8 ref 114-16
- 1,500 TYH5 109.5/109.75/110 call flys ref 108-24
- 4,000 TYH5 108.25/109.25 strangles, 14 ref 108-24.5
- 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: Late SOFR/Treasury Option Roundup
Mixed trade on net with SOFR options leaning toward puts as underlying futures scaling off of this morning's knee-jerk rally, huge Mar'25 10Y call buying: nearly 130,000 108.5 OTM calls. Projected rate cuts through mid-2025 continue to retreat, current vs. late Friday levels* as follows: Jan'25 steady at -0.7bp, Mar'25 at -5.8bp (-4.9bp), May'25 -10.2bp (-9bp), Jun'25 -17.9bp (-16.5bp), Jul'25 at -21.2bp (-18.7bp).
- SOFR Options:
- +8,000 SFRZ5 95.87/96.37/96.87 call flys 7.0 ref 95.895
- -8,000 0QG5 95.62/96.12 strangle 11.5-11.0 ref 95.88
- +3,000 SFRM5 95.81/95.93/96.18 2x3x1 call flys 3.0 ref 95.835
- +15,000 0QK5 94.75/95.00 put spds, 2.0 vs. 95.905/0.05%
- +10,000 SFRU5 95.50/95.75/96.00 put flys, 6.5
- +15,000 SFRZ5 95.37/95.62/95.87 put flys, 5.5-5.75 ref 95.895
- +5,000 SFRM5 95.87/96.31 call spds 8.0 ref 95.835
- +4,000 SFRG5 95.62/95.68/95.75 put flys 3.0 ref 95.74
- +5,000 SFRZ5 95.37/95.62/95.87 put flys 5.5 ref 95.875
- 8,000 SFRZ5 96.50/97.50 call spds
- 1,500 SFRH5 95.68/95.75/95.81 put flys ref 95.735
- 10,800 SFRG5 95.62/95.75 put spds ref 95.735
- 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:
- Update: over 128,600 TYH5 108.5 calls 27-29
- 2,500 TYG5 109.25/110.75/111 broken call trees
- Another +38,000 TYH5 108.5 calls, 27 ref 107-09 - puts total volume over 109.7k
- 5,600 TYG5 108 calls, 13 ref 107-09.5, total volume over 26k
- +50,000 TYH5 108.5 calls, 27 vs. 107-08.5/0.31%, total volume just over 57,000 - exceeding open interest of
- 1,317 coming into the session
- 2,000 USH5 115/117 call spds 12 ref
- over 10,800 Wednesday wkly 10Y 106.75 puts, 4 ref 107-10
- 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%
GBPUSD TECHS: Trend Outlook Remains Bearish
- RES 4: 1.2613 50-day EMA
- RES 3: 1.2607 High Dec 30
- RES 2: 1.2456/2576 20-day EMA / High Jan 7
- RES 1: 1.2367 High Jan 9
- PRICE: 1.2198@ 19:56 GMT Jan 14
- SUP 1: 1.2100 Low Jan 10
- SUP 2: 1.2087 0.764 proj of the Sep 26 - Nov 22 - Dec 6 price swing
- SUP 3: 1.2037 Low Oct 4 ‘23 and a key support
- SUP 4: 1.2000 Psychological round number
The trend condition in GBPUSD remains bearish and the pair is trading closer to its recent lows. Last week’s move down confirmed a resumption of the downtrend and marks an extension of the price sequence of lower lows and lower highs. Note too that moving average studies are in a bear-mode position, highlighting a dominant bear trend. Sights are on 1.2087 next, a Fibonacci projection. Initial firm resistance is at 1.2367, the Jan 9 high.
EURUSD TECHS: Bearish Trend Sequence Remains Intact
- RES 4: 1.0630 High Dec 06
- RES 3: 1.0513 50-day EMA
- RES 2: 1.0437/58 High Jan 6 / High Dec 30
- RES 1: 1.0361 20-day EMA
- PRICE: 1.0300 @ 19:52 GMT Jan 14
- SUP 1: 1.0178 Low Jan 13
- SUP 2: 1.0138 1.764 proj of the Sep 25 - Oct 23 - Nov 5 price swing
- SUP 3: 1.0122 2.0% 10-dma envelope
- SUP 4: 1.0031 2.000 proj of the Sep 25 - Oct 23 - Nov 5 price swing
The trend condition in EURUSD remains bearish and recent short-term gains have proved to be a correction. Friday’s move lower resulted in a print below 1.0226, the Jan 2 low. The pair also traded lower Monday. The break of 1.0226 confirms a resumption of the downtrend. Sights are on 1.0138 next, a Fibonacci projection. Resistance to watch is 1.0458, Dec 30 high. The latest bounce is considered corrective.
