US TSYS: Late SOFR/Treasury Option Roundup
Another heavy session for SOFR & Treasury options as underlying futures surge higher after China retaliated to Trump tariffs with 34% tariffs on US goods. Better call flow has emerged since midmorning. Projected rate cuts through mid-2025 hve eased slightly vs. this morning highs while first full 25bp cut still priced in for June and over a full point by year end. Current levels vs. morning highs (*) as follows: May'25 at -8.6bp (-11.8bp), Jun'25 at -31.5bp (-38bp), Jul'25 at -56.1bp (-62.4bp), Sep'25 -75.8bp (-85bp).
- SOFR Options
- Block, -5,000 SFRM5 95.75/95.87 put spds 3.0 over the 96.37/96.50 call spd
- +25,000 SFRM5 95.87/96.31 call spds, 15.25-15.5 ref 96.115
- +50,000 SFRZ5 96.50/96.87/97.25 call flys, 5.5-6.0 ref 96.50
- +16,000 SFRM5 96.31/2QM5 97.00 call spds, 7.5 Green Jun over/flattener
- -5,000 SFRJ5 96.00/96.25/96.50 call flys, 5.75 ref 96.11
- -11,000 SFRK5 95.62/95.68/95.75 put trees, 0.25 ref 96.10
- +5,000 SFRM5 95.75/0QM5 96.00 put spds, 0.75 front June over/flattener
- +5,000 2QU5 97.25/97.31 call spds, 2.0 ref 96.915
- -5,000 2QU5 97.12/97.25 call spds, 4.0 ref 96.91
- +10,000 SFRU5 97.12/97.50 call spds, 5.5
- +8,000 SFRJ5 96.87 calls, 1.0 ref 96.13
- +10,000 SFRZ5 95.62/95.87 put spds, 2.75 ref 96.75
- Block, +10,000 SFRU5 97.12/97.50 call spds 5.0 ref 96.485
- 3,000 0QM5 96.37/96.62 call spds vs. 96.00 puts
- 10,000 SFRM5 95.62/95.75 put spds ref 96.115
- Block, 6,000 0QM5 96.81/97.00 call spds 10.25/splits
- Block, 3,000 SFRM5 96.25/96.50 call spds vs. 95.50/95.62 put spds, 5.0
- 4,000 SFRK5 96.18/96.31/96.43/96.56 call condors ref 96.19
- 8,700 2QU5 97.25/97.31 call spds ref 97.00, total over 20k
- 4,000 0QK5 96.56/96.75 call spds ref 97.13
- Block, 6,400 SFRM5 95.75/95.87 put spds 3.75 ref 96.165
- Blocks, 9,000 SFRJ5 96.12/96.25 call spds, 3.75-4.0
- 7,000 SFRM5 SFRM5 95.62/95.68/95.75 put trees ref 96.145
- 14,000 SFRM5 96.50/97.00 call spds ref 96.135 to -.145
- Block, 6,000 SFRK5 96.00/96.12 call spds 5.0 ref 96.135
- over 14,000 SFRK5 96.12/96.31 call spds ref 96.04 to -.14
- 3,500 0QM 97.25/97.50 call spds ref 97.11 to -.09
- 4,000 SFRM5 95.56/95.68/95.75/95.87 put condors ref 96.16
- Block/screen, 11,500 SFRM5 96.25/96.50 call spds 4.75
- 1,500 SFRZ5 96.50/96.75/97.00/97.25 call condors
- 5,000 0QJ5 96.68/96.87 put spds ref 96.98
- 2,000 SFRM5 96.12/96.37 call spds ref 96.055
- 1,500 0QM5/0QN5 96.56/97.00/97.43 call fly spds
- 1,500 SFR5 96.25/96.50/96.75/97.00 call condors ref 96.70
- 2,500 0QJ5 96.50/96.68/96.87 call flys ref 96.96
- Block, 2QK56 96.31 puts, 2.0 ref 96.91
- Block/screen, 17,500 SFRM5 95.75/96.00 call spds, 12.25 on splits
- 5,000 SFRM5 95.75 puts, ref 96.035
- Blocks, 6,000 SFRU5 96.50/96.75 call spds ref 96.41
- 10,000 2QU5 97.12/97.25 call spds ref 96.785
- Treasury Options:
- 20,000 TYK5 114/115 call spds, 14 ref 113-05
- 8,000 TYM5 110/111 2x1 put spds, 3 net, 2 legs over ref 113-004.5
- 7,500 TYK5 108.5/110.5 put spds
- 2,800 USM5 113/117 put spds, 38 ref 121-01
- Block -8,660 USK5 121 calls, 131 vs. 120-31/0.52%
- 3,250 USK5 112/USM5 114 put spds ref 120-28 to -25
- 1,500 USM5 126 calls, 101 ref 121-05
- 20,000 Wed wkly TY 116/117 call spds
- 7,800 wk2 TY 113.25/113.75/114.5/115 call condors
- 2,000 TYK5 116/117 call spds ref 113-30
- 2,000 USK5 120.5 calls, 215 ref 121-18
- 1,500 TYK5 113/113.5 call spds ref 113-25.5
- 1,500 TYK5 113/114/115 call flys ref 113-27
- 2,000 FVM5 111/113 call spds vs. 107.5 puts ref 109-15.75
- 8,900 wk2 TY 112 puts, 10 ref 113-09.5
- 3,000 TYK5 113.25 puts, 52 ref 113-10.5
- 3,500 wk2 TY 112.75/113.75 strangles, 52 ref 113-08.5 (exp Apr 11)
- 4,000 TYK5 113.5 calls, 47 ref 113-04.5
- 4,500 TYK5 114.5 calls, ref 113-07.5 to -09
- 2,000 TYM5 113.5/115.5 call spds ref 112-31.5
- 1,800 TUM5 104 puts, 19.5 ref 104-02.75
- 1,500 FVM5 108/108.75/109.5 call trees ref 109-09.5
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Historical bullets
EURGBP TECHS: Short-Term Reversal
- RES 4: 0.8474 High Jan 20 and a key resistance
- RES 3: 0.8385 76.4% retracement of the Jan 20 - Mar 3 bear leg
- RES 2: 0.8385 61.8% retracement of the Jan 20 - Mar 3 bear leg
- RES 1: 0.8375 Intraday hugh
- PRICE: 0.8372 @ 16:09 GMT Mar 5
- SUP 1: 0.8322 50-day EMA
- SUP 2: 0.8241 Low Mar 3 and a near-term bear trigger
- SUP 3: 0.8223 Low Dec 19 and a key support
- SUP 4: 0.8203 Low Mar 7 ‘22 and a lowest point of a multi-year range
A strong reversal in EURGBP from its recent lows highlights a short-term reversal. The cross has traded through both the 20- and 50-day EMAs. The impulsive rally over the past 2 trading sessions signals scope for an extension towards 0.8385 and 0.8419, Fibonacci retracement points. On the downside, initial support is seen at 0.8322, the 50-day EMA. Key short-term support has been defined at 0.8241, the Mar 3 low.
US TSYS: Latest Trump Headline Reaction
Little to no reaction to latest Trump headlines - or already discounted after earlier reports. Tsys hugging session lows, stocks near top end of session range, US$ index lower.
- "WHITE HOUSE: RECONSIDERING FUNDING FOR UKRAINE", Bbg
- “WHITE HOUSE: TRUMP IS OPEN TO HEARING ABOUT ADDITIONAL TARIFF EXEMPTIONS”, Rtrs
- "WHITE HOUSE: WILL GIVE ONE MONTH EXEMPTION ON ANY AUTOS COMING THROUGH USMCA", Rtrs
LOOK AHEAD: Thursday Data Calendar: Weekly Claims, Trade Balance, Fed Speak
- US Data/Speaker Calendar (prior, estimate)
- 6-Mar 0730 Challenger Job Cuts YoY (-39.5%, --)
- 6-Mar 0830 Initial Jobless Claims (242k, 233k)
- 6-Mar 0830 Continuing Claims (1.862M, 1.877M)
- 6-Mar 0830 Trade Balance (-$98.4B, -$128.8B)
- 6-Mar 0830 Nonfarm Productivity (1.2%, 1.2%)
- 6-Mar 0830 Unit Labor Costs (3.0%, 3.0%)
- 6-Mar 0845 Philly Fed Harker on economic education
- 6-Mar 1000 Wholesale Trade Sales MoM (1.0%, 0.6%)
- 6-Mar 1000 Wholesale Inventories MoM (0.7%, 0.7%)
- 6-Mar 1530 Fed Gov Waller economic outlook (no text, Q&A)
- 6-Mar 1900 Atl Fed Bostic economic outlook, Birmingham (no text, Q&A)
