US TSYS: Late SOFR/Treasury Option Roundup, Hedging Wings and Curves

Large SOFR put volumes reported in early NY trade evaporated, Tsy option volumes remained muted but leaned towards low delta puts & spds with underlying futures climbing off early lows, holding modest gains through the second half. Projected rate cuts through mid-2025 gain slightly vs. early morning levels (*) as follows: May'25 at -3.9bp, Jun'25 at -18.3bp (-16.3bp), Jul'25 at -29.5bp (-27bp), Sep'25 -44.5bp (-41.5bp).

• SOFR Options:
  • over 64,600 0QU5 95.50 puts, 4.5 ref 96.42 (45.5k piece followed by smaller lots)
  • 6,000 SFRJ5 95.75 puts ref 95.865
  • 2,000 SFRZ5 95.62/95.87/96.06 broken put flys ref 96.23
  • Blocks, 9,000 SFRU5/SFRZ5 95.68/95.81 put spd spds, 0.25 adds to 23k on Monday
  • 4,000 SFRM5 96.00/96.12/96.37/96.50 3x2x2x2 call condors ref 95.855
  • 8,000 SFRM5 95.62/95.75 put spds ref 95.855
  • 3,000 SFRZ5 96.62/97.12 call spds ref 96.23
  • 2,000 0QK5 95.75/96.00 put spds ref 96.425
  • 2,000 SFRN5 95.62/95.75 put spds ref 96.09
• Treasury Options:
  • 2,000 FVM5 107.75 straddles, ref 107-23
  • 2,000 TYK5 111.5/112 call spds 8 ref 110-21
  • over 13,000 TUK5 103.37/103.5 put spds ref 103-13
  • 4,600 TYM5 107.5/109 3x2 put spds ref 110-11
  • 2,000 TUK5 103.12 puts ref 103-11
  • 1,800 TYK5 109/109.5 put spds
  • over 5,200 TYK5 112.5 calls, 13 ref 110-11
  • 1,200 TYM5 113/115/117 call flys, ref 110-12

A new survey from Morning Consult has found that, “just 20% of US voters say imposing tariffs should be a priority for Trump. That is 29 percentage points lower than the share who say it is a priority for him - the largest such gap of 12 issues tracked.” 

• Morning Consult notes: “Voters are most likely to want Trump to focus on lowering prices for goods and services, and specifically health care affordability, following a campaign that was dominated by voters’ concerns about inflation.”
• The report comes after Trump appeared to soften his position on tariffs ahead of April 2, when his reciprocal tariffs are slated to go into effect. 
• Trump told reporters yesterday: “I may give a lot of countries breaks. It’s reciprocal, but we might be even nicer than that. You know, we’ve been very nice to a lot of countries for a long time.”
• Trump added: “We may take less than what they’re charging, because they’ve charged us so much I don’t think they could take it. But it will be substantial.”

Figure 1: “Share of Voters who said the Following:”

Source: Morning Consult

• RES 4: 0.8530 76.4% retracement of the Aug 8 - Dec 19 ‘24 bear leg         
• RES 3: 0.8494 High Aug 26 ‘24 
• RES 2: 0.8474 High Jan 20 and a key resistance
• RES 1: 0.8428/8450 High Mar 18 / 11 and the bull trigger     
• PRICE: 0.8342 @ 16:16 GMT Mar 25 
• SUP 1: 0.8351/40 50-day EMA and pivot support / Low Mar 25
• SUP 2: 0.8321 61.8% retracement of the Mar 3 - 11 bull leg 
• SUP 3: 0.8391 76.4% retracement of the Mar 3 - 11 bull leg 
• SUP 4: 0.8241 Low Mar 3 and a key support 

A retracement mode in EURGBP remains in play. The cross has recently breached 0.8369, the Mar 14 low, and attention is on the 50-day EMA, at 0.8351. The average marks a key short-term pivot level and has been pierced. A clear break of it would undermine the recent bull theme and signal scope for a deeper pullback, towards 0.8321, a Fibonacci retracement. Key resistance and the bull trigger is 0.8450, the Mar 11 high.