US TSYS: Late SOFR/Treasury Option Roundup, Hedging Wings and Curves
Option desks reported some standout trades Thursday on otherwise modest session flow. Notable: over 110,000 SOFR midcurve conditional flatteners, and deep out of the $ Treasury puts: purchase is not really a hedge against movement in the underlying for an option that expires on June 20th, or 57 days from now, but most likely a hedge for some portfolio with risk associated with 10Y yield rising to 5.8% from where it is now: 4.3168%. Underlying futures firmer, at/near late session highs. Projected rate cuts are steady in the near term to slightly higher in longer dates compared to this morning's levels (*) as follows: May'25 steady at -2.1bp, Jun'25 at -16.2bp (-15.1bp), Jul'25 at -35.6bp (-33.6bp), Sep'25 -55.4bp (-52.9bp).
- SOFR Options:
- +110,000 0QM5 96.81/97.00 call spds vs. 0QU5 97.00/97.25 call spds, 1.0-1.25 net flattener (Sep over)
- Block, 5,000 SFRZ5 95.68/96.00 2x1 put spds, 3.0 ref 96.51
- -10,000 SFRZ5 95.37/95.50/95.87 1x put flys, 8.0 vs. 96.48/0.17%
- Block, 5,000 SFRN5 95.93/96.25 put spds vs. 0QN5 96.50/96.81 put spd spd, 1.0 net 0QN over
- 2,000 0QN5 97.12/97.37 call spds ref 96.795
- Block/screen, 7,000 SFRK5 95.50/95.75/95.87/96.00 put condors, 8.5 vs. 95.895
- 15,000 2QM5 96.50/96.75 call spds ref 96.665
- 2,000 SFRU5 96.50/97.25 call spds ref 96.23
- 2,000 SFRM5 95.68/95.75/95.81 put trees ref 95.87
- Treasury Options:
- +52,100 TYN5 101.5 puts, 2 open interest only 616
- 3,100 USK5 113.5/USM5 113 put spds
- 2,000 TYK5 110.25/110.5 put spds, 1.0
- -10,000 TYM5 110/113 strangles, 50-51 ref 111-03
- over 9,000 TYM5 113.5 calls, 13 ref 11-03.5
- 1,000 FVK5 108, 108.25 & 108.5 straddles
- 1,000 FVK5 108.5/109/109.25 broken call flys ref 108-08
- over 5,500 TYK5 111/111.5 call spds, 7 ref 110-26.5
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US TSYS: Late SOFR/Treasury Options: Projected Cuts Firm Slightly
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
US: Voters Less Enthusiastic About Tariffs Than Trump
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
EURGBP TECHS: Support At The 50-Day EMA Remains Exposed
- 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.
