US TSYS: Late SOFR/Treasury Option Roundup: Implied Vol Recedes
Option desks reported robust two-way volumes in SOFR and Treasury option wings Friday, implied vol pressed by steady/varied straddle & strangle selling. Underlying futures remain weaker, near lows while projected rate cuts through mid-2025 are cooler vs. morning levels (*) as follows: Mar'25 at -.2bp (-1bp), May'25 at -8bp (-8.8bp), Jun'25 at -24bp (-25.2bp), Jul'25 at -33.2bp (-35bp).
- SOFR Options: March options expire today
- +4,000 SFRZ6 98.00 calls 80.5/4K ref 96.425
- +5,000 SFRM7 96.00 calls 86.0 ref 96.385
- +7,000 SFRH7 96.00 calls 84.0 ref 96.41
- -20,000 SFRN5 96.25/96.50 call spds, 6.25-6.0 ref 96.185
- +4,000 SFRU6 97.00 calls, 31.0 ref 96.435
- -3,000 0QU5/0QZ5 96.00 put strip, 33.0
- +13,000 0QM5 97.00 calls 5.5 over 0QJ5 96.87 calls
- -5,000 SFRJ5 96.50 calls, 1.25 ref 95.94
- +10,000 SFRH6 93.75/94.25 put spds, 0.75 ref 96.41
- +1,000 3QM5 96.25 straddles 45.5
- 4,000 SFRU5 95.43/95.68 put spds vs. SFRZ5 95.62/96.12/96.43 broken put flys
- 3,500 0QM5 97.00/97.50 call spds ref 96.46
- 1,200 SFRM5 96.25/97.00 call spds ref 95.945
- 1,000 SFRK5 95.87/95.93 call spds vs. 95.75 puts
- Treasury Options: April options expire next Friday
- 5,000 TYK5 112.5 calls, 24 ref 110-21.5
- 2,000 TYM5 104.5/110.5 put spds ref 110-21.5
- -3,600 TYM5 110.5/111 strangles, 216 ref 110-23.5
- -3,500 TYJ5 110.5/111.5 strangles vs. TYJ5 112.5/TYK5 114 call spd, 35 on package
- Block, 8,000 FVJ5 107.5 puts, 10 vs. 107-23.75/0.35%
- -8,000 TYM5 110.5 straddles, 233-232-231-230
- +25,000 FVJ5 108.5 calls 4
- +25,000 TYJ5 108/109 put spds 1 vs. 110-22.5/0.03% - adds to +50k yesterday
- Block, +10,000 TYK5 110 put 42 vs. 110-21.5/0.38%
- 2,000 TYJ5 107.5/109 2x1 put spds ref 110-21
- 1,400 TYJ5 111.25/112/112.75 call flys ref 110-21.5
- +6,000 wk3 FV 108 calls, 4-4.5
- 3,600 FVJ5 107.75 puts, 17 ref 107-24
- 2,400 TUJ5 103.5 puts, 7 ref 103-15.5
- 2,000 TYM5 108.5/110.5 2x1 put spds ref 110-25
- -1,500 TYK5 111 straddles, 163 vs. 110-29/0.04%
- -2,500 TUM5 105 calls, 4 ref 106-16
- -2,000 TUK5 103.5 calls, 17.5 vs. 103-16/0.50%
- 1,500 TYJ5 108.5/109/110 broken put trees ref 110-28
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MNI: US JAN TREASURY BUDGET -$128.6B
- MNI: US JAN TREASURY BUDGET -$128.6B
EURGBP TECHS: Pivot Resistance Remains Intact
- RES 4: 0.8474 High Jan 20 and a key resistance
- RES 3: 0.8420 76.4% retracement of the Jan 20 - Feb 3 bear leg
- RES 2: 0.8388 61.8% retracement of the Jan 20 - Feb 3 bear leg
- RES 1: 0.8378 High Jan 6
- PRICE: 0.8342 @ 16:05 GMT Feb 12
- SUP 1: 0.8297/8248 Low Feb 4 / 3 and a bear trigger
- SUP 2: 0.8223 Low Dec 19 and a key support
- SUP 3: 0.8203 Low Mar 7 ‘22 and a lowest point of a multi-year range
- SUP 4: 0.8163 123.6% retracement of the Dec 19 - Jan 20 bull leg
EURGBP is in consolidation mode. Gains last week appear to have undermined a recent bearish threat, however, the pullback from the Feb 6 high does highlight a developing bearish threat. 0.8378, the Jan 6 high, has been defined as a ley short-term resistance. Clearance of it would strengthen a bullish condition and signal scope for a stronger recovery. For bears, a continuation lower would open 0.8248, the Feb 3 low and bear trigger.
LOOK AHEAD: Thursday Data Calendar
- US Data/Speaker Calendar (prior, estimate)
- 13-Feb 0830 Annual Revisions: PPI
- 13-Feb 0830 PPI Final Demand MoM (0.2%, 0.3%), YoY (3.3%, 3.3%)
- 13-Feb 0830 Initial Jobless Claims (219k, 216k)
- 13-Feb 0830 Continuing Claims (1.886M, 1.885M
- 13-Feb 1130 US Tsy $90B 4W, $85B 8W Bill auctions
- 13-Feb 1300 US Tsy $25B 30Y Bond auction (912810UH9)
