US TSYS: Late SOFR/Treasury Option Roundup: Puts Hedging Tariff Rally Reversal
Apr-03 18:57
Surge in SOFR & Treasury option trade Thursday, SOFR seeing much better put volumes - some unwinds while bulk of flow looks to be hedging a reversal in the post-tariff annc rally. Treasury options seeing better 5- and 10Y call flow. Very well bid underlying futures are off midmorning highs. Projected rate cuts through mid-2025 continue to gain vs. late Wednesday levels (*) as follows: May'25 at -6.9bp (-3.4bp), Jun'25 at -22.8bp (-17.9bp), Jul'25 at -42.4bp (-33.1bp), Sep'25 -62bp (-49.6bp).
- SOFR Options:
- Block, 5,000 SFRM5/SFRU5 95.75/95.87 call spd spd, 3.5 net
- Block, 15,300 SFRU5 95.25/95.75 put spds 2.5 ref 96.34
- Block, 5,000 SFRM5 95.75 puts, 2.75 ref 96.00
- Block, 8,000 SFRU5 95.25/95.75 put spds, 2.5 ref 96.335ref 96.335
- -20,000 0QM5 97.00 calls, 17.5 vs. 96.825/0.38%
- +20,000 SFRZ5 96.25/96.50/96.75/97.00 call condors, 5.5-5.75 ref 96.55
- -5,000 SFRZ5 96.50/97.00/97.50 call flys 7.0 ref 96.56
- -2,000 SFRZ5 96.56 straddles, 69.5 ref 96.53
- +4,000 SFRM5 95.68/95.76/95.87 put trees 5.5 vs. 95.965/0.07%
- +6,000 SFRZ5 96.25/96.50/96.75/97.00 call condors 5.5 ref 96.55
- -5,000 SFRM5 95.874 puts vs 0QM5 96.06 puts, 6.5 net
- Block, 5,000 SFRM5 95.68/95.75/95.81 put flys, 1.0 ref 95.95
- Block, 5,000 SFRM5 96.25/96.75 call spds, 3.75 ref 95.955
- -20,000 SFRM5 96.43/96.75 call spds, 1.5
- 4,000 SFRM5 96.25/96.75 call spds, 3.75 ref 95.935 to -.93
- 5,300 SFRM5 96.06/96.18/96.37 call flys
- 7,000 SFRU5 95.31/95.50/95.68 put flys
- 56,000 SFRM5 95.62/95.75 put spds ref 95.91 to -.94
- 16,000 SFRZ5 97.00 calls vs. SFRH6 97.00/98.00 call spds
- Block, 6,000 SFRM5 96.12/96.37 call spds, 2.75
- Block, 5,000 SFRM5/SFRU5 95.75/96.00 call spd spd, 6.5 net
- Block, 19,500 SFRM5 95.62/95.68/95.75 put trees, 1.5 vs. 95.935/0.07%
- Block, 12,500 SFRM5 95.75/95.87 2x1 put spds, 3.5
- 9,500 SFRK5 95.75/95.81/95.93 2x3x1 put flys
- 6,800 SFRK5 95.75/95.81 put spds ref 95.935
- 7,300 SFRK5 95.75 puts ref 95.93
- Block, 3,000 SFRU5/SFRZ5 95.75/95.87 put spd spd, 0.75 net
- Block, 5,000 SFRK5 96.06/96.12 call spds 1.25 vs. 95.93/0.06%
- Block/screen, +20,500 SFRU5 95.25/95.75 put spds, 2.5-2.75 ref 96.235
- 6,000 0QU5 97.00/98.00 call spds ref 96.765
- Block, 10,000 SFRU5 97.50 calls, 4.5 ref 96.24
- 2,000 0QZ5 96.50/96.75/97.25/97.50 call condors ref 96.73
- 18,300 SFRU5 95.62/95.75 put spds ref 96.23
- 2,000 SFRK5 96.00/96.12 call spd svs. 95.62/95.75 put spds ref 95.93
- 2,000 SFRM5 96.00/96.25/96.37 call flys ref 95.93
- 1,500 SFRU5 96.00/96.12/96.25/96.37 call condors, ref 96.255
- 2,200 0QM5 97.12 calls ref 96.71
- +9,300 SFRK5 96.12/96.31 call spds, 2.5 ref 95.94/0.11%
- 8,000 SFRJ5 95.87/95.93 put spds ref 95.94
- 2,000 SFRK5 96.00/96.12 call spds ref 95.965
- 5,000 SFRJ5 95.68/95.75/95.81 put flys ref 95.95 to -.94
- Treasury Options:
- 18,000 TYK5 115/116 call spds, 6 ref 112-24.5
- 10,000 TYM5 113 calls, 106 ref 112-30.5
- 4,000 TYM5 111.5/113 call spds ref 108-29
- 5,000 FVM5 106 puts, 2 ref 108-30
- 1,500 TYK5 111.5/113.5 call spds vs. 110.5/111.5 put spds ref 112-10
- 1,500 TYK5 112.5/113.5 call spds vs. 109.5/110 put spds ref 112-11
- 3,000 FVK5 109/109.5 call spds vs. 107/107.5 put spds ref 108-25.5
- Block, 4,000 TYK5 110 puts, 4 vs. 112-17.5/0.08%
- -7,000 TYK5 112/113.5 call spds, 37 vs. 112-10.5/0.29%
- +5,000 FVK5 110 calls, 12 ref 108-29
- +3,500 FVK5 111 calls, 4 ref 108-27
- 5,000 TYK5 113/114 1x2 call spds ref 112-17.5
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Mar-04 18:51
- Market chatter in credit space is that Mars Inc, a family-owned, global leader in pet care, snacking and food, is looking to issue as much as $30B over as many as 8 tranches in the near term (possibly tomorrow after a conf call with investors today)
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EGBS: Futures Test Key Short-Term Support On Whatever It Takes Defense Moment
Mar-04 18:49
- Bund futures have slid in late trading on Merz-Klingbeil comments around submitting a proposal to change the debt brake in Germany next week and setting up to a EUR 500bn special defense fund.
- RXH5 extended the initial slide to have hit fresh lows of 130.93 (latest 131.07).
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FOREX: Greenback Weakness Extends, USDCHF Slides Below 0.8900
Mar-04 18:36
- Tariff considerations have been a primary driver of FX sentiment on Tuesday, with Mexican peso & Canadian dollar weakness persisting across the session. Their depreciation may have been somewhat offset by broader dollar weakness, as the ongoing stagflationary concerns regarding the US economy also gain traction. This has placed the Ice Dollar index at its lowest level since December 09, printing a low of 105.88.
- The DXY break to new yearly lows coincided with several key technical levels giving way across the majors. For EURUSD, spot has broken a cluster of resistance between 1.0525/33 which has been the key focus in recent sessions. The pair was given an additional late boost from Germany’s conservative leader, who provided details on changing the debt brake, prompting EURUSD to extend to ~1.0575. A close at current levels would highlight an important technical break, providing the foundation for a stronger bullish short-term theme, initially opening 1.0630, the Dec 6 high.
- USDJPY also broke below 148.60 support, a level that had been building in significance. Spot traded as low as 148.10 but has bounced back closer to 149.00 ahead of the APAC crossover. Today’s breach does strengthen the current bearish condition and signal scope for a more protracted move lower to 146.95, a Fibonacci retracement.
- USDCHF is down 0.86% on the session, standing out in G10. In recent sessions, both 20- and 50-day exponential moving averages have moved into a bear-mode, signalling scope for further downside. Support levels remain scant, with a 50% Fibonacci retracement point (drawn from 2024 low – 2025 high) at 0.8788, the immediate technical level of note.
- Lower US yields and equities prompted further pressure on AUDJPY, which briefly extended its 3-week slide to 5.6%, reaching a low of 91.86 and narrowing the gap to key support ~90.20. Australian GDP data is due on Wednesday, before Swiss CPI. US ADP and ISM Services PMI are also scheduled.
