Heavier SOFR & Treasury option trade remained mixed Wednesday, underlying futures near post-CPI lows while projected rate cuts through mid-2025 continue to recede vs. this morning's pre-CPI levels (*) as follows: Mar'25 at -0.5bp (-0.7bp), May'25 at -3.2bp (-6.3bp), Jun'25 at -9.1bp (-13.9bp), Jul'25 at -12.6bp (-18.9bp).
- SOFR Options:
- 18,000 SFRU5 95.37/95.62 put spds, 3.5
- +6,000 2QM5 95.25 puts w/ 3QM5 95.25 put strip covered 13.0
- +10,000 SFRZ5 96.12/96.37 call spds, 6.0 ref 95.905/0.10%
- -5,000 SFRZ5 95.00 puts, 5.0 ref 95.89
- +5,000 0QZ5 96.25/96.75/97.25/97.75 call condors, 10.0 vs 95.92
- +5,000 SFRN5 95.75/95.87/96.00 put flys, 1.0 ref 95.83
- +3,000 SFRK5 95.81/95.93/96.00/96.12 call condors 1.5 ref 95.755
- +10,000 0QU5 97.12 calls 5.5 vs. 95.965/0.10
- +5,000 SFRJ5 95.62/95.68/95.75 put trees, 2.75 ref 9576
- -2,000 0QU5/3QU5 95.25 put spds, 2.0 net
- +5,000 0QU5 97.12 calls 5.0 ref 95.935
- +4,000 0QH5 95.81/95.93/97.06 put flys 2.5 ref 95.925
- +4,000 0QH5 96.37/96.43 1x2 call spds, 1.25, 2 legs over ref 96.025
- 4,000 0QJ5 95.43/95.50 2x1 put spds ref 96.03
- 10,000 SFRZ5 95.37/95.50 put spds ref 95.975 to -.97
- 2,000 0QG5 95.81/95.93/96.06 put flys ref 96.01
- Block, 2,500 SFRJ5 95.62/95.75 put spds ref 95.805
- 11,500 SFRZ5 96.00 calls
- 4,100 SFRM5 95.00/95.56/95.62 broken put trees ref 95.81
- 4,000 SFRM5 95.75/96.00 call spds ref 95.81
- 5,000 SFRZ5 96.18/97.18 call spds ref 95.975
- 3,500 SFRH5 96.00 calls, 0.5
- 2,900 SFRG5 95.68 puts, 0.5
- Treasury Options:
- Block: +10,000 TYJ5 109/110/110.5 broken call flys, 12 vs. 108-09/0.10%
- Update +20,000 TYH5 107/107.5 2x1 put spds, 2
- -10,000 TYH5 108 puts, 19
- -7,500 FNH5 105.5 puts, 5.5
- -3,000 TYK5 108 straddles, 214 (appr vol 5.81%)
- +14,400 TYJ5 106.5 puts, 15
- 2,000 TYJ5 108 straddles
- 3,800 FVK5 109 calls vs. 105.75/106.5 put spds
- -30,000 TYH5 109 puts, 43-45 unwind
- 2,400 FVJ5 105/106 put spds vs. 107.25 calls ref 106-12
- 8,000 TYH5 106/107 put spds ref 108-28 to -28.5
- 2,000 USJ5 108 puts, 8 ref 114-18
- 5,800 TYH5 107.5 puts, 3 ref 108-29.5
- 30,000 TYH5 110.5 calls, 3 total volume over 33k
- over 18,600 TYH5108.5 puts, 14 last
- over 6,000 TYH5 110 calls, 5 ref 108-29