STIR: Repo Reference Rates

• Over +61,000 wk5 10Y 109.5/110 call spds on screen, 7 ref 109-07, expires this Friday. Open interest 43,727 and 23,378 in the two strikes respectively.

Steepener Block posted at 0737:00ET

• +5,000 FVH5 106-18, post-time offer vs.
• -3,000 TYH5 109-04, through 109-04.5 post time bid

Overnight option flow dominated by Mar'25 5Y skew play: buying over 80,000 put over risk reversals/covered, more than double the existing open interest in the two strikes. The combo covers a lot of data before expiring on Feb 21: today's FOMC obviously, next week's employment report, CPI and PPI. Underlying futures trading firmer, inside narrow range ahead of this afternoon's FOMC - steady rate annc expected. Projected rate cuts through mid-2025 laregely steady vs. late Tuesday (*) levels as follows: Jan'25 at -0.1bp, Mar'25 at -7.8bp, May'25 at -15.4bp, Jun'25 at -26.5bp, Jul'25 at -32.6bp (-32.1bp).

• Treasury Options:
  • Adds to Block: 36,000 FVH5 106/107.5 put over risk reversals
  • Block, +45,000 FVH5 106/107.5 put over risk reversals, 4.5 vs. 106-19.25//0.51%
  • 1,000 TYH5 107/107.5/108.5 1x3x2 broken put flys
  • +2,500 TYH5 103/104.5/107 broken put flys, 5 ref 109-06.5
  • 3,000 TYH5 106/107 put spds ref 109-07.5
  • -1,500 FVH5 107.75 calls, 7 vs. 106-19.25/0.17%
  • +3,500 TYH5 108 puts, 16 ref 109-07
  • -3,500 TYJ5 106 puts, 10 ref 109-05
• SOFR Options:
  • 1,500 SFRM5/SFRU5 95.75/96.06 call spd spd
  • 3,350 SFRN5 95.87/96.00/96.12 call flys ref 96.06