STIR: Repo Reference Rates

Feb-28 13:03

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* Secured Overnight Financing Rate (SOFR): 4.36% (+0.06), volume: $2.557T * Broad General Collateral...

Historical bullets

US TSY OPTIONS: Large 10Y Midcurve Call Spread

Jan-29 13:01
  • 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.

US TSY FUTURES: BLOCK: March'25 5Y/10Y Steepener

Jan-29 12:56

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

US TSYS: Early SOFR/Treasury Option Roundup: March'25 5Y Put Skew Dominates Flow

Jan-29 12:53

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