Large treasury option flow appears to favor upside
February 26, 2025
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–SMCI was able to sneak their audited financials to Nasdaq – just under the wire before being delisted. Now it’s all better. At least until we see NVDA’s results this afternoon.
–Yesterday saw vols pop amid some huge TY option trades. May TY calls added 125k on open interest. Flows were weighted to the upside in terms of TY price.
–10y yield closed 4.296, down 9.7 bps on the day. Lowest yield since early December, and now BELOW the Fed Effective yield of 4.33% and SOFR, last set at 4.34%.
By way of comparison, on Nov 8, after the election and one day post-FOMC, the yield was almost exactly where it is now, 4.31%. By 12/6 the low yield was 4.15%. By Dec 19, the day after the FOMC it was 4.56. Hi yield for the move was Jan 14 at 4.79%.
The ‘bond vigilantes’ seem to be throwing in the towel. Or maybe the idea of curtailed gov’t spending = lower growth is gaining traction. Some are pointing to weak consumer confidence from yesterday (98.3 vs 102.5 expected), but it’s way more than that. Feels like a flight into what may or may not be a safe haven.
MONSTER treasury option trades
TYK5 111.5 up to 40 paid 100k. Settled 45 with 37 delta
TYJ5 109/108.5p 1×2 -2 paid 30x60k (sold 108.5p) appears to be rolling up into long TYJ 109p, settles 11/6
TY wk1 110.75/111.25/111.50/112.0 c condor 15k sold at 5. Roll up into higher call spread
TYK 109p/111c rr vs 110-07, 71d -30k call at 13. New position, settled 28 for the call (29/57) with TY settle 110-175
BLOCK
TYK5 108.5p 21 paid 38k 21s new
TYJ5 112c 10k sold 15 16s new
TYK5 112c 15k sold 34 36s appears exit
TYM5 +24k 110-16 (about 10k over delta, net options was about 14k)
SFRZ5 9612.5/9562.5/9512.5p fly 17-17.5 paid 35k. Settled 16.25 ref 9620.5
SFRM5 9625/9687.5cs 3.0 paid 50k. New. Settled 3.0 vs 9570.5
