Large interest rate option trades
November 12, 2025
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–Though cash treasury market was closed, it didn’t stop the covered call buyer, who moved up a strike to TYF6 114c:
TYF 114c cov 112-30.5 31% paper pays 29 on 50k (1’61^)
TYF 114c cov 112-31.5 30% paper pays 29 on 40k (1’59^)
–TYH6 settled 112-31, +11.5, with an increase in OI of 37.5k.
TYF6 114c 0’29s, with delta 0.32. Open interest in the strike is 138k, up by 87k. I.e. all changes in OI, both futures and options are due to this trade. Today’s premium outlay is about $40m, added to ~$100m in TYF6 113.5c.
Yesterday’s straddle settles:
TYF6 113.0^ 1’42s
TYF6 113.5^ 1’48s
TYF6 114.0^ 1’60s
–TYZ5 rose 11/32s yest to 113-01, equivalent to about 5 bps. The bullish spark was the WEEKLY ADP report which showed a preliminary decline of 11,250 jobs. China’s curtailment of rare earth magnets to the US Defense industry might have a tangential effect as well, and though the TY call buys are covered, I tend to think that a flight-to-quality event could be lurking.
https://www.adpresearch.com/the-ner-pulse
–There were some other large trades in SOFR options, biased to upside:
SFRF6 96.625/96.75/97.00 call fly 2x3x1 cvr 96.435 d9 ppr paid 2.25 up to 2.75 on ~30k Settles 7.0/4.5/2.5 (3.0s) vs SFRH6 9646.5
0QZ 9700/9725cs 5.25 paid 10k. (8.5/2.75) or 5.75s vs 9692.0 in SFRZ6 which was +5.0
0QZ5 97.00/97.375/97.5625cf fut 96.915 .25d +6/17k. Settled 6.0 vs 9692
–SOFR strip pretty much had a parallel shift. All contracts from SFRH’26 through golds (5th year) were +4 to +5.0). Peak contract is SFRH7 at 9693.5, +5.0.
–BLS puts out a New Tenant Rent Index, obviously unavailable with the shutdown. These are somewhat interesing links from Zillow and Redfin:
https://www.zillow.com/rental-manager/market-trends/united-states
https://www.redfin.com/us-rental-market
–Truflation index is 2.23% as of October. 10y breakeven as of Monday was 2.30% (treasury – tip yield)
From Illinois Policy Institute:
Chicago’s sales tax will be the highest among major U.S. cities if the governor, as expected, signs the RTA funding bill. (10.5%) [Talk progressively, tax regressively. I would add that property taxes are onerous (from google): Illinois consistently ranks as having one of the highest effective property tax rates in the United States]
