FREELAND: CANADA WON'T ESCALATE OR BACK DOWN ON US TRADE FIGHT

MNI: PBOC To Aim To Drive Inflation Higher- Advisors

MNI: China To Issue More Bonds As Stimulus Targets Consumption

MNI: PBOC To Aim To Drive Inflation Higher- Advisors

MNI: China To Issue More Bonds As Stimulus Targets Consumption

MNI BRIEF: China Nov M1 Decline Narrows, M2 Slows

EZ/UK T-Bill Calendar: 8/13/28/50-Week BTF Auction on Monday

EZ/UK Bond Supply Calendar: 4.125% Jul-29 Gilt Due on Tuesday

MNI: CANADA OCT WHOLESALE SALES +3.3%; EX-AUTOS +0.5%

MNI EXCLUSIVE: EU-Mercosur Deal Close, But Likely Short-Lived - Officials

AUSTRALIA: 2025 Election Outcome Looking More Uncertain According To Newspoll

© 1982-2024 MNI. All rights reserved.
Terms | Privacy
Log Out
Free Trial

Early SOFR/Treasury Option Roundup

US TSYS
Carry-over theme from Tuesday: better low delta SOFR put and put spread trade, in line with heavy selling through mid-2024 futures as projected rate cuts through year end ebbs (pricing in slightly higher than 25bp cut by the Dec 13 FOMC). Treasury options centered on upside calls. Salient trade:
  • SOFR Options:
    • 7,000 SFRM3 94.50/94.62/94.75 put flys
    • 3,000 SFRM3 94.81/94.93 call spds, ref 94.7575
    • 2,500 SFRM3 94.62/94.75/94.87/94.93 broken put condors res 94.7575
    • 2,000 OQU3 97.12/97.37/97.62/97.87 call condors ref 96.555
    • Block, 10,000 SFRU3 94.12/94.37 put spds, 1.75 ref 94.95
    • Block, 12,000 2QM3 96.25/96.50 put spds, 3.25 ref 96.92 to -.925
    • 5,000 OQM3 95.25/95.50 put spds, 1.25 ref 96.24
    • 2,000 2QM3 96.37 puts, 2.0 ref 96.91
    • 2,000 OQM3 96.00/2QM3 96.68 put spds
    • 2,500 SFRM3 94.81/94.93/95.06 call flys ref 94.77
  • Treasury Options:
    • 5,000 TYN3 114/115/116 call flys
    • 4,000 TYM3 113.5/114.5 strangles, 21
    • 3,000 TYN3 116/118 call spds 21 ref 114-17.5
    • 2,250 wk2 TY 113/114 put spds
    • 3,600 TYM3 113.75/114 call spds ref 113-23
    • 5,250 FVM3 109.25 calls, 6 ref 108-23.5
BulletMarketsFixed Income BulletsHomepage
BulletMarketsFixed Income BulletsHomepage

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.