Free Trial

Early SOFR/Treasury Option Roundup


Modest overnight summer volumes on better overall call trades. Underlying futures weaker while rate hike projections gain slightly: July running at 96% w/ implied rate of +24bp to 5.318%. September cumulative of +28bp at 5.358%, November cumulative of 33.7bp at 5.415%, and December cumulative of 28.6bp at 5.363%. Fed terminal holding at 5.41% in Nov'23. Salient trade includes:

  • SOFR Options:
    • Block, 4,000 SFRZ3 94.75/95.00 call spds, 4.0 ref 94.655
    • Block, 4,000 OQZ3 97.00/97.25 call spds, 4.0 ref 96.095
  • Treasury Options:
    • over 5,000 FVU 108.75 calls, 17.5 last
    • 2,000 FVU3 107 puts 31 ref 107-16.25
    • 2,100 TYU3 115 calls ref 112-20.5
    • over 5,200 TYQ3 113 calls, 9-5
    • over 5,000 TYQ3 113.25 calls, 5-2 ref 112-28

To read the full story



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.