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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.
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Free AccessEarly SOFR/Treasury Option Roundup
Mixed overnight option trade with underlying futures trading firmer after front month Sep'23 Treasury futures marked new contract lows yesterday. Treasury options seeing better 5- and 10Y call trade albeit on light volume. Salient SOFR option trade is a year end put condor hedging against a Fed on hold (SFRZ3 currently 94.62). Rate hike projections through year end are trading water, Sep 20 FOMC is 10% w/ implied rate change of +2.5bp to 5.354%. November cumulative of +9.1bp at 5.42, December cumulative of 6.3bp at 5.391%. Fed terminal at 5.415% in Nov'23.
- Treasury Options:
- over 6,800 FVV3 107.5 calls, 26
- over 5,300 FVV3 106.5 calls, 48 last
- 4,500 FVU3 107 calls, 6.5 ref 106-05.75
- over 5,900 TYU3 109.5 puts, 17 last
- over 4,800 TYU3 108.5 puts, 9 last
- 2,600 TYU3 112 calls, 4 ref 110-02.5
- 4,000 TYX3 113 calls, 35
- SOFR Options:
- 22,000 SFRZ3 94.31/94.37/94.38/94.43 put condors ref 94.615
- 4,000 SFRV3 95.25 calls, ref 94.625
- 2,900 SFRZ4 94.25 puts ref 95.82 to -.825
To read the full story
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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.