MNI BRIEF: Trump Likely To Let Powell Serve Full Term-Moore

MNI BRIEF: Canada Household Debt Tops $3 Trillion In 3Q

MNI BRIEF: Trump Likely To Allow Powell To Serve Term - Moore

MNI INTERVIEW2: Poland To Push For EU Defence Fund

MNI BRIEF: China To Keep Stabilising Housing Market - CEWC

MNI BRIEF: China Focus On Boosting Consumption In 2025

EZ/UK Bond Supply Calendar: Belgium ORI Facility on Friday

US EIA:NAT GAS STORAGE -190 BCF TO 3,747 BCF DEC 06 WK

MNI: US JOBLESS CLAIMS +17K TO 242K IN DEC 07 WK

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
Mixed option trade overnight: SOFR options tended towards upside call structures, Treasury options on 5- and 10Y puts. Off overnight highs, underlying futures still bid following Monday's late rally after US Tsy cut Q1 borrow est's from $816B to $760B. Projected rate cuts in H1 2024 largely steady ahead tomorrow's FOMC: January 2024 cumulative -.5bp at 5.324%, March 2024 chance of 25bp rate cut -46.5% w/ cumulative of -12.1bp at 5.208%, May 2024 at -82.7% w/ cumulative -32.8bp at 5.001%, June 2024 -98.1% w/ cumulative -57.3bp at 4.756%. Fed terminal at 5.325% in Feb'24.
  • SOFR Options:
    • 2,000 0QG4 96.56/96.62 call spds ref 96.355
    • 2,000 SFRH4 94.75/94.93/95.12 put flys
    • 2,400 SFRM4 94.62/94.87/95.12 put flys
    • 8,800 SFRH4 94.75/94.87/95.00 call flys ref 94.87
    • 8,000 SFRM4 95.12/95.75/96.00 broken call flys ref 95.295
    • 2,000 SFRU4 96.00/96.50 call spds ref 95.705
    • 3,000 SFRG4 94.93/95.00 call spds, 1.5 ref 94.87
  • Treasury Options:
    • 3,000 TYH4 109.5/111 2x1 put spds, 14 ref 111-21
    • 3,000 TYH4 109 puts, 5 last
    • over 5,200 TYH4 110 puts, 13 last
    • 10,000 FVH4 107.25/107.5 put spds
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.