Free Trial

Early SOFR/Treasury Option Roundup

US TSYS
SOFR and Treasury options look mixed overnight, better puts in SOFR vs. Treasury 10Y calls at the moment. Light volumes in the lead-up to Wednesday's FOMC policy announcement. Underlying futures firmer this morning, at near top end of overnight range, also on lighter volumes with Japan out on holiday. Projected rate cut pricing largely steady vs. late Friday levels: May 2024 -2.6% w/ cumulative -0.8bp at 5.321%; June 2024 at -9.2% w/ cumulative rate cut -3.1bp at 5.298%. July'24 cumulative at -8.6bp, Sep'24 cumulative -19.7bp.
  • SOFR Options:
    • 4,000 SFRZ4 95.50/95.75 call spds vs. 2,000 SFRZ4 94.62 puts ref 95.02
    • 8,500 SFRM4 94.68/94.75/95.00 call trees ref 94.705
  • Treasury Options:
    • 4,700 TYM4 106.75/107.75 2x1 put spds ref 107-23
    • 3,500 TYM4 107/107.75 2x1 put spds

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.