US NOV FLASH MANUF PMI 48.8 (FCST: 48.9); OCT 48.5

MNI:Largest Canada New Home Price Dip Since `09 Led By Toronto

CANADIAN OCT FLASH RETAIL SALES +0.7%, 4TH STRAIGHT INCREASE

MNI China Daily Summary: Friday, November 22

MNI: PBOC Net Drains CNY345.9 Bln via OMO Friday

MNI BRIEF: Fed Should Explore Central Clearing At SRF-Hammack

EZ/UK T-Bill Calendar: Germany, France Auction on Monday

EZ/UK Bond Supply Calendar: Gilt Syndi; IT, EU Due Monday

MNI: UNIV OF MICHIGAN CONSUMER SENTIMENT FINAL NOV INDEX 71.8

AUSTRALIA: 2025 Election Outcome Looking More Uncertain According To Newspoll

MNI EXCLUSIVE: German Turmoil Dashes EU's Joint-Funding Hopes -Officials

FED: Powell's Time Looks Up, Replacement Could Be Less Willing To Cut Rates?

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

Early SOFR/Treasury Option Roundup: Better Calls as Underlying Gains

US TSYS
Decent SOFR and Treasury option volume overnight, leaning towards upside calls as underlying futures add to Friday's post-jobs miss rally, global equities rout adding safe haven support as 10Y yield falls to 3.6764% low. Dealers reevaluating projected rate cuts, 50bp the new 25bp with a minority posit chance of intermeeting cut. Projected rate cut pricing into year end continue to gain vs. late Friday levels (*): Sep'24 cumulative -54.3bp (-45.5bp), Nov'24 cumulative -95.9bp (-85.5bp), Dec'24 -128.1bp (-116.4bp).
  • SOFR Options:
    • 9,000 SFRH5 95.75/96.00/96.25 call flys ref 96.595
    • 5,000 SFRZ4 95.75/96.25/96.50/97.00 call condors ref 96.06
    • 4,700 0QQ4 96.50/96.62/96.75 put trees ref 96.935
    • 6,000 SFRU4 95.87/96.25 call spds ref 95.365
    • over 15,000 SFRZ4 95.37/96.00 2x3 call spds
    • 4,600 SFRZ4 96.50/96.62 call spds ref 96..02
    • Block, 6,000 SFRU4 95.00/95.12/95.25 put trees ref 95.335
    • over 20,000 SFRU4 95.25/95.75/96.00 broken call trees ref 95.345
    • 2,000 SFRM5 95.75/96.00/96.25/96.50 call condors vs. 2QM5 96.50/96.75/97.00/97.25 call condors
    • 7,500 SFRZ4 95.00/95.50/96.00 put flys
    • 2,500 SFRQ4 95.00/95.12 call spds ref 95.36
    • 2,000 0QQ4 95.87/96.25 call spds
    • 1,800 SFRU4 95.50/95.75 2x3 call spds ref 95.39 to -.40
    • 3,000 SFRU4 95.75 calls ref 95.385 to -.37
    • 3,000 SFRU4 95.50/0QU4 97.50 call spds, 2.0
    • 4,000 SFRZ4 96.25 calls ref 95.955 to -.97
  • Treasury Options:
    • over 12,000 TYU4 115 calls 45 last
    • over 15,000 FVU4 109.5/110.5 call spds ref 109-30.5
    • 2,000 USU4 118 straddles
    • 2,000 TYU4 115.5/116 call spds ref 114-11
    • 5,000 TYU4 114.75/115 call spds, 3 ref 114-11
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.