Free Trial

Early SOFR/Treasury Option Roundup: Carry-Over Calls

US TSYS
Better SOFR and Treasury call trade overnight, albeit on light volumes, carry-over from Thursday after higher than expected weekly claims spurred rally. Underlying futures trading mildly weaker this morning, however. Projected rate cut pricing largely steady vs. late Thursday: June 2024 at -10.0% w/ cumulative rate cut -2.5bp at 5.302%, July'24 at -26% w/ cumulative at -9bp at 5.238%, Sep'24 cumulative -22.4bp, Nov'24 cumulative -31.1bp, Dec'24 -45bp.
  • SOFR Options:
    • 2,000 0QZ4 96.25/96.75 call spds vs. 3QZ4 96.50/97.00 call spds
    • 2,000 SFRZ4 95.50/95.87/96.00 broken call flys ref 95.145
    • 12,000 SFRQ4 94.62/94.75 put spds vs. SFRQ4 95.06/95.18 call spds
    • 15,400 SFRZ4 94.87 puts vs. SFRZ4 95.18/95.62 call spds ref 95.14 to -.145
    • 5,500 SFRZ4 98.12 calls ref 95.145
  • Treasury Options:
    • 3,000 TYM4 109.75/110.25/110.75 call trees ref 108-31
    • over 5,000 TYN4 109.5/110.5/111.5 call flys ref 109-11.5

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.