Free Trial

Early SOFR/Treasury Option Roundup: Carry-Over Puts

US TSYS
More moderate SOFR and Treasury option volumes overnight following Wednesday's heavy, bullish trade after lower than expected May CPI inflation data. Carry-over interest in puts as underlying trades weaker, rate cut projections off pre-FOMC levels (*): July'24 at -8% (-14%) w/ cumulative at -2bp (-3.8bp) at 5.307%, Sep'24 cumulative -17bp (-20.9bp), Nov'24 cumulative -25.5bp (-31.7bp), Dec'24 -44.4bp (-50.7bp).
  • SOFR Options:
    • 3,500 SFRU4 94.68/94.75/94.81/94.87 put condors ref 94.845
    • 6,500 SFRU4/SFRZ4 94.62/94.75 put spd spd
    • 24,000 SFRU4 95.12/95.18 call spds ref 94.84
    • 2,000 0QN4 95.75/95.87 call spds ref 95.88
  • Treasury Options:
    • over 7,100 FVN4 106.25 puts, 5 last
    • over 6,400 FVQ4 106.25 puts, 22 last
    • 3,200 FVN4 106.75/FVQ4 107.25 call spds
    • 2,200 FVN4 107/FVQ4 107.25 call spds
    • 7,400 TYN4 109 puts, 3 last ref 110-06
    • 4,000 TYN4 111/112.5 call spds ref 110-08
    • 4,000 TYU4 107.5/108.5/109.5 put trees
    • 1,700 TYQ4 111.5 calls vs. TYQ4 107.5/109 put spds ref 110-07
    • 1,750 wk2 FV 106/106.5 1x2 put spds
    • 5,400 wk1 TY 109.25/109.5/110 put trees, ref 110-06
146 words

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.
More moderate SOFR and Treasury option volumes overnight following Wednesday's heavy, bullish trade after lower than expected May CPI inflation data. Carry-over interest in puts as underlying trades weaker, rate cut projections off pre-FOMC levels (*): July'24 at -8% (-14%) w/ cumulative at -2bp (-3.8bp) at 5.307%, Sep'24 cumulative -17bp (-20.9bp), Nov'24 cumulative -25.5bp (-31.7bp), Dec'24 -44.4bp (-50.7bp).
  • SOFR Options:
    • 3,500 SFRU4 94.68/94.75/94.81/94.87 put condors ref 94.845
    • 6,500 SFRU4/SFRZ4 94.62/94.75 put spd spd
    • 24,000 SFRU4 95.12/95.18 call spds ref 94.84
    • 2,000 0QN4 95.75/95.87 call spds ref 95.88
  • Treasury Options:
    • over 7,100 FVN4 106.25 puts, 5 last
    • over 6,400 FVQ4 106.25 puts, 22 last
    • 3,200 FVN4 106.75/FVQ4 107.25 call spds
    • 2,200 FVN4 107/FVQ4 107.25 call spds
    • 7,400 TYN4 109 puts, 3 last ref 110-06
    • 4,000 TYN4 111/112.5 call spds ref 110-08
    • 4,000 TYU4 107.5/108.5/109.5 put trees
    • 1,700 TYQ4 111.5 calls vs. TYQ4 107.5/109 put spds ref 110-07
    • 1,750 wk2 FV 106/106.5 1x2 put spds
    • 5,400 wk1 TY 109.25/109.5/110 put trees, ref 110-06