FREELAND: CANADA WON'T ESCALATE OR BACK DOWN ON US TRADE FIGHT

MNI: PBOC To Aim To Drive Inflation Higher- Advisors

MNI: China To Issue More Bonds As Stimulus Targets Consumption

MNI: PBOC To Aim To Drive Inflation Higher- Advisors

MNI: China To Issue More Bonds As Stimulus Targets Consumption

MNI BRIEF: China Nov M1 Decline Narrows, M2 Slows

EZ/UK T-Bill Calendar: 8/13/28/50-Week BTF Auction on Monday

EZ/UK Bond Supply Calendar: 4.125% Jul-29 Gilt Due on Tuesday

MNI: CANADA OCT WHOLESALE SALES +3.3%; EX-AUTOS +0.5%

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: Mixed Ahead FOMC

US TSYS

Mixed SOFR/Treasury option trade overnight, SOFR seeing some interest in year-end upside calls, modest 10Y put trade. Underlying futures steady to mixed ahead of this afternoon's FOMC policy annc (no move widely expected). Projected rate hikes into early 2024 inch higher: December cumulative of 7.2bp at 5.400%, January 2024 cumulative 10.5bp at 5.432%, March 2024 at 6.8bp at 5.395%. Fed terminal at 5.430% in Feb'24.

  • SOFR Options:
    • 3,250 SFRF4 94.56/94.62/94.69/94.75 call condors ref 94.625
    • 2,000 0QX3 95.12/95.25/95.37 put flys, ref 95.35
    • over 6,000 SFRZ3 94.62 calls outright, ref 94.56
    • appr 19,000 SFRZ3 94.62/94.75 call spds ref 94.55
  • Treasury Options:
    • 2,000 TYZ3 103/104.5 3x2 put spds vs. TYZ3 108/109.5 2x3 call spds ref 106-01.5
    • over 5,100 TYZ3 104.5 puts, 22 ref 106-02.5
    • 5,000 wk2 TY 105 puts, 16 ref 105-31.5 (exp Nov 10)
    • 4,000 FVZ3 104.25/105 call spds ref 104-11.5
    • 2,800 TYZ3 104.75 puts, 26 ref 105-29
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.