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 options reported overnight, more consistent SOFR calls structures on net, Treasury vol buyer via 3x1 ratio strangle heavy on the put. Underlying futures are trading firmer ahead a flurry of data (ADP, PMI, Pending Home Sales) with main focus on this afternoon's FOMC policy annc. Projected rate cut pricing into year end look steady to mildly mixed vs. late Tuesday levels (*): July'24 at -4% w/ cumulative at -.8bp at 5.321%, Sep'24 cumulative -27.8bp (-28.5bp), Nov'24 cumulative -44.6bp (-44.4bp), Dec'24 -68.2bp (-68.6bp).
  • SOFR Options:
    • -4,000 SFRX4 95.25/95.37/95.50/95.62 call condors, 3.25 ref 95.38
    • 1,500 SFRZ4 95.50/95.87/96.25 call flys ref 95.37
    • over 5,800 SFRZ4 96.00 calls, 5.5 last ref 95.38 to -.37
    • 12,000 0QQ4 96.12 puts, 6.5 vs 96.28/0.30%
    • Block, 2,973 SFRZ5 96.50/97.50 call spds, 29.5 ref 96.415
    • +2,750 SFRX4 95.18/95.43/95.68 2x4x1 call flys, 5.5 ref 95.38
    • 1,500 SFRH5 95.12/95.50 put spds, ref 95.765
  • Treasury Options:
    • Block/screen, +10,000 TYU4 109.5/112 3x1 strangles, 52-55
    • 2,000 TYV4 109/110/112 3x2x1 put flys
    • -10,000 wk5 TY 111.5 calls, 14-13 ref 111-17.5
    • -7,000 wk5 TY 111.5 puts, 12
    • -4,000 wk1 FV 107.25/108.25 call over risk reversals, 0.0
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.