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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.
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Free AccessEarly SOFR/Treasury Option Roundup: Mixed Ahead NFP
Mixed option trade on modest overnight volumes ahead this morning's headline employment data. SOFR options seeing better call structure interest (flys, condors targeting Q1'24); Treasury options seeing better 10Y put trade with underlying weaker, near Thu's lows. Projected rate cuts for early 2024 steady to slightly lower vs. late Thursday: December flat at 5.333%, January 2024 cumulative -2.7bp at 5.302%, March 2024 chance of rate cut at -55.2% with cumulative of -16.5bp at 5.165%, May 2024 -70.1%, cumulative -34.0bp at 4.989%. Fed terminal at 5.33% in Feb'24.
- SOFR Options:
- Block, 3,000 0QM4 97.00 calls, 24.0 ref 96.405
- Block, 5,000 SHRH4 94.25 puts, 1.25 ref 94.865
- Block, 7,000 2QH4 97.12/97.87 call spds 8.5 vs. 96.555/0.17%
- 2,000 SFRF4 94.93/95.00 call spds ref 94.865
- 2,000 SFRH4 94.75/94.87/95.00 call flys
- 5,000 SFRH4 94.87/95.00/95.12/95.25 call condors ref 94.87
- Block, 4,000 2QH4 96.87/97.87 call spds, 15.5 vs. 96.57/0.28%
- 1,500 SFRF4 94.75/94.81 2x1 put spds
- 4,000 0QZ3 95.75 puts ref 95.915
- 3,000 0QZ3 95.56/95.68/95.75/95.87 put condors, ref 95.925
- Treasury Options:
- 3,000 wk2 TY 111.5/112 call spds, 2 ref 110-24
- 4,400 wk2 FV 107/108.25 strangles, 9.5 ref 107-11.25 (expire today)
- 6,000 TYF4 108.25/109.25 put spds ref 110-24.5
- 1,000 wk3 TY 109.75/110 2x3 put spds ref 110-26
- 2,000 TYF4 110 puts, 27 ref 110-31
- Block: 6,050 TYF4 108.5/109.5 put spds, 12 ref 110-31
To read the full story
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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.