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Why MNI
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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: Paired, Underlying Bounce
SOFR/Treasury option trade relatively paired between calls and puts on moderate overnight volumes. Underlying futures firmer after marking new lows for the month overnight (TYZ3 108-00.5), 10Y yield off new 16Y high of 4.5620% at 4.4887% at the moment. Rate hike projections into early 2024 largely static: November at 20.7% w/ implied rate change of +5.2bp to 5.379%, December cumulative of 11.6bp at 5.444%, January 2024 12.5bp at 5.453%. Fed terminal at 5.455% in Feb'24.
- SOFR Options:
- 4,500 SFRH4 97.25/97.50 put spds ref 94.62
- Block, 3,000 0QZ3 95.50/95.68/95.81 call flys, 3.0 vs. 95.37/0.10%
- over 2,600 0QM4 97.00 calls ref 95.855
- 1,250 0QZ3 95.00/95.50 put spd vs. 2QZ3 95.50/96.00 put spds
- Block, 3,000 SFRH4 94.00/94.25 put spds, 2.5 vs. 94.605/0.10%
- Blocks, total 6,000 SFRH4 94.75/94.87/95.00/95.12 call condors, 1 ref 94.62
- 10,000 SFRF4 94.12/94.37 put spds, 3.0 ref 94.615 to -.62
- 2,500 SFRM4 95.00/96.00/97.00 call flys ref 94.775
- Treasury Options:
- over 10,100 FVX3 108 calls, 3.0 ref 105-12.25
- 2,500 wk5 TY 109.75/110.75 1x2 call spds ref 108-12.5
- over 4,800 TYZ3 112 calls, 15 ref 108-12
- 2,000 wk2 TY 109.25/110/110.5 broken call flys ref 108-08.5
- 1,250 TYX3 107/107.5/108.5 broken put flys, 58 ref 108-06.5
- over 11,000 10Y weekly 107.5 puts, 4 ref 108-02
- 6,000 TYX3 107/108 2x1 put spds, 12 ref 108-02 to -03
- 2,400 TYZ3 106.5/107 put spds ref 108-01.5
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.