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MNI: UNIV OF MICHIGAN CONSUMER SENTIMENT PRELIMINARY DEC INDEX 74.0

CANADA NOV IVEY PURCHASING MANAGERS INDEX 52.3 SA

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Early SOFR/Treasury Option Roundup: Post-FOMC Puts

US TSYS

Better SOFR and Treasury put options on net overnight, lighter volumes so far in the aftermath of the FOMC steady rate annc and larger than expected cut in run-off rate of its Treasury portfolio. Projected rate cut pricing vs. late Wednesday levels: June 2024 steady at -10% w/ cumulative rate cut -1.9bp at 5.307%, July'24 at -22% (-18% late Wed) w/ cumulative at -7.4bp at 5.253%, Sep'24 cumulative -17.3bp (-16.4bp late Wed), Nov'24 cumulative -24bp (-22bp late Wed).

  • SOFR Options:
    • Block, 5,000 SFRZ5 97.50/98.50 call spds, 8.0 ref 95.73
    • 2,500 0QK4 95.50/95.62/95.75 call flys ref 95.425
    • 3,500 SFRM4 94.68/94.75/94.81 put flys ref 94.70
    • Block +10,000 SFRV4/SFRZ4 94.62 put calendar spreads, 2.25/splits ref 95.025
    • Block +5,000 SFRN4 94.18/94.43/94.68 put flys, 1.75 at 0613:11ET
    • Block +8,880 SFRN4/SFRU4 94.62 put spds, 1.25 at 0613:01ET
    • 5,000 0QM4 95.00/95.12 put spds ref 95.415
    • 1,250 SFRK4 94.62/94.68/94.75 call flys ref 94.70
    • +7,500 SFRK4 94.75/94.87 call spds, 0.5 vs. 94.705
    • 3,000 SFRM4 94.62/94.68/94.75 put flys ref 94.70
    • 4,000 SFRZ4 94.50/95.00 put spds ref 95.02
    • 1,800 0QK4 95.43/95.62/95.75 broken call flys ref 95.40
  • Treasury Options:
    • 2,800 FVM4 104.75 puts, 22
    • 1,000 TUM4 101.25 puts, 7.5 ref 101-16.62
    • 2,800 wk1 FV 105.5/106 call spds, 6 ref 105-05.25 - expire Friday
    • 3,000 FVM4 104.25 puts ref 105-06.25
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