MNI BRIEF: PBOC Increases Gold Reserves

MNI BRIEF: Japan Q3 GDP Revised Up On Net Exports, Capex

MNI JAPAN Q3 GDP REV +0.3% Q/Q; PRELIM +0.2%; MEDIAN +0.2%

CORRECTED-MNI: Fed's Hammack-Near Or At Time To Slow Rate Cuts

MNI BRIEF: Fed's Goolsbee Sees Rates Fair Bit Lower In A Year

MNI China Daily Summary: Friday, December 6

MNI: UNIV OF MICHIGAN CONSUMER SENTIMENT PRELIMINARY DEC INDEX 74.0

CANADA NOV IVEY PURCHASING MANAGERS INDEX 52.3 SA

EZ/UK Bond Supply Calendar: Austria, UK Auction on Tuesday

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: Rate Cut Positioning Continues

US TSYS
Carry-over interest in upside SOFR and Treasury call options overnight, underlying futures firmer on weaker stocks and dip in Swiss CPI inflation data. More upside/rate-cut call structure targeting the September 18 FOMC rate announcement. Late year rate cut projections continue to gain vs. late Monday levels (*): June 2024 at -1.3% w/ cumulative rate cut -.3bp at 5.328%, July'24 at -16% w/ cumulative at -4.3bp at 5.288%, Sep'24 cumulative -18.2bp (-17.2bp), Nov'24 cumulative -26.1bp (-25.3bp), Dec'24 -42.7bp (-40.6bp).
  • SOFR Options:
    • 10,000 SFRU4 94.93/95.06/95.18 call flys ref 94.86
    • 6,500 SFRZ4 94.75 puts, 5 ref 95.105
    • Block, 5,000 SFRH5 94.62/95.12 2x1 put spds, 9 vs. 95.30/0.05%
    • 12,000 SFRM4 95.62/96.00/96.37 call trees ref 95.56 to -.57
    • 1,500 SFRU4 94.81/94.87 put spds ref 94.86
    • 2,000 SFRZ4 96.50/97.00/97.12 broken call flys, ref 95.095
    • 2,000 SFRM4 94.18/94.75 put spds ref 94.665
    • 1,500 0QU4 96.00/96.37/96.62 call flys, ref 95.76
  • Treasury Options:
    • 4,200 TYQ4 110.5/112.5 1x2 call spds, 15 ref 109-21.5
    • 3,000 TYQ4 108.5/111.5 strangles, ref 109-21
    • 18,500 TYN4 111/111.5 call spds, 5 ref 109-22
    • 7,000 wk1 FV 106.75/107 call spds, ref 106-11.25 expire Friday
    • 3,800 TYU4 108 puts, 39
    • 2,000 TYN4 110/110.75 1x2 call spds, 0.0 ref 109-20
    • Block, 5,000 TYN4 108.75/110.25 risk reversals, 0.0 call over ref 109-16
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.