CANADA TO PUBLISH FISCAL UPDATE ON DEC. 16

MNI BRIEF: Inflation Expectations Tick Higher - NY Fed

MNI BRIEF: China Passenger Car Sales Up In November Y/Y

MNI BRIEF: Mexico Inflation Down To 4.55% In November

MNI China Daily Summary: Monday, December 9

MNI BRIEF: China To Strengthen Policy Easing In 2025: Poliburo

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

EZ/UK T-Bill Calendar: Spain, Belgium Auction on Tuesday

MNI:US OCT WHOLESALE INV 0.2%; SALES -0.1%

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: Sep'24 SOFR Call Fly Standout

US TSYS
Option desks report modest SOFR/Treasury option volume overnight, lone standout at the moment: decent sized Sep'24 SOFR call fly looking for modest drift higher in underlying from 95.07 to 95.12. Underlying futures have reversed modest overnight gains, low end of narrow overnight range. Projected rate cuts through year end gain slightly vs. late Tuesday levels (*): Sep'24 cumulative -33.3bp (-32.5bp), Nov'24 cumulative -64.6bp (-63.4bp), Dec'24 -98.3bp (-97.4bp).
  • SOFR Options:
    • 20,000 SFRU4 95.00/95.12/95.25 call flys ref 95.07
    • 2,500 0QU4 96.87/97.25 call spds vs. 96.43/96.50 put spds ref 96.685
    • 4,000 SFRU4 95.18/95.37 call spds ref 95.08
  • Treasury Options:
    • over 6,000 TYV4 111.5 puts
    • 2,500 FVV4 108.75 puts ref 109-20.5
    • 1,750 FVX 111/111.5 call spds
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.