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

CANADA JOBLESS RATE +6.8% VS FORECAST +6.6%, PRIOR +6.5%

MNI China Daily Summary: Friday, December 6

MNI: PBOC Net Drains CNY288.1 Bln via OMO Friday

MNI: PBOC Sets Yuan Parity Lower At 7.1848 Fri; -1.64% Y/Y

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 Options Roundup: Covering Both Sides of Data Risk

US TSYS

Mixed SOFR and Treasury option trade overnight -- better downside put buying in 5- and 10Y Treasury options with underlying weaker ahead this morning's headline jobs data, better upside call buying in SOFR options follows Heavy short end buying late Thursday (appr +300k ESFRM4) as specs join real$ covering shorts ahead the data. data. Late year rate cut projections have cooled slightly vs. late Thursday levels (*): June 2024 at -3.8% w/ cumulative rate cut -.9bp at 5.323%, July'24 at -20% w/ cumulative at -5.9bp (-5.4bp) at 5.273%, Sep'24 cumulative -20.7bp (-21.3bp), Nov'24 cumulative -29.6bp (-30.7bp), Dec'24 -48.8bp (-49.7bp).

  • SOFR Options:
    • Block, 10,000 SFRV4 95.50/95.75 call spds 3.75 ref 95.17
    • 12,000 0QM4 95.75/95.87/95.93 broken call flys ref 95.665- to -.67
    • 3,000 SFRN4 95.12/95.37 1x2 call spds ref 94.885
    • 5,000 SFRN4 95.00/95.06 call spds ref 94.885
    • 3,300 SFRM4 94.68/94.75 call spds ref 94.675
    • Block, 2,500 SFRZ5/SFRH6 93.75/94.25/94.75 put fly strip, 9.0 total
    • 3,000 SFRZ5 96.50/97.50 call spds ref 96.015
    • 6,500 0QM4 95.87/96.00 call spds ref 95.67
  • Treasury Options:
    • 2,500 TYN4 108/109 put spds
    • 3,150 FVN4 107.5/108.5 call spds ref 106-23
    • 1,500 TYQ4 108.5 puts, 24 ref 110-09
    • 1,500 USN4 116.5/118 put spds, 27 ref 119-05
    • 2,500 TYN4 109.25/111.25 strangles, ref 110-09
    • 1,100 FQV4 107.75 calls, ref 106-23
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.