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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 AccessEurodollar/SOFR/Tsy Option Roundup
Rate hike insurance buying via SOFR and Eurodollar puts continued Tuesday, supporting low-delta volatility vs. slightly lower at-the-money vol (lack of real vol on range in underlying) in the lead up to Wednesday's July CPI read (0.2% est, 1.3% prior); YoY (8.7% est, 9.1% prior).
- Salient trade listed below includes buying of March and June expiry SOFR put flys, Dec Eurodollar put spreads and outright puts:
- SOFR Options:
- Block, 3,000 SFRQ2 96.75/96.87 put spds 1.5 over 96.93 calls
- +7,500 SFRM3 95.00/95.50/96.00 put flys at 5.5 WITH
- +7,500 SFRZ3 95.00/95.50/96.00 put flys at 4.0
- another +22,500 SFRM3 95.00/95.50/96.00 put flys blocked at 5.5
- Block, 4,000 SFRH3 96.50/96.75 call spds, 9.5 vs. 96.365/0.08%
- +2,000 SFRZ2 96.18/96.31 2x1 put spds, 2 ref 96.42
- 9,700 SFRZ2 95.50/95.75 put spds
- Eurodollar Options:
- +20,000 Dec 95.50 puts 10.0 vs. 96.035/0.25%
- -10,000 Mar/Jun 96.12/96.50 put spd strip, 40.5 ref 96.085/96.24
- 20,750 Dec 98.75/99.75 put spds
- 3,500 Dec 99.25/99.37 put spds
- 17,000 Green Dec 97.75/98.25 call spds
- SOFR Options:
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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.