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Why MNI
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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 AccessLate Eurodollar/SOFR/Treasury Option Roundup
Better two-way put trade continue Friday, lighter volumes overall as underlying futures swung back to moderately higher levels, implieds lower with headline NFP out of the way. Underlying theme, however, remained bearish hedging/positioning for more rate hikes through year end.
- Note, however, short end Eurodollar futures, lead quarterly EDU2 extended session high to 96.665 (+0.0725) as 75bp rate hike speculation at the Sep 21 FOMC annc has receded to appr 60% vs. 75% Thu. With markets closed Monday for extended holiday weekend, Fed speakers have limited time to express their policy leaning ahead next media blackout next Friday at midnight. Highlight trade:
- Eurodollar Options:
- 3,200 Dec 95.93 straddles
- +14,000 Oct 95.75 puts, 6.0 ref 95.96
- +5,000 Dec 95.50/95.75/96.00 put flys, 5.25 ref 95.945 (Note, paper bought 30,000 of same fly in SOFR options yesterday from 3.0-3.25 ref 96.21)
- 7,000 short Dec 96.50 calls, 24.0-24.5 ref 96.32-.34
- 9,000 Dec 95.75/96.00 put spds
- Treasury Options:
- 7,000 FVV 111.25 calls, 23.5-17
- 10,000 TYX 119 calls, 28 ref 116-19.5
- +10,000 wk2 US 138 calls, 5 ref 134-08
- -8,000 FVX 112/114 call spds, 17.5 ref 110-24
- -5,000 TYV 115.25 puts, 24 ref 116-16, mkt 23 offer w/ futures 116-14.5
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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.