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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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Late SOFR/Treasury Option Roundup
While the Asia Lunar New Year holiday has kept overall volumes muted this week - SOFR option volume remains robust with focused on low-delta puts/spds (hedging extended rate but smaller hikes). Wed the first time since last week where a shift in low delta call and call spds after more consistent put trade has been noted. Salient trades in the list below include +60,000 SFRZ3 97.00/97.50/98.00 call flys, 1.5 and 19,500 SFRZ3 96.25/97.00/97.50 broken call flys, 6.5 vs. 95.59/0.10%. Puts include 20,000 SFRU3 95.37/95.62 put spds, 17.5 ref 95.30.
- SOFR Options:
- Block, 8,000 SFRJ3 95.37/95.50 call spds, 1.25 ref 95.13
- Block, +8,000 SFRJ3 95.31/95.56 call spds, 2.5 vs. 95.135/0.15%
- BLOCK, 20,000 SFRU3 95.37/95.62 put spds, 17.5 ref 95.30
- Block/screen, +60,000 SFRZ3 97.00/97.50/98.00 call flys, 1.5
- Block, 5,000 SFRU3 96.25/96.75 call spds, 2.5 ref 95.295
- 3,250 SFRJ3 95.25/95.37/95.31/95.37 call condors
- 3,000 SFRZ3 94.75/95.00/95.25 put flys, 3.0
- -10,000 SFRU3 95.62 calls, 12.0 vs. 95.275/0.28%
- Block, 5,000 OQM3 97.25/3QM3 97.75 call spd, 1.5 short Jun over
- Block, 5,000 SFRZ3 97.00/97.50 call spds, 3.0 vs. 95.665/0.05%
- Block, 5,000 SFRJ3 95.25/95.37 call spds, 1.75 vs. 95.09/0.11%
- 2,500 SFRK3 95.18/95.31/95.50 call trees
- 2,000 SFRH3 96.75/97.50/98.00 broken call flys ref 96.15
- Block/screen, 19,500 SFRZ3 96.25/97.00/97.50 broken call flys, 6.5 vs. 95.59/0.10%
- 1,250 SFRK3 95.25/95.31 call spds vs. SFRN3 95.06/95.18/95.25/95.37 call condors
- 1,250 SFRN3 95.06/95.18/95.31/95.50 call condors ref 95.265
- 3,000 SFRM3 95.12/OQM3 96.12 call spds
- Treasury Options:
- 8,500 TYG3 114/114.5 put spds vs. TYH3 111/112 put spds
- 1,800 TYH 112.5/113.5/115.5/116 broken put condors ref 115-06
- 12,000 TYG 114.75/115 put spds, 5
- 2,500 TYG3 115.75/116.25 call spds
- 2,500 FVH3 111 calls, 11 ref 109-20.75
- 7,500 TYG3 116 calls, 4 ref 115-06
- 8,500 TYG3 114/114.5 put spds, 4 ref 115-03.5 -04
- 2,000 TYG3 115.75 calls, 4 ref 115-02.5
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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.