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Free AccessLate SOFR/Treasury Option Roundup
Pick-up in rate hike insurance positioning in late 2023 to 2024 Wednesday, strong Retail Sales green-lighting a longer period of rate hikes. Salient trade:
- SOFR Options:
- Block, 9,000 2QH3 96.50 puts, 15.5 ref 96.485
- Block, total 10,000 SFRM4 94.50/95.50 2x1 put spds, 13.5
- Block, 46,000 OQM3 95.50 puts, 24.5 ref 95.765
- Block, 5,000 OQM3 95.50/95.87/96.50 2x3x1 broken put flys, 67.0 net, wings over ref 95.735
- over 6,100 OQH3 95.12 puts, 8.0 ref 95.33
- Block, 5,000 OQJ3 96.12 calls, 14.0 ref 95.83/0.33%
- Block, 15,000 OQM3 94.50/95.12/95.75 put flys, 13.0 ref 95.83
- 1,000 OQJ3 95.37/95.62/95.75/96.00 put condors ref 95.83
- 2,000 SFRJ3 95.12/95.18 call spds ref 95.055
- 2,000 3MG3 111.25/111.5/112.25/112.5 put condors, 6.0 ref 112-12
- 3,000 SFRZ3 94.00 puts, 8.5 ref 94.99
- 2,600 SFRM3 95.18 calls, 1.25 ref 94.745
- 1,500 SFRM3 95.06/95.18/95.31 call flys ref 94.745
- Block, 3,000 OQH3 94.87/95.25 2x1 put spds, 6.0 vs 95.40/0.12%
- Treasury Options:
- 3,000 TYJ3 109/110 2x1 put spds, 2 net/2-leg over ref 112-18.5
- 4,000 TYK3 115.5/116.5 call spds, 14 ref 112-18
- over 5,700 USH3 124 puts, 12 ref 126-25
- 27,000 wk3 TY 112 puts, 4 ref 112-06
- Block, 5,000 SFRM3 94.50/95.50 2x1 put spds, 13.0
- over 4,000 USJ3 124 puts, 40 ref 128-14
- over 3,700 TYJ 113 puts, 38 ref 112-31.5
- 3,000 TYH3 111 puts, 5 ref 112-15
- 2,600 TYJ3 114.5 calls, 28 ref 113-02
- 2,500 TYH3 111.25/113.5 call spds, 111 ref 112-13.5
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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.