© 1982-2023 MNI. All rights reserved.
Terms | Privacy
Log Out
Free Trial

MNI BRIEF: RBNZ Hikes OCR To 5.5% "Peak," Rates Restrictive

RBNZ SAYS OCR TO REMAIN RESTRICTIVE "FOR FORESEEABLE FUTURE"

MNI: RBNZ LIFTS KEY RATE TO 5.5%

XpertHR Pay Deals Signals Wage Growth Plateauing at 6%

MNI: UK FEB-APR MEDIAN PAY AWARDS +6% :XpertHR

MNI: TREASURY GENERAL ACCOUNT $68.3B MAY 22 VS $60.7B PREV DAY

MNI: Canada Resilient To US Debt Ceiling Clash- Freeland

MNI BRIEF: BOC Defends 2% Target, Senate Asks About Raising It

MNI INTERVIEW: Canada Budget Keeps BOC On Pause: Ex Official

Real-time Actionable Insight

Get the latest on Central Bank Policy and FX & FI Markets to help inform both your strategic and tactical decision-making.

Free Access
Trending Top 5
Market News Topics

Late SOFR/Treasury Option Roundup

US TSYS
BulletMarketsFixed Income NewsHomepage

Better low delta put structures in SOFR and Tsy options, fading bounce in underlying off Thu's lows in early trade turned mixed by midday as underlying futures marched higher into the close. Largest position build over shortest period of time in SOFR options: 100,000 Red Sep'24 98.50/99.50/100.50 put flys, 0.5 - purpose of trade most likely to plug portfolio risk associated w/ near 4% bp drop in interest rates by fall of 2024

  • SOFR Options:
    • +100,000 SFRU4 98.50/99.50/100.50 put flys 0.5, Red Sep'24 underlying trades 95.75 (+0.060)
    • Block, 9,000 SFRH3 95.00 puts, 4.0 vs. 94.985/0.60%
    • +3,000 SFRM3 94.62/94.75/94.87 call flys, .75 vs. 94.70
    • +10,000 SFRH4 96.25/97.25 call spds 9.25 ref 95.00
    • 4,000 SFRU3 94.00/94.62 put spds ref 94.575
    • 2,000 2QH3 96.12/96.25/96.50 broken put flys ref 96.21
    • Block, 2,500 OQK3 94.56/94.81 put spds, 4.0 vs 95.405
    • 2,100 SFRJ3 94.25/94.37/94.5 put flys, ref 94.63
    • 2,000 SFRJ3 94.87/95.37 call spds ref 94.63
    • over 13,800 SFRM3 94.50 puts, 94.62 -.605
    • 8,600 SFRU3 94.18/94.31 put spds, ref 94.58 to .575
  • Treasury Options:
    • +5,000 USJ 120/122 put spds, 27
    • 1,000 TYJ 111 calls, 57 last, total volume over 5,600 from 44 low
    • 3,000 TYJ 107/108 put spds, 5 ref 110-28
    • 2,500 TYK3 111/112 put spds ref 110-26
    • 3,000 TYJ3 111/112 put spds, ref 110-26
    • over 3,300 TYM3 106 puts, 19 ref 110-28
    • over 4,200 TYJ3 108 puts, 8 ref 110-24.5
    • over 3,700 TYJ3 110 puts, 39 ref 110-22.5
    • 2,500 FVJ3 108.75 calls, 3.5 ref 106-16.5
    • 2,000 FVK3 110 calls, 4 ref 106-15.5
223 words

To read the full story

Why Subscribe to

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.

Better low delta put structures in SOFR and Tsy options, fading bounce in underlying off Thu's lows in early trade turned mixed by midday as underlying futures marched higher into the close. Largest position build over shortest period of time in SOFR options: 100,000 Red Sep'24 98.50/99.50/100.50 put flys, 0.5 - purpose of trade most likely to plug portfolio risk associated w/ near 4% bp drop in interest rates by fall of 2024

  • SOFR Options:
    • +100,000 SFRU4 98.50/99.50/100.50 put flys 0.5, Red Sep'24 underlying trades 95.75 (+0.060)
    • Block, 9,000 SFRH3 95.00 puts, 4.0 vs. 94.985/0.60%
    • +3,000 SFRM3 94.62/94.75/94.87 call flys, .75 vs. 94.70
    • +10,000 SFRH4 96.25/97.25 call spds 9.25 ref 95.00
    • 4,000 SFRU3 94.00/94.62 put spds ref 94.575
    • 2,000 2QH3 96.12/96.25/96.50 broken put flys ref 96.21
    • Block, 2,500 OQK3 94.56/94.81 put spds, 4.0 vs 95.405
    • 2,100 SFRJ3 94.25/94.37/94.5 put flys, ref 94.63
    • 2,000 SFRJ3 94.87/95.37 call spds ref 94.63
    • over 13,800 SFRM3 94.50 puts, 94.62 -.605
    • 8,600 SFRU3 94.18/94.31 put spds, ref 94.58 to .575
  • Treasury Options:
    • +5,000 USJ 120/122 put spds, 27
    • 1,000 TYJ 111 calls, 57 last, total volume over 5,600 from 44 low
    • 3,000 TYJ 107/108 put spds, 5 ref 110-28
    • 2,500 TYK3 111/112 put spds ref 110-26
    • 3,000 TYJ3 111/112 put spds, ref 110-26
    • over 3,300 TYM3 106 puts, 19 ref 110-28
    • over 4,200 TYJ3 108 puts, 8 ref 110-24.5
    • over 3,700 TYJ3 110 puts, 39 ref 110-22.5
    • 2,500 FVJ3 108.75 calls, 3.5 ref 106-16.5
    • 2,000 FVK3 110 calls, 4 ref 106-15.5