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CANADA AUGUST FLASH FACTORY SALES +1%; FLASH WHOLESALE +2.6%

MNI China Daily Summary: Tuesday, September 26

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EZ/UK Bond Supply Calendar: UK, Germany Auction on Wednesday

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Late SOFR/Treasury Option Roundup

US TSYS
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SOFR and Treasury option trade remained mixed in late Thursday trade, largely repositioning and to a lesser degree squaring as underlying futures held modest gains. Rate hike projections through year end running steady: Sep 20 FOMC is 6.8% w/ implied rate change of +1.7bp to 5.347%. November cumulative of +12bp at 5.451, December cumulative of 11.3bp at 5.444%. Fed terminal at 5.45% in Nov'23.

  • SOFR Options:
    • Block, +4,350 0QX3 96.00/96.50 1x2 call spds, 12.5 ref 95.67
    • 5,000 SFRX3 94.43/94.50/94.56/94.62 put condors ref 94.545
    • Block, +20,000 SFRZ3 94.62/94.75/94.87 call flys, 2.0 net ref 94.545
    • 4,000 0QZ3 95.87/96.75 call spds ref 95.635
    • 2,600 0QU3 95.25/95.37/95.62 broken call trees ref 95.29
    • 2,000 SFRZ3 95.25/96.25 call spds vs. 2QZ3 97.5/98.5 call spd
    • 2,000 SFRX3 94.62 calls ref 94.55
    • 2,000 0QV3 94.87/95.25/95.50 broken put flys vs. 0QV3 96.25 calls
    • 2,000 0QV3 95.25 puts ref 95.63
    • 1,500 SFRV3 94.68 calls, 3.0 ref 94.55
  • Treasury Options:
    • 2,500 FVX3 105.25 puts vs. FVX3 106.5/107.5 call spds, puts over ref 106-08.25
    • 7,200 FVV3 106 calls, 33 ref 106-07.5
    • 2,000 TYV3 108.75/110.75 call over risk reversals
    • 3,000 USV3 123 calls, 10 ref 119-03
    • -5,750 TYX3 108/112 call spds 159
    • -6,500 TYX3 109 puts, 50 ref 109-25/0.40%
    • 1,400 USV3/USX3 123 call spds, 39 Nov over
    • 2,000 FVV3 104.5/105 2x1 put spds ref 106-05.5
    • over 3,100 TYV3 109 puts, 22 ref 109-23
    • appr +7,000 TYV3 109.25 puts, 24-25 ref 109-28 to -27
    • 3,000 TYV3 111 calls, 15 ref 109-28
    • 1,400 TYV3 108.25/109.25 2x1 put spds, 8 ref 109-21.5
222 words

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SOFR and Treasury option trade remained mixed in late Thursday trade, largely repositioning and to a lesser degree squaring as underlying futures held modest gains. Rate hike projections through year end running steady: Sep 20 FOMC is 6.8% w/ implied rate change of +1.7bp to 5.347%. November cumulative of +12bp at 5.451, December cumulative of 11.3bp at 5.444%. Fed terminal at 5.45% in Nov'23.

  • SOFR Options:
    • Block, +4,350 0QX3 96.00/96.50 1x2 call spds, 12.5 ref 95.67
    • 5,000 SFRX3 94.43/94.50/94.56/94.62 put condors ref 94.545
    • Block, +20,000 SFRZ3 94.62/94.75/94.87 call flys, 2.0 net ref 94.545
    • 4,000 0QZ3 95.87/96.75 call spds ref 95.635
    • 2,600 0QU3 95.25/95.37/95.62 broken call trees ref 95.29
    • 2,000 SFRZ3 95.25/96.25 call spds vs. 2QZ3 97.5/98.5 call spd
    • 2,000 SFRX3 94.62 calls ref 94.55
    • 2,000 0QV3 94.87/95.25/95.50 broken put flys vs. 0QV3 96.25 calls
    • 2,000 0QV3 95.25 puts ref 95.63
    • 1,500 SFRV3 94.68 calls, 3.0 ref 94.55
  • Treasury Options:
    • 2,500 FVX3 105.25 puts vs. FVX3 106.5/107.5 call spds, puts over ref 106-08.25
    • 7,200 FVV3 106 calls, 33 ref 106-07.5
    • 2,000 TYV3 108.75/110.75 call over risk reversals
    • 3,000 USV3 123 calls, 10 ref 119-03
    • -5,750 TYX3 108/112 call spds 159
    • -6,500 TYX3 109 puts, 50 ref 109-25/0.40%
    • 1,400 USV3/USX3 123 call spds, 39 Nov over
    • 2,000 FVV3 104.5/105 2x1 put spds ref 106-05.5
    • over 3,100 TYV3 109 puts, 22 ref 109-23
    • appr +7,000 TYV3 109.25 puts, 24-25 ref 109-28 to -27
    • 3,000 TYV3 111 calls, 15 ref 109-28
    • 1,400 TYV3 108.25/109.25 2x1 put spds, 8 ref 109-21.5