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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.
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Get the latest on Central Bank Policy and FX & FI Markets to help inform both your strategic and tactical decision-making.
Free AccessLate SOFR/Treasury Option Roundup:
Better low delta call/call spreads carried over from overnight through the NY session as underlying futures bounce off yesterday's cycle lows. Accounts hedging for looser policy if Friday's employment data comes out softer than expected. After a firmer start, even rate hike projections into early 2024 cooled: November at 22.2% w/ implied rate change of +5.6bp to 5.384%, December cumulative of 8.8bp at 5.417%, January 2024 6.9bp at 5.398%. Fed terminal slipped to 5.415% in Jan'24.
- SOFR Options:
- over 6,000 SFRZ3 94.75/95.00 call spds
- 4,000 SFRZ3 94.50/94.62/94.68/94.81 call condors
- 2,500 SFRM4 95.50/0QM4 96.75 call spds
- 1,500 SFRF4 94.75/95.00 call spds ref 94.675
- 4,600 SFRZ3 94.37/94.50/94.62 put flys ref 94.555
- 2,000 SFRF4 97.50 calls, 1.25 ref 94.67
- 2,500 SFRZ3 94.56/94.68/97.81 call flys ref 94.55
- Treasury Options:
- 2,500 TYZ3 109/110/111 call flys, 5 ref 107-10
- Block, 4,000 TUZ3 101/101/.7/101.62/102 call condors, 7 net ref 101-12.62
- 8,000 FVX3 106/107 call spds 15.5 ref 105-00.75
- 5,000 FVX3 105.5/106.5 call spds, 15.5 ref 104-31.25
- 3,000 FVZ3 107.75 calls, 10.5 ref 105-01.5
- over 10,000 FVX 107 calls, 5.5 vs. FVZ3 107 calls 15.5-14.5 ref 105-01.25
- FVZ3 calls outright and on spread:
- over 13,000 FVZ3 106.75 calls, 18.5 last
- over 10,600 FVZ3 106.25 calls, 22.5 last
- 1,000 FVX3 105.5/106/106.25 call flys, 6 ref 105-00
- 2,000 FVZ3 106.5 calls, 21.5 ref 105-01.25
- over 4,400 USX3 109 puts, 62 to 101 ref 111-10 to -16
- 1,000 TYX3 107.5/TYZ3 109 call calendar spds ref 107-03.5
- 5,500 TYZ3 105.5/108.5 strangle or combo ref 107-07.5
To read the full story
Sign up now for free trial access to this content.
Please enter your details below.
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.