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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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Free AccessLate SOFR/Treasury Option Roundup
Option flow remained mixed in late Monday trade, volumes still subdued as option desks ply the sidelines ahead of the week's data (CPI, PPI) and event risk (FOMC). Underlying futures firmer, near late session highs. Projected rate cuts for early 2024 steady to modestly higher: December flat at 5.333%, January 2024 cumulative -.7bp at 5.323%, March 2024 chance of rate cut at -40.2% vs. -38.7% this morning (-55.2% pre-NFP) with cumulative of -10.8bp at 5.222%, May 2024 -63.8% vs. -59.2% earlier (-70.1% pre-NFP), cumulative -26.7bp at 5.063%. Fed terminal at 5.33% in Feb'24.
- SOFR Options:
- +8,000 SFRF4 94.81/94.83/95.00/95.12 1x1x2x2 call condors, 1.25
- +10,000 SFRH5 98.00 calls, 12.5
- +20,000 SFRZ4 98.00 calls, 8.0 ref 95.74
- 10,400 SFRH4 94.62/94.75/94.87/95.00 call condors ref 94.80 to -.795
- 7,700 0QG4 95.62 puts, ref 96.04 to -.035
- 3,000 0QZ3 95.50/95.56 put spds
- 2,000 SFRF4 94.62/94.75 put spds
- Treasury Options:
- -23,800 TYG4 111.5 calls, 48 ref 110-13 to -12.5
- 4,100 wk3 TY 108.75/109.25/109.75 put flys, 8 ref 110-12
- Block, 5,000 TUG4 103 calls, 7 vs. 102-04.62/0.50%
- +24,000 TYG4 107.5 puts, 19 ref 110-06.5
- 4,000 wk3 TY 106.5/106.75 put spds ref 106-26.75
- 2,000 TYF4 109.5 puts 27 last
- 1,500 FVF4 107.25 calls, 22-22.5
To read the full story
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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.