MNI BRIEF: US May Existing Home Sales Pace Falls 0.7% To 4.11M

MNI INTERVIEW2: Uninsured Bank Deposits Still Vulnerable-Bair

CANADA APR RETAILS +0.7%, MATCHING FORECAST, PRIOR -0.3%

MNI BRIEF: China Hopes EU To Ease Frictions Via Negotiations

MNI: PBOC Net Injects CNY8 Bln Via OMO Fri; Rates Unchanged

MNI: PBOC Sets Yuan Parity Higher At 7.1196 Fri; -1.41% Y/Y

MNI: BAKER HUGHES US RIG COUNT 588; OIL RIGS 485; GAS RIGS 98

EZ/UK Bond Supply Calendar: EU Auction, BoE APF Monday

EZ/UK T-Bill Calendar: Germany, France Auction on Monday

RPT-MNI: Canada Sticks To Fiscal Anchors, Spends Chunk Of Windfall

MNI BRIEF: Poilievre Calls QE 'Scam' And Would Limit BOC Remit

MNI: Growth Drag From Net Zero Carbon Goal Can Be Offset-OECD

© 1982-2024 MNI. All rights reserved.
Terms | Privacy
Log Out
Free Trial

Late SOFR/Treasury Option Roundup

US TSYS

Better 5- and 10Y Call option trade reported overnight. Meanwhile, SOFR options followed suit with better upside rate structures by midmorning discounting gradually weaker underlying futures from midmorning on. Projected rate cuts in H1 2024: January 2024 cumulative -.6bp at 5.323%, March 2024 chance of 25bp rate cut -45.5% vs. -49.4 on the open w/ cumulative of -12.0bp at 5.209%, May 2024 at -81.1% vs -83.4% earlier w/ cumulative -32.3bp at 5.006%, June 2024 -97.4% w/ cumulative -56.6bp at 4.763%. Fed terminal at 5.325% in Feb'24.

  • SOFR Options:
    • Block, 35,000 SFRH4 94.81/84.75 put spds 1.5 over SFRH4 95.12 calls ref 94.865/0.03%
    • Block, +5,000 SFRM4 97.00 calls, 2.0 ref 94.68
    • -2,000 0QM4 97.00/97.50/97.75 broken call flys, 6.5/wings over
    • +4,000 0QM4 95.56/95.81/96.25/96.50 2x2x1x1 put condor, 4.5
    • +20,000 SFRU4 95.25/95.37/95.75/95.87 call condors vs. SFRU4 95.00/95.12 put spread, 0.75 net
    • Block, 5,000 SFRZ4 96.50/97.25/98.50 broken call flys on 2x3x1 ratio, 22.0 net, ref 96.095
    • 2,000 SFRU4 95.75/95.87/96.00/96.12 call condors ref 95.74
    • 2,500 SFRU4 95.87/96.12/96.37 call flys ref 95.75
    • 2,000 SFRJ4 95.00 puts, 4.25 last
    • 1,750 SFRH4 94.87/95.25 call spds
    • Block, SFRU4 95.50/95.75 4x5 call spds vs. 94.75 puts x4
    • Block 4,000 0QJ4 95.93/96.25/96.50 broken put flys, ref 96.56
    • 2,000 SFRM4 95.75/96.06 call spds ref 95.315
  • Treasury Options:
    • 2,000 TYM4 109.5/114.5 strangles ref 111-23
    • 1,700 FVH4 108.75/109.75 call spds
    • over 10,500 TYG4 111.75 calls
    • over 11,600 TYG4 112 calls
    • over 13,000 TYH4 112.5 calls, 24 last
    • over 6,500 FVG4 108.25 calls, 1.5 last
    • over 3,000 FVG4 108 calls, 4.5 last
    • Block 5,000 TYJ4 116/117.5 call spds, 5 ref 112-02.5/0.05%
BulletMarketsFixed Income BulletsHomepage
BulletMarketsFixed Income BulletsHomepage

To read the full story

Close

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.