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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
Mixed SOFR and Treasury options leaned toward upside call structures Friday in addition to put unwinds and limited downside put fly interest as projected rate cut pricing held largely steady vs. late Thursday lvls: May 2024 -2.6% w/ cumulative -0.6bp at 5.322%; June 2024 at -13.5% w/ cumulative rate cut -4.5bp at 5.283%. July'24 cumulative at 12.1bp, Sep'24 cumulative -23bp.
- SOFR Options:
- total -15,000 SRZ4 94.68/94.81/95.18/95.31 iron condor 8.5-8.625 ref 95.05
- +6,000 SRQ4 94.56/94.62/94.68 put fly 1.0 vs. 94.87/0.05%
- +13,000 SRH5 95.50/96.50/97.50 Iron Flys, 85.0 vs. 95.23/0.1%
- Block: 10,000 2QN4 96.00/96.25 put spds, 17.0 net vs. 95.845/0.16%
- +10,000 SRN4 94.75/94.81/94.93/95.00 call condor, 1.5 ref 9488.5
- +5,000 SRV4/SRZ4 94.62 put spd 2.75 ref 95.055
- 2,000 SFRH5 94.00/94.37 put spds ref 95.235
- 7,250 SFRU4/SFRZ4 94.50/94.62 put spd spd, 2.0 net flattener
- +10,000 0QK4 97.50 calls, 5.5 ref 95.45
- 2,000 0QK4 95.00/95.18 put spds ref 95.43
- +3,000 SFRK4 94.68/64.75 2x1 put spds 2.25
- -2,000 0QK4 95.18/95.37/95.43 broken put trees, 1.5 ref 95.435/0.18%
- 1,500 SFRU4 94.75/94.87/94.93/95.06 put condors ref 94.925
- 1,000 SFRK4 94.75/94.81/94.87/94.93 put condors vs. SFRU4 94.75/94.87/95.00 put flys
- Treasury Options:
- +25,000 TYM4 106.5/109.5 call over risk reversals, 2 net vs. 108-01/0.53%
- +10,000 TYM4 111 calls, 10 vs 108-01, total volume over 15,000
- 1,500 TYM4 106/108 put spds 14 over TYM4 110.5 calls ref 107-30
- 4,000 TYK4 106/107 put spds, 3 ref 107-29.5
- Block, +8,255 TYK4 109 puts, 107 vs. 107-31.5/0.83%
- over 9,000 TYK 108 puts, most 20-30, 26 last
- -10,000 TYM4 107 puts, 32
- +5,000 TYK4 109 calls, 7-10 ref 108-00 to -04
- +5,000 wk4 US 109/111 put spds, 11 ref 115-01
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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.