FED'S BARKIN: LOOKING FOR MORE EVIDENCE OF INFLATION'S DECLINE

BARKIN: FED SHOULD ACT DELIBERATELY, KEEP CLOSE EYE ON ECONOMY

MNI BRIEF: China Equip't Renewal Policy Includes Foreign Firms

MNI China Daily Summary: Wednesday, July 17

MNI China Press Digest July 17:  Investment, LPR, H2 Priority

MNI: PBOC Net Injects CNY268 Bln Via OMO Wed; Rates Unchanged

US Treasury Auction Calendar

Broad-based Softening In June Underlying Inflation Metrics

EZ/UK Bond Supply Calendar: Spain, France Auction on Thursday

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

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

Late SOFR/Treasury Option Roundup

US TSYS
BulletMarketsFixed Income BulletsHomepage

SOFR and Treasury options held mixed through Monday's session, SOFR switched to calls late, while Treasury switched to better 5Y and 10Y puts inthe second half. Modest overall volumes in the lead-up to Wednesday's FOMC policy announcement. Underlying futures firmer, off highs after larger than est Tsy borrow estimates. Projected rate cut pricing largely eased slightly: May 2024 -2.1% w/ cumulative -0.5bp at 5.324%; June 2024 at -10.6% w/ cumulative rate cut -3.2bp at 5.297%, July'24 cumulative at -8.1bp, Sep'24 cumulative -18.1bp.

  • SOFR Options:
    • +10,000 0QK4 95.75 calls, 2.0 vs. 95.39/0.10%
    • -10,000 SFRM4 94.81/94.87/94.93/95.00 put condors, 0.25 ref 94.715
    • -1,500 SFRU4 94.87 straddles 30.0-29.5 ref 94.855/0.10%
    • Block, +5,000 SFRZ4 94.18/94.56 put spds, 4.5 vs. 95.01/0.10%
    • +2,500 SFRZ4 94.00/94.25 3x2 put spds 0.0
    • +4,000 SFRZ4 94.87/95.12/95.75/96.00 iron condor, 16.75 ref 94.855
    • 4,000 SFRZ4 95.50/95.75 call spds vs. 2,000 SFRZ4 94.62 puts ref 95.02
    • 8,500 SFRM4 94.68/94.75/95.00 call trees ref 94.705
  • Treasury Options:
    • Block +20,000 FVM4 104.25/104.75 put spds, 11 ref 105-02.5 at 1318:37ET.
    • -10,000 TYM4 106.5/109.5 strangles, 35 ref 107-30
    • over 30,900 TYM4 106 puts, 13-15, 13 last ref 107-29
    • -14,000 TUM4 101.5/102 call spds, 9 ref 101-14.5
    • 1,400 TYM4 109.5/110.5/113 call flys ref 107-25.5
    • 1,800 TYM4 107/108/109 call flys, 10 net/wings over
    • 1,500 wk1 TY 104.5/105.75 call spds
    • 4,700 TYM4 106.75/107.75 2x1 put spds ref 107-23
    • 3,500 TYM4 107/107.75 2x1 put spds
203 words

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.

SOFR and Treasury options held mixed through Monday's session, SOFR switched to calls late, while Treasury switched to better 5Y and 10Y puts inthe second half. Modest overall volumes in the lead-up to Wednesday's FOMC policy announcement. Underlying futures firmer, off highs after larger than est Tsy borrow estimates. Projected rate cut pricing largely eased slightly: May 2024 -2.1% w/ cumulative -0.5bp at 5.324%; June 2024 at -10.6% w/ cumulative rate cut -3.2bp at 5.297%, July'24 cumulative at -8.1bp, Sep'24 cumulative -18.1bp.

  • SOFR Options:
    • +10,000 0QK4 95.75 calls, 2.0 vs. 95.39/0.10%
    • -10,000 SFRM4 94.81/94.87/94.93/95.00 put condors, 0.25 ref 94.715
    • -1,500 SFRU4 94.87 straddles 30.0-29.5 ref 94.855/0.10%
    • Block, +5,000 SFRZ4 94.18/94.56 put spds, 4.5 vs. 95.01/0.10%
    • +2,500 SFRZ4 94.00/94.25 3x2 put spds 0.0
    • +4,000 SFRZ4 94.87/95.12/95.75/96.00 iron condor, 16.75 ref 94.855
    • 4,000 SFRZ4 95.50/95.75 call spds vs. 2,000 SFRZ4 94.62 puts ref 95.02
    • 8,500 SFRM4 94.68/94.75/95.00 call trees ref 94.705
  • Treasury Options:
    • Block +20,000 FVM4 104.25/104.75 put spds, 11 ref 105-02.5 at 1318:37ET.
    • -10,000 TYM4 106.5/109.5 strangles, 35 ref 107-30
    • over 30,900 TYM4 106 puts, 13-15, 13 last ref 107-29
    • -14,000 TUM4 101.5/102 call spds, 9 ref 101-14.5
    • 1,400 TYM4 109.5/110.5/113 call flys ref 107-25.5
    • 1,800 TYM4 107/108/109 call flys, 10 net/wings over
    • 1,500 wk1 TY 104.5/105.75 call spds
    • 4,700 TYM4 106.75/107.75 2x1 put spds ref 107-23
    • 3,500 TYM4 107/107.75 2x1 put spds