MNI CHINA LIQUIDITY INDEX: CONDITIONS TIGHTEN IN JUNE

MNI BRIEF: Aussie Monthly CPI At 4%, Higher Than Expected

MNI DATA TABLE: MNI China Interbank Liquidity Index (Jun) - 1

MNI: PBOC Net Drains CNY28 Bln Via OMO Weds; Rates Unchanged

CHINA PBOC CONDUCTS CNY250 BILLION VIA 7-DAY REVERSE REPOS WEDS

EZ/UK T-Bill Calendar: 1/3/6-Month UKTB Auction on Friday

France Consumer Sentiment A Touch Below Consensus

MNI: FRANCE JUN CONSUMER SENTIMENT 89

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
BulletMarketsFixed Income BulletsHomepage
Large SOFR call spreads Blocks preceded some late put fly crosses Tuesday, 10Y vol sales fairly consistent as underlying futures rebound from Monday's selling. Rate cut projections steady vs. late Monday: June 2024 at -5% w/ cumulative rate cut -1.2bp at 5.318%, July'24 at -20% w/ cumulative at -6.3bp at 5.267%, Sep'24 cumulative -19.9bp, Nov'24 cumulative -27.6bp, Dec'24 -43.7bp.
  • SOFR Options:
    • +5,000 2QU4/3QU4 96.50 call spd, 0.75
    • Block, 20,000 SFRN4 94.75/94.87/95.00 put flys, 4.5
    • Block, 20,000 SFRN4 94.81/94.87/94.93 put flys, 1.25
    • -5,000 SFRZ4 94.50/94.62 2x1 put spds 1.25
    • +6,000 SFRZ4 9550/9575ps 10.0 ref 95.095
    • -5,000 SFRZ4 94.87 puts, 10.5 ref 95.10
    • +6,000 0QZ4 95.37/95.50/95.75 2x3x1 call flys 1.5 ref 95.31
    • +10,000 SFRU4 94.62/94.75/94.81 put trees 2.5 ref 94.865
    • +5,000 SFRZ4 95.25/95.43/95.62 call flys, 1.5 vs 95.11/0.05%
    • +10,000 0QZ4 96.25/96.75 call spds vs 2QZ4 96.37/96.75 call spds 1.25 net
    • -5,000 SFRU4 94.81/0QU 95.25 put spds 1.5-1.0
    • Block, +30,000 SFRZ4 95.50/96.37 call spds, 8.0 vs. 95.10/0.19%
    • Block, +10,000 SFRU4 95.62 calls, 2.75 vs. 94.86/0.10%
    • Block, +30,000 SFRZ4 95.50/96.00 call spds, 5.5 vs. 95.085/0.13%
  • Treasury Options:
    • 25,300 TYN4 108.5/110.5 strangles, 40
    • 3,000 TYM4 110/110.5 call spds, ref 109-06
    • Block/screen, -14,300 TYM4 109.25 straddles, 27 ref 109-05
    • 1,300 USM4 119/120 call spds, ref 116-31
181 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.
Large SOFR call spreads Blocks preceded some late put fly crosses Tuesday, 10Y vol sales fairly consistent as underlying futures rebound from Monday's selling. Rate cut projections steady vs. late Monday: June 2024 at -5% w/ cumulative rate cut -1.2bp at 5.318%, July'24 at -20% w/ cumulative at -6.3bp at 5.267%, Sep'24 cumulative -19.9bp, Nov'24 cumulative -27.6bp, Dec'24 -43.7bp.
  • SOFR Options:
    • +5,000 2QU4/3QU4 96.50 call spd, 0.75
    • Block, 20,000 SFRN4 94.75/94.87/95.00 put flys, 4.5
    • Block, 20,000 SFRN4 94.81/94.87/94.93 put flys, 1.25
    • -5,000 SFRZ4 94.50/94.62 2x1 put spds 1.25
    • +6,000 SFRZ4 9550/9575ps 10.0 ref 95.095
    • -5,000 SFRZ4 94.87 puts, 10.5 ref 95.10
    • +6,000 0QZ4 95.37/95.50/95.75 2x3x1 call flys 1.5 ref 95.31
    • +10,000 SFRU4 94.62/94.75/94.81 put trees 2.5 ref 94.865
    • +5,000 SFRZ4 95.25/95.43/95.62 call flys, 1.5 vs 95.11/0.05%
    • +10,000 0QZ4 96.25/96.75 call spds vs 2QZ4 96.37/96.75 call spds 1.25 net
    • -5,000 SFRU4 94.81/0QU 95.25 put spds 1.5-1.0
    • Block, +30,000 SFRZ4 95.50/96.37 call spds, 8.0 vs. 95.10/0.19%
    • Block, +10,000 SFRU4 95.62 calls, 2.75 vs. 94.86/0.10%
    • Block, +30,000 SFRZ4 95.50/96.00 call spds, 5.5 vs. 95.085/0.13%
  • Treasury Options:
    • 25,300 TYN4 108.5/110.5 strangles, 40
    • 3,000 TYM4 110/110.5 call spds, ref 109-06
    • Block/screen, -14,300 TYM4 109.25 straddles, 27 ref 109-05
    • 1,300 USM4 119/120 call spds, ref 116-31