MNI BRIEF: China Nov CPI Slows To 5-Month Low Of 0.2% Y/Y

MNI: PBOC Sets Yuan Parity Higher At 7.1870 Mon; -1.39% Y/Y

MNI: China CFETS Yuan Index Down 0.36% In Week of Dec 6

MNI: PBOC Net Injects CNY13.8 Bln via OMO Monday

MNI BRIEF: PBOC Increases Gold Reserves

CORRECTED-MNI: Fed's Hammack-Near Or At Time To Slow Rate Cuts

MNI JAPAN Q3 GDP REV +0.3% Q/Q; PRELIM +0.2%; MEDIAN +0.2%

MNI: UNIV OF MICHIGAN CONSUMER SENTIMENT PRELIMINARY DEC INDEX 74.0

CANADA NOV IVEY PURCHASING MANAGERS INDEX 52.3 SA

MNI EXCLUSIVE: EU-Mercosur Deal Close, But Likely Short-Lived - Officials

AUSTRALIA: 2025 Election Outcome Looking More Uncertain According To Newspoll

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

Late SOFR/Treasury Option Roundup

US TSYS
SOFR/Treasury option flow remained mixed after a moderately volatile session following the delayed BLS prelim annual payrolls benchmark revision. Futures are paring back gains after see-sawing higher into the dovish July FOMC minutes. Projected rate cuts through year end gain slightly vs. early Wednesday levels (*): Sep'24 cumulative -33.6bp (-33.3bp), Nov'24 cumulative -65.7bp (-64.4bp), Dec'24 -101.3bp (-98.3bp).
  • SOFR Options:
    • +10,000 SFRU4 95.06/95.12/95.18 put tree, 0.25/10K (9511) *total volume in the SFRU4 95.12 call is over 106,000 in late trade
    • +8,000 SFRV4 95.43 puts 2.25 ref 95.755
    • +7,000 SFRU4 95.31/95.37 call spds, 0.5 vs. 95.10/0.05%
    • -9,000 SFRZ4 97.00/98.50 2x3 call spds 5.25 ref 95.775
    • +7,000 SFRZ4 96.12/96.25/96.37 call flys 0.5 ref 95.765
    • +10,000 SFRV4 94.50/94.56 put spds 2.0 ref 95.77
    • +5,000 SFRU4 95.06/95.18 2x3 call spds 3.0 ref 95.08
    • +3,000 0QZ4 96.75 straddles, 65.0 ref 96.865
    • Block, 10,000 SFRU4 95.31/95.50 call spds, 0.75 ref 95.09
    • +20,000 SFRU4 95.37/95.43 call spds, 0.25 ref 95.085
    • -30,000 SFRH5 96.75/97.75 call spds 12.0 ref 96.235
    • -20,000 SFRZ4 96.00/97.00 2x3 call spds 15.0 ref 95.735
    • +6,000 SFRU4 95.00/95.12/95.25 call flys, 1.75 ref 95.0875
    • 10,000 SFRU4 95.06/95.12/95.18 call flys, 2.0 ref 95.0825
    • 2,500 0QU4 96.87/97.25 call spds vs. 96.43/96.50 put spds ref 96.685
    • 20,000 SFRU4 95.00/95.12/95.25 call flys ref 95.07
    • 4,000 SFRU4 95.18/95.37 call spds ref 95.08
  • Treasury Options:
    • 10,000 TYV4 114/116.5/117 call trees, 44 ref 114-19
    • over 6,000 TYV4 111.5 puts
    • 2,500 FVV4 108.75 puts ref 109-20.5
    • 1,750 FVX 111/111.5 call spds
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.