MNI BRIEF: China Visitor Mobile Payments Surge in H1

MNI China Daily Summary: Friday, July 26

MNI BRIEF: Foreign Firms Content In China

MNI BRIEF: Turkish Inflation Expectations Steady- TEBA

MNI China Press Digest July 26: Deposit Rates, Fiscal, PBOC

MNI: PBOC Net Injects CNY299.05 Bln via OMO Fri

MNI: BAKER HUGHES US RIG COUNT 589; OIL RIGS 482; GAS RIGS 101

MNI: UNIV OF MICHIGAN CONSUMER SENTIMENT FINAL JUL INDEX 66.4

EZ/UK Bond Supply Calendar: BoE Short APF Operation on Monday

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: Better Upside Hedging

US TSYS
SOFR and Treasury option trade leaned toward better upside calls Wednesday as underlying futures followed EGBs higher despite a pick-up in UK inflation metrics. Projected rate cut pricing steady vs. late Tuesday levels: May 2024 steady at -2.6% w/ cumulative -0.6bp at 5.322%; June 2024 steady at -16.2% w/ cumulative rate cut -4.7bp at 5.282%. July'24 cumulative at -12.6bp, Sep'24 cumulative -24.9bp.
  • SOFR Options:
    • +10,000 SFRN4 94.87 straddles, 28.5
    • 8,000 SFRZ4 97.00/98.00 call spds ref 95.075
    • +15,000 SFRK4 96.50 calls, 0.5 ref 94.73
    • +20,000 SFRZ4 96.00/97.00 call spds, 6.5 ref 95.07
    • -7,000 SFRM4 94.50/94.62/94.75 put flys, 5.75 vs. 94.735
    • -3,000 0QM4 95.50/95.87 call spd w/ 0QM4 95.50/95.93 call spd strip, 22.5
    • 2,500 SFRZ4 94.37/94.50/94.75/94.87 put condor vs SRH4 94.25/94.62/95.00 put flys 2.5
    • Block, 11,750 SFRV4/SFRZ4 94.62 put spds, 3.0
    • Block, 8,880 SFRV4/SFRZ4 94.62 put spds, 2.5
    • 2,000 SFRM4 94.87/94.93/95.00/95.06 call condors ref 94.725
    • 2,000 SFRU4 95.18/95.37 put spds ref 94.885
    • 2,000 SFRZ4 95.87/96.12 call spds, ref 95.05
    • 4,000 SFRZ4 95.50/95.75/96.25/96.50 call condors ref 95.06
    • 3,000 SFRZ4 94.62/94.87/95.25/95.37 put condors, ref 95.04 to -.045
  • Treasury Options:
    • 5,300 TYK4 107.5 puts, 18 ref 107-28, total volume over 13.2k
    • 6,000 TYM4 108 calls, 58 ref 107-29
    • Block, 8,500 TYM4 107.5 puts, 48 ref 107-30
    • 5,000 FVK4 105.75/106 call spds ref 105-03.5
    • 6,000 USK4 115 puts vs. USM4 113 puts, 5 net/May over
    • 5,000 TYK4 106.5/107.5 put spds ref 107-28.5
    • 6,000 wk3 TY 107.75 calls, 13 ref 107-23 (expire Friday)
    • over 8,000 TYK4 106.25 puts 3-4
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.