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 BRIEF: Fed's Goolsbee Sees Rates Fair Bit Lower In A Year

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: 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.