MNI BRIEF: BOJ Tankan: Business Inflation Expectations Solid

MNI BRIEF: RBA Details Hypothetical Monetary Policy Paths

MNI: PBOC Net Injects CNY14.2 Bln via OMO Friday

MNI: PBOC Sets Yuan Parity Higher At 7.1876 Fri; -1.22% Y/Y

MNI BOJ DEC TANKAN LARGE MFG INDEX +14; SEPT 13; MEDIAN +12

MNI INTERVIEW2: Poland To Push For EU Defence Fund

MNI: UK DEC GFK CONSUMER CONFIDENCE INDEX -17

EZ/UK Bond Supply Calendar: Belgium ORI Facility on Friday

US EIA:NAT GAS STORAGE -190 BCF TO 3,747 BCF DEC 06 WK

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: Discounting the Tsy Rally

US TSYS
SOFR and Treasury puts gained traction late Wednesday, discounting the underlying rally after the Fed left rates steady while Chairman Powell left door open to first cut in September. Projected rate cut pricing into year end look steady to firmer vs. early Wednesday levels (*): Sep'24 cumulative -28.8bp, Nov'24 cumulative -46.9bp (-44.6bp), Dec'24 -72.4bp (-68.2bp).
  • SOFR Options:
    • 5,000 SFRQ4 94.68/94.81/94.93/95.00 put condors ref 94.975
    • 5,000 SFRU4 94.68/94.75 put spds, 0.5 ref 94.955
    • +2,000 SFRH5 95.75/96.00/96.18 broken call flys, 4.5 vs. 95.82/0.05%
    • -4,000 SFRX4 95.25/95.37/95.50/95.62 call condors, 3.25 ref 95.38
    • -5,000 SFRZ4 96.00 calls, 5.0 vs. 95.37/0.10%
    • 1,500 SFRZ4 95.50/95.87/96.25 call flys ref 95.37
    • over 5,800 SFRZ4 96.00 calls, 5.5 last ref 95.38 to -.37
    • 12,000 0QQ4 96.12 puts, 6.5 vs 96.28/0.30%
    • Block, 2,973 SFRZ5 96.50/97.50 call spds, 29.5 ref 96.415
    • +2,750 SFRX4 95.18/95.43/95.68 2x4x1 call flys, 5.5 ref 95.38
    • 1,500 SFRH5 95.12/95.50 put spds, ref 95.765
  • Treasury Options:
    • +10,000 FVU4 106.5/107 put spds, 6 vs. 107-25.25/0.08%
    • +10,000 wk2 TY 111 puts, 10 total volume of 19,800 expire next week Friday
    • +20,000 wk1 TY 110.25 puts, 1, expire this Friday
    • -5,500 TYV4 110/114 strangles, 44
    • Block/screen, +10,000 TYU4 109.5/112 3x1 strangles, 52-55
    • 2,000 TYV4 109/110/112 3x2x1 put flys
    • -10,000 wk5 TY 111.5 calls, 14-13 ref 111-17.5
    • -7,000 wk5 TY 111.5 puts, 12
    • -4,000 wk1 FV 107.25/108.25 call over risk reversals, 0.0
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.