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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.
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Free AccessMNI: 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
Late SOFR/Treasury Option Roundup: Going With the Flow
SOFR and Treasury trade segued to upside hedging from better put interest in the first half. Robust volumes traded in upside calls as underlying futures continued to extend session highs in late trade, put flow two-way with some decent unwinds reported. In the aftermath of the FOMC steady rate annc and larger than expected cut in run-off rate of its Treasury portfolio Wednesday, projected rate cut pricing gained traction vs. late Wednesday levels: June 2024 at -15% vs. -10% earlier w/ cumulative rate cut -3.8bp at 5.298%, July'24 at -24bp vs. -22% earlier w/ cumulative at -9.8bp at 5.238%, Sep'24 cumulative -19.7bp (-17.3bp earlier), Nov'24 cumulative -27.6bp (-24bp earlier).
- SOFR Options:
- +15,000 SFRH5 96.25/96.75 call spds, 5.5 ref 95.265
- +7,000 SFRU4 95.25 calls vs. 94.855/0.20%
- -20,000 SFRK4 94.75 puts, 4.75 ref 94.71
- +10,000 SFRN4 94.62/94.68/94.81/94.87 put condors, 3.25 ref 94.865
- -10,000 SFRM4 94.68/94.75/94.81/94.87 put condors, 1.0 vs. 94.715/0.20%
- -5,000 SFRU4 94.62/94.75/94.87 put trees, 4.0 ref 94.85
- +5,000 SFRM4 94.62/94.68/94.75/94.81 call condors, 3.75 ref 94.70
- +8,000 SFRZ4 94.00 puts, 2.5 ref 95.03
- Block/pit, -15,000 SFRU4 94.62/95.00 2x1 put spds, 18 ref 94.845
- Block, 10,000 SFRN4/SFRU4 94.62 put spds, 1.25 adds to earlier Block
- 4,000 SFRN4/SFRU4 94.62 put spds adds to earlier Block
- 2,250 0QN4 95.87/96.12/96.37 call flys, ref 95.58
- Block, 5,000 SFRZ5 97.50/98.50 call spds, 8.0 ref 95.73
- 2,500 0QK4 95.50/95.62/95.75 call flys ref 95.425
- 3,500 SFRM4 94.68/94.75/94.81 put flys ref 94.70
- Block +10,000 SFRV4/SFRZ4 94.62 put calendar spreads, 2.25/splits
- Block +5,000 SFRN4 94.18/94.43/94.68 put flys, 1.75 at 0613:11ET
- Block +8,880 SFRN4/SFRU4 94.62 put spds, 1.25 at 0613:01ET
- 5,000 0QM4 95.00/95.12 put spds ref 95.415
- 1,250 SFRK4 94.62/94.68/94.75 call flys ref 94.70
- +7,500 SFRK4 94.75/94.87 call spds, 0.5 vs. 94.705
- 3,000 SFRM4 94.62/94.68/94.75 put flys ref 94.70
- 4,000 SFRZ4 94.50/95.00 put spds ref 95.02
- 1,800 0QK4 95.43/95.62/95.75 broken call flys ref 95.40
- Treasury Options:
- -15,000 FVM4 104/107 put over risk reversals, 0.5 vs. 105-09.75/0.27%
- 6,500 FVM4 104.75 puts, 22 ref 105-09.75
- 2,500 wk1 FV 105.75/106/106.75 broken put flys, expire Fri
- +44,827 wk2 FV 105.75 calls, 6 vs. 105-02
- 2,400 TYM4 107/108 2x1 put spds ref 107-26.5
- over 15,300 TYM4 107 puts ref 107-27.5
- 3,000 wk1 TY 107.25/107.5/107.75 put trees ref 108-01.5, exp Fri
- 2,800 FVM4 104.75 puts, 22
- 1,000 TUM4 101.25 puts, 7.5 ref 101-16.62
- 2,800 wk1 FV 105.5/106 call spds, 6 ref 105-05.25 - expire Friday
- 3,000 FVM4 104.25 puts ref 105-06.25
To read the full story
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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.