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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 AccessLate SOFR/Treasury Option Roundup, Hedging a 25Bp Hike
Light option volumes was due to most of Europe out for May-Day bank holiday Monday. Early SOFR Call structure buying ebbed in the second half while Jun'23 SOFR options saw a pick-up in limited downside put condors as a jump over 50.0 to 53.2 in April ISM Mfg PMI data, underscoring a likely 25bp rate hike this Wednesday.
- SOFR Options:
- Block, +10,000 SFRM3 94.68/94.75/94.81/94.87 put condors, 0.75 ref 94.855
- +25,000 SFRM3 94.68/94.75/94.81/94.87 put condors, 0.5 ref 94.855 to -.86
- 2,000 SFRM3 94.93/95.12 call spds ref 94.89
- Block, +10,000 SFRZ3 96.50/97.50 call spds, 13.0 vs. 95.50/0.10%
- +2,000 SFRM3 97.00/97.12/99.50/99.62 call condors
- 1,000 SFRM3 94.75/95.00/95.12 broken put flys, ref 94.915
- 2,000 SFRN3 94.50/94.93/95.00/95.18 put condors ref 95.155
- Treasury Options:
- +4,000 USM 128 puts, 54 ref 130-02
- 2,100 TYM3 112.25 puts, 8 ref 114-30 to -30.5
- 2,500 FVM3 110.5/111.25 call spds ref 109-22 to -22.5
- 2,000 FVM3 112/113 call spds, 5.5 ref 109-25.5
- 3,000 TYM3 115.75/116.5 call spds ref 115-12
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.