MNI: Banxico Cuts Official Interest Rate By 25 BPS TO 10.25%

MNI: UK Potential Growth Weak, No Easy Fix - BOE's Bailey

MNI BRIEF: EU Trade Ministers To Share Views On Trump Impact

CORRECTS-MNI: Fed Could Pause Cuts - Kugler

CORRECTS-MNI: Fed Could Pause Cuts - Kugler

MNI China Daily Summary: Thursday, November 14

US EIA: CRUDE OIL STOCKS EX SPR +2.09M TO 429.7M NOV 08 WK

US EIA:NAT GAS STORAGE +42 BCF TO 3,974 BCF NOV 08 WK

MNI: US JOBLESS CLAIMS -4K TO 217K IN NOV 09 WK

AUSTRALIA: 2025 Election Outcome Looking More Uncertain According To Newspoll

MNI EXCLUSIVE: German Turmoil Dashes EU's Joint-Funding Hopes -Officials

FED: Powell's Time Looks Up, Replacement Could Be Less Willing To Cut Rates?

© 1982-2024 MNI. All rights reserved.
Terms | Privacy
Log Out
Free Trial

Late SOFR/Treasury Option Roundup: Hedging Larger Cuts

US TSYS
BulletMarketsFixed Income BulletsHomepage
SOFR calls drove Monday's option volume as accounts hedged various rate cut scenarios from 50- to 100bp in rate cuts by year end. Aside from soon to expire September options (this Friday), November options that expire on the 15th, will cover the Presidential election and November FOMC event risk. Projected rate cuts through year end have receded slightly from late Fri levels: Sep'24 cumulative -32.7bp (-33.1bp), Nov'24 cumulative -71.8bp (-72.3bp), Dec'24 -112.0bp (-113.7bp).
  • SOFR Options:
    • Block, 10,000 SFRX4 96.00/96.25/96.50 call flys, 3.5
    • Block, 10,000 SFRZ4 95.87/96.12/96.37 call flys, 4.0 vs. 95.87, more on screen
    • Block, 26,000 SFRF5/SFRH5 96.87/97.00 call strip spd, Mar sold 8.5-9.0 over Jan
    • Block, 15,500 SFRX4 96.12/96.25 call spds, 2.75 ref 95.90, more on screen
    • Block, 8,000 SFRU4 95.25/95.31 call spds 0.5
    • Block, 9,000 SFRM5 97.25/97.75 call spds 1.5 over 2QM5 97.50/98.00 call spds
    • Block, 23,500 SFRU4 95.18 calls, 1.0 ref 95.0925
    • Block, 4,000 SFRU4 95.18/95.25 call spds, 0.75
    • -8,000 SFRU4 95.00/95.06/95.12 put flys, 2.75
    • Block, 6,250 SFRH5 95.50 puts vs. 5,000 SFRH5 95.75 puts, 8.5 net vs. 96.52
    • 4,500 SFRH5 96.25/97.75 call spds ref 96.52 to -.515
    • 2,500 SFRX4 95.75/95.37/95.12 call flys ref 95.895
    • Block, 3,250 SFRH5 96.25/96.50 call spds 9.0 over SFRH5 95.50/95.75 put spds
    • 3,500 SFRU4 95.12/95.25/95.37 call flys
    • 2,000 0QV4 96.56/96.68/96.75/96.87 put condors ref 97.075
    • Block, 2,789 SFRU4 95.12/95.25/95.37 call flys, 1.0
    • 5,000 SFRU4 95.18/95.25/95.31/95.37 call condors ref 95.0925
    • 2,800 SFRU4 95.18/95.31 call spds vs. SFRV4 96.00/96.12 call spds & SFRV4 95.25/95.62 put spds
    • 2,500 SFRU4 94.93/95.25 strangles ref 95.0975
    • 1,500 SFRU4 95.18/95.25/95.31 call flys ref 95.115
  • Treasury Options:
    • Block, 20,000 TYV4 116/TYZ4 118 call spds, 19 net, Oct over
    • 14,245 TYZ4 117.5 calls 37 ref 115-00.5
    • 2,500 USV4 127/132 call spds ref 126-00
    • 2,574 TYX4 113.5/117.5 call spds vs. 3,076 TYV4 114.25/115.5 put spds
    • Block, 4,250 FVV4 108.5/109.25 put spds vs. 2,125 FVX4 108.75/109.5 3x2 put spds, 11.5 net
    • over 5,400 TYV 114 puts
    • 2,000 TYX4 116/117/118 call flys ref 114-21 to -21.5
294 words

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.
SOFR calls drove Monday's option volume as accounts hedged various rate cut scenarios from 50- to 100bp in rate cuts by year end. Aside from soon to expire September options (this Friday), November options that expire on the 15th, will cover the Presidential election and November FOMC event risk. Projected rate cuts through year end have receded slightly from late Fri levels: Sep'24 cumulative -32.7bp (-33.1bp), Nov'24 cumulative -71.8bp (-72.3bp), Dec'24 -112.0bp (-113.7bp).
  • SOFR Options:
    • Block, 10,000 SFRX4 96.00/96.25/96.50 call flys, 3.5
    • Block, 10,000 SFRZ4 95.87/96.12/96.37 call flys, 4.0 vs. 95.87, more on screen
    • Block, 26,000 SFRF5/SFRH5 96.87/97.00 call strip spd, Mar sold 8.5-9.0 over Jan
    • Block, 15,500 SFRX4 96.12/96.25 call spds, 2.75 ref 95.90, more on screen
    • Block, 8,000 SFRU4 95.25/95.31 call spds 0.5
    • Block, 9,000 SFRM5 97.25/97.75 call spds 1.5 over 2QM5 97.50/98.00 call spds
    • Block, 23,500 SFRU4 95.18 calls, 1.0 ref 95.0925
    • Block, 4,000 SFRU4 95.18/95.25 call spds, 0.75
    • -8,000 SFRU4 95.00/95.06/95.12 put flys, 2.75
    • Block, 6,250 SFRH5 95.50 puts vs. 5,000 SFRH5 95.75 puts, 8.5 net vs. 96.52
    • 4,500 SFRH5 96.25/97.75 call spds ref 96.52 to -.515
    • 2,500 SFRX4 95.75/95.37/95.12 call flys ref 95.895
    • Block, 3,250 SFRH5 96.25/96.50 call spds 9.0 over SFRH5 95.50/95.75 put spds
    • 3,500 SFRU4 95.12/95.25/95.37 call flys
    • 2,000 0QV4 96.56/96.68/96.75/96.87 put condors ref 97.075
    • Block, 2,789 SFRU4 95.12/95.25/95.37 call flys, 1.0
    • 5,000 SFRU4 95.18/95.25/95.31/95.37 call condors ref 95.0925
    • 2,800 SFRU4 95.18/95.31 call spds vs. SFRV4 96.00/96.12 call spds & SFRV4 95.25/95.62 put spds
    • 2,500 SFRU4 94.93/95.25 strangles ref 95.0975
    • 1,500 SFRU4 95.18/95.25/95.31 call flys ref 95.115
  • Treasury Options:
    • Block, 20,000 TYV4 116/TYZ4 118 call spds, 19 net, Oct over
    • 14,245 TYZ4 117.5 calls 37 ref 115-00.5
    • 2,500 USV4 127/132 call spds ref 126-00
    • 2,574 TYX4 113.5/117.5 call spds vs. 3,076 TYV4 114.25/115.5 put spds
    • Block, 4,250 FVV4 108.5/109.25 put spds vs. 2,125 FVX4 108.75/109.5 3x2 put spds, 11.5 net
    • over 5,400 TYV 114 puts
    • 2,000 TYX4 116/117/118 call flys ref 114-21 to -21.5