MNI BRIEF: PBOC Increases Gold Reserves

MNI BRIEF: Japan Q3 GDP Revised Up On Net Exports, Capex

MNI JAPAN Q3 GDP REV +0.3% Q/Q; PRELIM +0.2%; MEDIAN +0.2%

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 China Daily Summary: Friday, December 6

MNI: UNIV OF MICHIGAN CONSUMER SENTIMENT PRELIMINARY DEC INDEX 74.0

CANADA NOV IVEY PURCHASING MANAGERS INDEX 52.3 SA

EZ/UK Bond Supply Calendar: Austria, UK Auction on Tuesday

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: Hedging Tighter Policy Risk

US TSYS

Varied trade leaning towards downside positioning after better upside interest the last couple sessions. Of note: +40,000 SFRZ5 93.75/94.25/94.75 put fly, 4.0 net from 0906-0908ET. With the Red Dec SOFR futures contract trading at 95.66 - current policy pricing would need to reverse with the Fed shifting tighter policy heading into late 2025. Underlying futures at near session lows while projected rate cut pricing continues to cool: May 2024 steady at -2.6% w/ cumulative -0.6bp at 5.322%; June 2024 at -13.6% from -16.2% earlier w/ cumulative rate cut -4bp at 5.288%. July'24 cumulative at 11.6bp from -12.1bp earlier, Sep'24 cumulative -21.6bp from -24.1bp.

  • SOFR Options:
    • 5,000 SFRZ4 95.25/95.75 1x2 call spds 2.5
    • over 5,000 SFRM4 94.81/94.93/95.06/95.25 call condors
    • -5,000 SRH5 95.75/96.37 call spds 11 ref 95.235
    • -5,000 SRU4 95.50 calls 6.5 vs. 94.87/0.16%
    • +5,000 SRU4 94.25/94.37 put spds vs. 94.855/0.05%
    • +4,000 SRQ4 94.56/94.68/94.87/95.00 put condors 6.25 ref 94.88
    • +5,000 SRM4 95.00/95.25/95.50/95.75 call condors 0.5 ref 94.73
    • -4,000 SRV4 95.12 straddles, 52.0 ref 95.06
    • +5,000 SRU4 94.37 puts 2.0 ref 94.875
    • Block, 5,000 SFRV4 94.25/94.37/94.50/94.62 put condors, 1.25
    • 6,000 SFRZ4 94.62/95.00 2x1 put spds, 8.0 ref 95.08
    • Block, 5,000 SFRH6 93.75/94.25/94.75 put flys, 3.5
    • Block, 40,000 SFRZ5 93.75/94.25/94.75 put fly, 4.0 net from 0906-0908ET
    • Block, 8,880 SFRZ4 94.43/94.68 put spds 2.0 over SFRV4 94.37/94.62 put spd ref 95.09
    • 4,500 0QK4 95.75 calls, ref 95.465 total volume over 10.4k
    • 4,400 SFRM4 94.87/94.93/95.00/95.06 call condors ref 94.735
    • Block/screen +17,000 SFRV4/SFRZ4 94.62 put spds, 2.5-3.0
    • 2,500 SFRV4/SFRX4 94.37/94.62 put spd spd
    • 2,000 SFRK4 94.50/94.75 put spds ref 94.74 to -.735
    • +4,500 0QM4 94.87/95.00/95.25 put flys, 4.5
  • Treasury Options:
    • 10,000 TYK4 109/109.75 1x2 call spds, 1 ref 107-22.5
    • +10,000 TYM4 107.5 puts, 53 vs. 107-24/0.44%
    • +5,000 TYM4 107 puts, 38
    • 8,000 TYK4 109.25 puts vs. 16,000 TYM 107.5 puts
    • -6,000 wk3 TY 108 calls, 9 vs. 107-31.5
    • -10,000 TYK4 107.5/108.75 put over risk reversals 12 vs. 107-30
    • -10,000 TYM4 108 put vs. TYK4 108.75 calls, 48 net combo vs. 108-01.5
    • 4,000 TYK4 107 puts, 4 ref 108-07.5
    • -15,000 TYM4 105 puts, 7
    • 2,000 TYK4 109 calls, 8 ref 108-06.5
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.