MNI BRIEF: US Treasuries Seen Increasingly Risky-JH Paper

MNI: FED’S POWELL: TIME HAS COME FOR POLICY TO ADJUST

MNI China Daily Summary: Friday, Aug 23

MNI: PBOC Net Injects CNY241.5 Bln via OMO Friday

MNI: PBOC Sets Yuan Parity Higher At 7.1358 Fri; +2.17% Y/Y

CHINA PBOC CONDUCTS CNY379.3 BILLION VIA 7-DAY REVERSE REPOS FRI

MNI: US JUL NEW HOME SALES +10.6% TO 0.739M SAAR

EZ/UK Bond Supply Calendar: EFSF RfP Sent, EU-Bonds Due Monday

MNI: CANADIAN JUN RETAIL SALES -0.3%; SALES EX-AUTOS/PARTS +0.3%

RPT-MNI: Canada Sticks To Fiscal Anchors, Spends Chunk Of Windfall

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

Late SOFR/Treasury Option Roundup: Mixed After NFP-Tied Sell-Off

US TSYS

SOFR option trade turned mixed after underlying futures sold off following stronger than expected NFP report but less hawkish than rounded figures suggested. Call flys still targeted potential rate cuts in 2024 while large put structures were also reported as projected rate cuts for early 2024 receded: December flat at 5.333%, January 2024 cumulative -.7bp at 5.323%, March 2024 chance of rate cut at -44.5% vs. -55.2% pre-data with cumulative of -11.8bp at 5.211%, May 2024 -63.5% vs. -70.1% pre-data, cumulative -27.7bp at 5.052%. Fed terminal at 5.33% in Feb'24.

  • SOFR Options:
    • 30,000 SFRJ4 94.62/94.75/94.87/95.00 call condors, 4.0 ref 95.125
    • 17,000 SFRH4 94.62/94.75 2x1 put spds w/ SFRH4 94.37/94.50 put spd, 3.5-4.0
    • 3,750 SFRH4 94.62/94.75/94.87 put flys, ref 94.81
    • Block, 10,000 SFRF4 94.68/95.18 call spds, 11.25/splits ref 94.81
    • Block, 5,000 SFRH4 94.75/95.00strangles, 17.0 ref 94.80
    • Block, 50,000 SFRJ4 94.37/94.75/94.81/95.00 broken put condors, 3.25
    • 2,000 SFRF4 94.68/94.75/94.81 put flys
    • 15,000 0QZ3 95.62 puts, 4.0 ref 95.89
    • Block, 3,000 0QM4 97.00 calls, 24.0 ref 96.405
    • Block, 5,000 SHRH4 94.25 puts, 1.25 ref 94.865
    • Block, 7,000 2QH4 97.12/97.87 call spds 8.5 vs. 96.555/0.17%
    • 2,000 SFRF4 94.93/95.00 call spds ref 94.865
    • 2,000 SFRH4 94.75/94.87/95.00 call flys
    • 5,000 SFRH4 94.87/95.00/95.12/95.25 call condors ref 94.87
    • Block, 4,000 2QH4 96.87/97.87 call spds, 15.5 vs. 96.57/0.28%
    • 1,500 SFRF4 94.75/94.81 2x1 put spds
    • 4,000 0QZ3 95.75 puts ref 95.915
    • 3,000 0QZ3 95.56/95.68/95.75/95.87 put condors, ref 95.925
  • Treasury Options:
    • Block, 3,000 TYH4 108.5/111 strangles on a 4x3 ratio
    • 5,000 TYF4 108.5/110 put spds 29 ref 110-10
    • 6,000 TYF 108.75 puts, 10 ref 110-24 to -24.5
    • Update 12,000 TYF4 108.25/109.25 put spds ref 110-24.5 to -22.5
    • 3,000 wk2 TY 111.5/112 call spds, 2 ref 110-24
    • 4,400 wk2 FV 107/108.25 strangles, 9.5 ref 107-11.25 (expire today)
    • 1,000 wk3 TY 109.75/110 2x3 put spds ref 110-26
    • 2,000 TYF4 110 puts, 27 ref 110-31
    • Block: 6,050 TYF4 108.5/109.5 put spds, 12 ref 110-31
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.