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July 16, 2024 19:17 GMT
Late SOFR/Treasury Option Roundup: Mixed as Underlying Rebounds
US TSYS
Mixed two-way trade in SOFR and Treasury options reported Tuesday as underlying gradually reversed this morning's hawkish reaction to much stronger than expected Retail Sales. While Tsy curves bull flattened, projected rate cut pricing into year end remains slightly cooler vs. late Monday levels (*): July'24 at -6.5% w/ cumulative at -1.6bp at 5.313%, Sep'24 cumulative -26.6bp (-27.5bp), Nov'24 cumulative -42.9bp (-44.1bp), Dec'24 -65.4bp (-65.8bp). Salient flow includes:
- SOFR Options:
- Block, 5,000 SFRH4 95.50/95.75/96.00/96.25 call condors, 6.5 ref 95.73
- +4,000 SFRU4 94.81/94.87/94.93/95.00 call condors, 3.25
- 10,000 0QQ4 95.75/96.00/96.12 put trees vs 5,000 96.50 calls, 0.25
- -4,000 SFRZ4 95.50/96.00 1x2 put spds, 18.0
- +4,000 SFRU4 94.75/94.87/95.00/95.12 call condors 8.75
- +10,000 SFRM5 95.75/96.00/96.25/96.50 call condors 5.25
- +3,000 SFRX4 95.50/95.62/95.75/95.87 call condors, 1.5
- -5,000 0QU4 96.12/96.50 call spds 12.5 over 95.62 puts
- 2,500 SFRU4 94.56/94.81/94.93 broken put flys
- -10,000 SFRZ4 95.25 puts, 8.5
- Block, 15,000 0QQ4 96.00 puts, 5.0 ref 96.265
- Block, 10,000 0QU4 96.00 puts, 5.0 vs. 96.265/0.22%
- Block, 5,000 SFRZ4 95.62/95.87/96.12 call flys, 2.0
- Block, 7,500 SFRZ4 94.93/95.00/95.06 call flys, 2.0
- 8,500 SFRU4 94.93/95.00/95.06 call flys
- 1,500 SFRU4 94.93/95.00/95.06 call flys ref 94.975
- 5,000 SFRX4 95.31/95.50/95.68 call flys ref 95.39
- 10,000 SFRM5 95.75/96.00/96.25/96.50 call condors ref 96.04
- 2,000 SFRZ4 95.25/95.37 call spds 5.0 over SFRZ4 94.87/95.00 put spds
- Treasury Options:
- -16,000 FVU4 108/109 call spds, 14.5 ref 107-15.5
- +12,000 TYU4 112/113 call spds 27 ref 111-06.5
- -10,000 TYQ4 111.5/112 2x3 call spds, 10 vs. 111-03.5/0.16%
- over 23,000 TYQ4 110 puts, 4-5 ref 111-08.5 to -03.5
- 1,500 USQ4 121/122.5/125 call flys ref 120-00
- 3,000 TYQ4 107.5/108/108.5 put trees ref 111-10.5
- over 8,800 TYQ4 110 puts, 4 last ref 111-10
- 5,000 TYU4 111.5/112 call spds 13 ref 111-08.5
- 2,200 TYQ4 109.25/TYU4 106 put spds ref 111-09
- over 9,000 TYU4 108.5 puts, 6 last ref 111-08.5
- +5,000 TYV4 114/115 call strip, 33
- 1,800 USQ4 122/124 call spds ref 119-25
- 1,500 TYU4 108.5/109.5 2x3 put spds
To read the full story
Close
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.
Sign up now for free trial access to this content.
Please enter your details below.
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.
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