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Free AccessLate SOFR/Treasury Option Roundup: Mostly Bullish Post NFP/ISM
Support gradually evaporated through midday with underlying futures holding weaker into the close. That set the stage for varied option trades listed below where bullish rate cut hedging appeared to lead. Larger put structures reported were largely unwinds or curve related. Traders remained tentative as they await next week's CPI and PPI inflation measures on Thursday and Friday respectively.
- SOFR Options:
- +10,000 SFRJ4 95.50/95.62/95.75/95.87 call condors, 1.5 vs. 95.35/0.10%
- over 12,000 SFRH4 95.00 calls, 8.0 last ref 94.94
- Block, 5,000 SFRJ4 94.87/95.06 put spreads 4.0 ref 95.355
- Update -25,000 SFRH5 95.50/96.50 put spds vs. SFRH5 96.50/97.50 call spds, 70.0 net cr/iron fly
- over 18,000 SFRH4 94.62 puts, .5
- 4,200 SFRM4 92.75 puts, cab
- +25,000 SFRM4 95.43/95.68/95.93/96.18 call condors, 4.5
- +40,000 SFRM4/SFRZ4 94.62/94.75 put spd spd, 0.0/Jun over, flattener
- Block/total +15,000 SFRM4 93.50/94.00/94.50 put flys, 1.0
- 7,600 SFRH4 94.00/94.37 put spds, ref 95.91
- Block, 10,000 SFRM4 93.50/94.00/94.50 put flys, 1.0 vs. 95.285/0.05%
- 5,800 SFRG4 94.87/95.00 call spds vs. SFRH4 94.93/95.06 call spds
- 2,500 0QF4 96.37/96.50/96.56 broken call flys ref 96.31
- 1,500 SFRH4 94.75/94.81 2x1 put spds ref 94.905
- 1,500 0QH4 96.06/96.31/96.43 put trees ref 96.315
- 2,000 SFRJ4 94.56/94.68 put spds ref 95.30
- 2,000 SFRJ4 95.37/95.62/96.00/96.25 call condors ref 95.30
- 3,000 SFRH4 95.87/96.00 call spds vs. 2QH4 97.12 calls
- Treasury Options:
- over 10,000 TYH4 111.5 calls, 120
- appr 30,000 wk2 10Y 110.25 puts, 3
- -24,000 TYH4 109 puts, 14 ref 112-06.5, total volume over 37k
- +17,000 FVH4 109/110/111 call flys, 6.5 ref 107-26.5 to -25.75
- over 20,500 TYG4 111.5 puts, 48-49
- over 30,000 TYG4 110 puts mostly 15 ref 111-22.5
- 4,000 FVH4 107.25/107.5/107.75 put flys, ref 107-28
- over 7,500 TYG4 109.5/110/111/111.5 put condors ref 111-20.5
- Block, 5,000 TUH4 101.87/102.25/102.5/102.75 broken put condors, 1 net ref 102-18.5
- 2,500 TYH4 108/109/110.5 put trees ref 111-25.5
- 6,000 TYH4 109/110 put spds, 13 ref 111-26
- 1,700 TYG4 112/TYH4 111.5 call diagonal spds ref 111-28.5
- over 5,400 wk1 FV 107.75 puts, 7 last ref 108-01.75
- 3,000 TYG4 110/111 put spds vs. TYG4 113/114 call spds, 1 net/put spd over ref 111-30.5 to -29.5
To read the full story
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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.