NORGES: RATES PROBABLY AT CURRENT LEVEL QUITE SOME TIME

RATES MAY NEED TO BE ON HOLD LONGER THAN ENVISIONED: NORGES

MNI: NORGES BANK LEAVES RATES UNCHANGED AT 4.50%

MNI WATCH: CNB Seen Cutting 50Bps to 5.25%, Signal Slower Pace

MNI China Daily Summary: Tuesday, April 30

MNI BRIEF: China To Keep Tackling Risks In Real Estate, Debts

MNI: BAKER HUGHES US RIG COUNT 605; OIL RIGS 499; GAS RIGS 102

BoE Data Watch

RBA Data Watch

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

MNI BRIEF: Poilievre Calls QE 'Scam' And Would Limit BOC Remit

MNI: Growth Drag From Net Zero Carbon Goal Can Be Offset-OECD

© 1982-2023 MNI. All rights reserved.
Terms | Privacy
Log Out
Free Trial

Late SOFR/Treasury Option Roundup, Squared & Pared Ahead FOMC

US TSYS
BulletMarketsFixed Income BulletsHomepage

SOFR and Treasury option trade remained mixed Friday, most accounts squared and pared ahead of the weekend with focus on next Wednesday's FOMC rate announcement. After gaining slightly post data, projected rate cut pricing held largely steady vs. late Thursday levels: May 2024 -2.6% w/ cumulative -0.6bp at 5.322%; June 2024 at -9.9% w/ cumulative rate cut -3.1bp at 5.298%. July'24 cumulative at -8.6bp, Sep'24 cumulative -18.1bp.

  • SOFR Options:
    • +4,000 SFRM4 94.93/95.25 call spds 1.0 ref 94.71
    • +13,000 SFRZ4 96.00/97.00 call spds 5.5 ref 95.015
    • -6,000 SFRU4 95.00/95.25/95.50 call flys, 1.75 vs. 94.845/0.10%
    • +6,000 SFRU4 94.87/95.00/95.12/95.25 call condors, 1.875 ref 94.855
    • Block, 5,000 SFRM4 94.81/94.93/95.00/95.12 call condors, 0.75 ref 94.741
    • +15,000 SFRH4 94.43/94.56 put spds 2.75 ref 95.20
    • -8,000 SFRZ4 94.68/94.81 put spds 5.0 ref 95.01
    • +5,000 0QM4 96.50 calls 1.5 ref 95.345
    • Block, 10,000 SFRM4 94.62 puts, 1.25 ref 94.71
    • Block, -7,500 SFRM4 94.68/94.75 put spds 3.5 over 94.93/95.68 call spds ref 94.71
    • -12,750 SFRQ4 94.87/94.93 call spds vs. 94.62/94.68 put spds ref 98.85
    • 2,000 SFRU4 94.25/94.62 put spds ref 94.855
  • Treasury Options: May options expire today
    • 7,000 TUM4 101.5/101.75 put spds ref 101-14.38
    • over 14,400 TYK4 107.5 calls, 9 last ref 107-14.5
    • 1,700 FVK4 104.75 puts, 5 ref 104-25.75
    • 3,900 TYK 107.25 puts, 4 ref 107-17
    • 2,000 wk1 TY 107.75/108.25 call spds ref 107-14
    • over 7,800 TYM4 106 puts 21 ref 107-16
204 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 and Treasury option trade remained mixed Friday, most accounts squared and pared ahead of the weekend with focus on next Wednesday's FOMC rate announcement. After gaining slightly post data, projected rate cut pricing held largely steady vs. late Thursday levels: May 2024 -2.6% w/ cumulative -0.6bp at 5.322%; June 2024 at -9.9% w/ cumulative rate cut -3.1bp at 5.298%. July'24 cumulative at -8.6bp, Sep'24 cumulative -18.1bp.

  • SOFR Options:
    • +4,000 SFRM4 94.93/95.25 call spds 1.0 ref 94.71
    • +13,000 SFRZ4 96.00/97.00 call spds 5.5 ref 95.015
    • -6,000 SFRU4 95.00/95.25/95.50 call flys, 1.75 vs. 94.845/0.10%
    • +6,000 SFRU4 94.87/95.00/95.12/95.25 call condors, 1.875 ref 94.855
    • Block, 5,000 SFRM4 94.81/94.93/95.00/95.12 call condors, 0.75 ref 94.741
    • +15,000 SFRH4 94.43/94.56 put spds 2.75 ref 95.20
    • -8,000 SFRZ4 94.68/94.81 put spds 5.0 ref 95.01
    • +5,000 0QM4 96.50 calls 1.5 ref 95.345
    • Block, 10,000 SFRM4 94.62 puts, 1.25 ref 94.71
    • Block, -7,500 SFRM4 94.68/94.75 put spds 3.5 over 94.93/95.68 call spds ref 94.71
    • -12,750 SFRQ4 94.87/94.93 call spds vs. 94.62/94.68 put spds ref 98.85
    • 2,000 SFRU4 94.25/94.62 put spds ref 94.855
  • Treasury Options: May options expire today
    • 7,000 TUM4 101.5/101.75 put spds ref 101-14.38
    • over 14,400 TYK4 107.5 calls, 9 last ref 107-14.5
    • 1,700 FVK4 104.75 puts, 5 ref 104-25.75
    • 3,900 TYK 107.25 puts, 4 ref 107-17
    • 2,000 wk1 TY 107.75/108.25 call spds ref 107-14
    • over 7,800 TYM4 106 puts 21 ref 107-16