MNI BRIEF: Powell Says US Is 'Far' From Fiscal Dominance

MNI BRIEF: US Firms Wary of Tariff-Related Inflation - Fed

MNI: US NOV FINAL SRVCS PMI 56.1 (FLASH 57.0); OCT 55.0

MNI NBP WATCH: Rates Held, Outlook Unchanged

MNI BRIEF: Barkin Aims For 'Somewhat Restrictive' Fed Rates

MNI China Daily Summary: Wednesday, Dec 4

EZ/UK Bond Supply Calendar: Spain, France Auction, UK Tender

US EIA: CRUDE OIL STOCKS EX SPR -5.07M TO 423.4M NOV 29 WK

MNI: US ISM NOV SERVICES COMPOSITE INDEX 52.1

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: Sticking With Calls

US TSYS
SOFR and Treasury option volume remained heavy Monday, leaning towards upside calls even as underlying futures pared/reversed support in the short end/curves twist flatter. Projected rate cut pricing into year end ease vs. early morning levels (*): Sep'24 cumulative -49.9bp (-54.3bp), Nov'24 cumulative -86.5bp (-95.9bp), Dec'24 -118.6bp (-128.1bp).
  • SOFR Options:
    • Block/screen, 15,000 SFRM5 95.50/96.00/96.50 put flys, 10.0 ref 96.73
    • -5,000 0QZ4 96.50 calls vs 97.075/0.72% vs 2QZ4 96.75 calls vs. 97.105/0.74%, 16.5
    • -5,000 SFRX4 95.50/95.62/95.75/95.87 call condors 2.25 ref 96.03
    • -10,000 0QZ4 96.25 calls vs 97.075/.80% vs 2QZ4 96.50 calls vs 97.105/0.75%, 18.0
    • -6,000 SFRZ4 96.25 calls 26.0 vs. 96.09/0.40%
    • -5,000 0QU4 97.00/97.25 call spds, 9.0 vs 96.995/0.16%
    • +10,000 SFRU4 94.93/95.31 put spds 12.5 ref 95.41
    • +10,000 SFRU4 95.37/95.87 call spds 10.0 vs. 95.42/0.27%
    • -10,000 0QZ4 96.25/96.75 call spds v 2QZ4 96.37/96.75 call spds, 7.5 net
    • -5,000 SFRZ4 95.37/95.50 call spds, 10.5 ref 96.16
    • Block, 10,000 0QU4 96.50 puts, 6.0
    • Block, 3,450 SFRH5 95.68/95.93 call spds 19.5
    • Block, 6,500 SFRU4 95.87/96.25/96.50/96.87 call condors, 1.25
    • 9,000 SFRH5 95.75/96.00/96.25 call flys, 3.5 ref 96.595
    • 5,000 SFRZ4 95.75/96.25/96.50/97.00 call condors ref 96.06
    • 4,700 0QQ4 96.50/96.62/96.75 put trees ref 96.935
    • 6,000 SFRU4 95.87/96.25 call spds ref 95.365
    • over -15,000 SFRZ4 95.37/96.00 2x3 call spds, 50-47
    • 4,600 SFRZ4 96.50/96.62 call spds ref 96..02
    • Block, 6,000 SFRU4 95.00/95.12/95.25 put trees ref 95.335
    • over 20,000 SFRU4 95.25/95.75/96.00 broken call trees ref 95.345
    • 2,000 SFRM5 95.75/96.00/96.25/96.50 call condors vs. 2QM5 96.50/96.75/97.00/97.25 call condors
    • 7,500 SFRZ4 95.00/95.50/96.00 put flys, 4.0
    • 3,000 SFRU4 95.75 calls ref 95.385 to -.37
    • 3,000 SFRU4 95.50/0QU4 97.50 call spds, 2.0
    • 4,000 SFRZ4 96.25 calls ref 95.955 to -.97
  • Treasury Options:
    • 5,000 TYU4 113/114.75 call spds, 49 ref 113-29
    • 5,000 TUV4 102.62/103/103.25/103.5 broken put condors ref 103-29.62
    • 5,000 TYU4 114/114.75 2x3 call spds ref 114-02.5
    • 11,000 TYU4 114.25/114.5 call spds
    • Block, 7,500 wk2 TY112.75 / TYU4 114.75 1x2 call spds
    • 2,000 TYU4 112/113/114 put flys, 12
    • 3,000 TYV4 112.5/113.5 put spds, 11
    • 2,000 FVU4 110/111 call spds, 19.5
    • 3,900 TYV4 112/113.5/114/115.5 put condors ref 115-12
    • 2,600 TYV4 111.5/113.5/114/115.5 broken put condors
    • over 12,000 TYU4 115 calls 45 last
    • over -15,000 FVU4 109.5/110.5 call spds, 28-27 ref 109-30.5
    • 2,000 USU4 118 straddles
    • 2,000 TYU4 115.5/116 call spds ref 114-11
    • 5,000 TYU4 114.75/115 call spds, 6-7 ref 114-11
    • +8,000 wk2 TY 114.25/114.75 call spds vs. 113.75 put 0.0-1 cr
    • +10,000 wk2 TY 114.25/114.75 call spds vs. 113.5 puts, 2 net
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.