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Late SOFR/Treasury Option Roundup: Turning Bullish
Still two-way, SOFR and Treasury options leaned bullish Friday as underlying futures surged higher following April jobs miss. Projected rate cut pricing surged after the data but has moderated slightly: June 2024 -10% w/ cumulative rate cut -2.5bp at 5.302%, July'24 at -28% vs. -34% (post data high) w/ cumulative at -9.5bp vs. -12.3bp (post data) at 5.233%, Sep'24 cumulative -22.1bp (-25.9bp post data), Nov'24 cumulative -31.7bp (-35.6bp earlier). Dec'24 cumulative currently -46.4bp vs. -54.7bp post data as two 25bp cut pricing moderates.
- SOFR Options:
- -21,000 SFRU4 94.62/95.00 2x1 put spds, 15.0 ref 94.915
- +10,000 SFRH5 96.25/97.75 call spds 13.5 vs. 95.395/0.18%
- +5,000 SFRH5 95.75/96.00 call spds 1.25 over 94.00/94.50 put spds ref 95.37
- +5,000 SFRU4 94.37/95.00/94.62/94.75 put condors 3.25 ref 94.90
- -5,000 SFRZ4 95.75/96.00 call spds 3.25 ref 95.21
- -8,000 SFRM4 94.68/94.75/94.81 put flys, 1.0
- +10,000 SFRU4 95.0/95.12/95.25 call ef 94.955
- Block/screen, -21,000 SFRU4 94.62/95.00 2x1 put spds, 15.0 ref 94.915
- Block, 5,000 SFRZ4 94.37/94.62/94.87 put flys, 5.5 ref 95.135
- Block, 5,000 SFRZ5 93.75/94.25/94.75 put flys, 4.0/checking direction but paper +47k Wed, +10k Thu, +50k Apr 18
- Block, 7,150 SFRU4 94.81/94.93/95.06 call flys, 2.5
- Block, 10,000 SFRH5 94.43/94.68 put spds, 4.5 ref 95.31
- 6,000 SFRZ4 93.25/94.50/94.56 broken put trees ref 95.075
- Block, 2,500 0QK4 95.00/95.12 put spds, 0.5 ref 95.49
- 3,000 0QM4 95.75/96.00/96.25 call flys ref 95.49
- Block, 5,000 0QK4 95.68/95.81 call spds, 2.0 ref 95.49
- 2,000 SFRZ4 94.37/94.62/94.87 put flys vs. 1,000 SFRZ 96.00 calls
- 2,000 SFRU4 94.62/94.75 put spds vs. 1,000 SFRU4 95.50 calls
- Block, 2,500 0QU4 94.50/95.00/95.50 1x4x2 put flys, 14.5 ref 95.65
- Treasury Options
- 33,000 TYM4 113 calls, 1 vs. 108-23.5/0.03% blocked at 1151:17ET
- 33,000 TYM4 112.75 calls 1 vs. 108-21/0.03% on the screen
- Block, -15,000 TYM4 111 calls, 5.5/splits ref 108-26
- 12,000 TYM4 106 put, 4 ref 108-25.5 at 1133:59ET
- +11,750 TYM4 105.5/111.5 call over risk reversals, 2
- 2,500 FVM4 103/103.5/104/104.5 put condors ref 105-12.5
- 1,500 TUN4 102.25/103 2x3 call spds vs. 3,000 TUN4 101.25 puts
- 2,500 TYN4 110/110.5/111.5/112 call condors ref 108-17
- 4,300 wk2 10Y 106.25 puts, 1 ref 108-08.5 expire next Fri
- 2,100 TYM4 109/110.5 call spds ref 108-10
To read the full story
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.