MNI: China CFETS Yuan Index Up 0.62% In Week of Jan 3

MNI: PBOC Net Drains CNY75.0 Bln via OMO Monday

MNI: PBOC Sets Yuan Parity Lower At 7.1876 Mon; -2.27% Y/Y

MNI China Daily Summary: Friday, January 3

MNI China Press Digest Jan 3:RRR Cut Mooted, Yuan, Consumption

MNI BRIEF: Beijing Boosts Consumer Trade-ins To Cellphones

US EIA:NAT GAS STORAGE -116 BCF TO 3,413 BCF JAN 03 WK

MNI: US ISM DEC MANUF PURCHASING MANAGERS INDEX 49.3

MNI: UK NOV M4 MONEY SUPPLY +0% M/M, +2.9% Y/Y

MNI EXCLUSIVE: EU-Mercosur Deal Close, But Likely Short-Lived - Officials

AUSTRALIA: 2025 Election Outcome Looking More Uncertain According To Newspoll

© 1982-2025 MNI. All rights reserved.
Terms | Privacy
Log Out
Free Trial

US TSYS: Late SOFR/Treasury Option Roundup: Turning Bullish

US TSYS
USBulletMarketsFixed Income BulletsNorth America

SOFR & Treasury option flow turned bullish, albeit on light pre-holiday volumes, well before the post-auction rebound in rates. Call buyers and put unwinds reported as underlying futures trade back to overnight levels, 10Y yield at 4.7578% after climbing to late Aptil levels at 4.8160% this morning. Curves mildly steeper with short end rates outperforming (2s10s now at 25.174 vs. 23.991 low), while projected rate cuts into early 2025 look steady to slightly lower vs. this morning (*) as follows: Jan'25 steady at -2.1bp, Mar'25 at -12.6bp (-11.7bp), May'25 -17.2bp (-16.7bp), Jun'25 -24.6bp (-23.1bp).

  • SOFR Options:
    • +10,000 0QZ5 96.25/96.75/97.25/97.75 call condors 4.25 over SFRZ5 96.50/97.00/97.50/98.00 call condors
    • +2,000 0QF5 96.25/96.31 call spds, 0.5 ref 95.925/0.05%
    • +2,000 SFRM5/SFRU5 97.00 call spds 4.25 
    • +1,000 3QF5 96.00 straddle 21.5 ref 95.925
    • 3,100 SFRF5 95.56/95.62/95.68 put flys
  • Treasury Options:
    • -5,000 TYF5 108/108.5 put strip, 23
    • 3,400 TYF5 107.75/108 put spds, 2 ref 108-11
    • 4,000 FVF5 106.25/106.5 call spds, 1 ref 105-31.5
    • 2,500 TYH5 106/111 strangles, 38 ref 108-10
    • 6,000 TYF5 108.5/108.75/109/109.25 call condors
    • Block, 6,000 TYF5 108.5 puts, 13 ref 108-15, 8,200 total, 11 last
    • 26,000 TYG5 107.5/108.5 put spds, 24 ref 108-16.5
    • 1,700 USF5 112 puts, 2 ref 113-18
182 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 & Treasury option flow turned bullish, albeit on light pre-holiday volumes, well before the post-auction rebound in rates. Call buyers and put unwinds reported as underlying futures trade back to overnight levels, 10Y yield at 4.7578% after climbing to late Aptil levels at 4.8160% this morning. Curves mildly steeper with short end rates outperforming (2s10s now at 25.174 vs. 23.991 low), while projected rate cuts into early 2025 look steady to slightly lower vs. this morning (*) as follows: Jan'25 steady at -2.1bp, Mar'25 at -12.6bp (-11.7bp), May'25 -17.2bp (-16.7bp), Jun'25 -24.6bp (-23.1bp).

  • SOFR Options:
    • +10,000 0QZ5 96.25/96.75/97.25/97.75 call condors 4.25 over SFRZ5 96.50/97.00/97.50/98.00 call condors
    • +2,000 0QF5 96.25/96.31 call spds, 0.5 ref 95.925/0.05%
    • +2,000 SFRM5/SFRU5 97.00 call spds 4.25 
    • +1,000 3QF5 96.00 straddle 21.5 ref 95.925
    • 3,100 SFRF5 95.56/95.62/95.68 put flys
  • Treasury Options:
    • -5,000 TYF5 108/108.5 put strip, 23
    • 3,400 TYF5 107.75/108 put spds, 2 ref 108-11
    • 4,000 FVF5 106.25/106.5 call spds, 1 ref 105-31.5
    • 2,500 TYH5 106/111 strangles, 38 ref 108-10
    • 6,000 TYF5 108.5/108.75/109/109.25 call condors
    • Block, 6,000 TYF5 108.5 puts, 13 ref 108-15, 8,200 total, 11 last
    • 26,000 TYG5 107.5/108.5 put spds, 24 ref 108-16.5
    • 1,700 USF5 112 puts, 2 ref 113-18