Free Trial

Overnight SOFR/Treasury Option Roundup

US TSYS
Carry-over SOFR Sep vol seller from Thursday, shifts down strike to 95.37 from 95.50. Otherwise modest two-way trade overnight w/better downside 5- and 10Y put volume as underlying pares small portion of Thu's post-CPI rally.
  • SOFR Options:
    • Blocks, -11,250 SFRU3 95.37 straddles, 82.0 (-34,750 SFRU3 95.50 straddles yesterday from 84.5-83.0)
    • 4,000 SFRZ2 95.75/95.87 call spds
  • Treasury Options:
    • 8,200 TYZ 109 puts, 3 ref 112-06.5
    • 6,250 TYZ 109.25 puts, 3 ref 112-06.5
    • 5,000 TYZ 113/114 call spds, 13 ref 112-11
    • 3,500 FVZ 108.5 calls ref 107-28
    • 1,300 FVZ 109/110 call spds, ref 107-25
    • 2,000 TYZ 110/111 put spds, 8 ref 95.485

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.