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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.
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Free AccessPost-FOMC SOFR/Treasury Option Roundup
Heavy FI option trade reported Thursday, two-way positioning that favored upside/rate cut insurance amid a strong carry-over bid for Tsys Thursday after the FOMC held rates steady and acknowledged inflation has eased Wednesday. Not only did 10Y yield fall below 4.0% this morning, but under 3.9% by midday -- to 3.8835% at midday (5 month lows) as market as markets fully price in the first rate cut at the March 20, 2024 FOMC.
Projected rate cuts for early 2024 gained momentum: January 2024 cumulative -5bp at 5.283%, March 2024 chance of rate cut climbs to -81.9% vs. -62% late Wednesday w/ cumulative of -25.5bp at 5.078%, May 2024 fully pricing in the first cut with cumulative -50.8bp at 4.824%, June'24 cumulative -76.8bp at 4.565%. Fed terminal at 5.33% in Feb'24.
- SOFR Options:
- Block, 10,000 SFRU4 95.25 puts, 22.0 ref 95.80
- +20,000 SFRF4 95.00/95.12/95.25 call flys, 2.25
- Block, 14,000 SFRH4 94.93/95.06/95.18 call flys, 1.75 ref 95.00
- Block, 10,650 SFRF4 94.84/94.93/95.00 put flys, 1.75 ref 94.995
- over 20,000 SFRH4 94.75/94.87 /95.00 call flys ref 94.99
- 3,000 SFRH4 94.87/95.37/95.87 call flys ref 94.98
- 3,000 SFRH4 94.68/94.81/94.87/94.93 put condors ref 94.985
- Block, 5,000 SFRU4 95.75/96.00/96.25 call flys, 2.0 ref 95.905
- Block, 4,000 SFRJ4 95.12/95.25/95.37 put flys, 1.0 ref 95.495
- Block, 5,500 SFRG4 94.68/94.75 call spread, 5.25 ref 95.015 at 0617:16ET. Same spread crossed earlier 5.0 over the SFRG4 94.37 puts.
- 1,500 SFRH4 94.37/94.62/94.75 broken put flys
- 2,000 SFRK4 94.62/94.75 put spds vs. SFRK4 95.37/95.50 call spds
- 3,750 SFRG4 94.75/94.87 put spds ref 95.025
- 7,500 0QG4 97.00/97.25 call spds ref 96.515
- 4,000 0QH4 97.50/98.00 call spds ref 96.525
- 6,000 SFRH4 94.50 puts, 0.5 ref 95.02
- 4,000 SFRU4 97.00/97.50 call spds ref 95.90
- Block/screen 11,000 SFRM4 97.00/97.50 call spds, 2.0 ref 95.48
- Block, 2,000 SFRM4 96.50/97.50 call spds, 5.5 ref 95.455
- 5,600 SFRZ3 94.62 calls, .75-1.0 ref 94.63 to -.635
- 1,800 0QH4 95.75/96.00 put spds vs. 0QH4 96.62/97.12 call spds ref 96.435
- Treasury Options:
- 10,000 TYG4 109.5/110/111/112 2x2x1x1 put condors, 23
- Block/screen, over -26,000 FVF4 107.5 calls from 62 (13k block) to 1-00 (screen)
- +15,000 TYG4 110.5/112 2x1 put spds, 11 ref 112-16.5 to -17
- +11,000 wk5 TY 113/114/115 call flys from 9-8
- +8,000 FVF4 108 calls 47 over the FVF 106/107 put spd
- +25,000 TYF4 111/114 call over risk reversals 47 vs. 112-16.5
- 5,000 TYF4 112.5 calls, 35 ref 112-15.5
- 6,000 TYF4 112 calls, 55 ref 112-15.5
- 3,000 FVG4 107.75/108.25 call spds ref 108-15 to -14.75
- 6,200 TYF4 111 calls, 129-130 ref 112-15.5
- 2,000 TYH4 114/115 call spds, 15 ref 112-06.5
- Block, 5,000 TYF4 111.25 calls, 63 ref 112-01.5
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.