Free Trial

Scale Buyer Short-Term 10Y Call Spread, Sep Skew Play

US TSY OPTIONS
  • +32,000 TYN4 111 calls (expire next week Fri) 8.5-9.0 over the wk2 TY 111 calls (expiring tomorrow), ref 110-17.5.
  • Elsewhere, 10Y skew play for near even:
  • 4,000 TYU4 111/112.5 1x2 call spds vs. TYU 107/108/109 put trees
  • Meanwhile, underlying futures remain bid but off post-PPI/weekly claims highs, projected rate cuts better than pre-data release w/ near 50bp in cuts priced by year end again.
  • Rate cut projections vs. pre-PPI levels (*): July'24 at -10% (-14%) w/ cumulative at -2.5bp (-3.8bp) at 5.302%, Sep'24 cumulative -18.6bp (-17bp), Nov'24 cumulative -28.3bp (-25.5bp), Dec'24 -48bp (-44.4bp).
90 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.
  • +32,000 TYN4 111 calls (expire next week Fri) 8.5-9.0 over the wk2 TY 111 calls (expiring tomorrow), ref 110-17.5.
  • Elsewhere, 10Y skew play for near even:
  • 4,000 TYU4 111/112.5 1x2 call spds vs. TYU 107/108/109 put trees
  • Meanwhile, underlying futures remain bid but off post-PPI/weekly claims highs, projected rate cuts better than pre-data release w/ near 50bp in cuts priced by year end again.
  • Rate cut projections vs. pre-PPI levels (*): July'24 at -10% (-14%) w/ cumulative at -2.5bp (-3.8bp) at 5.302%, Sep'24 cumulative -18.6bp (-17bp), Nov'24 cumulative -28.3bp (-25.5bp), Dec'24 -48bp (-44.4bp).