MNI: PBOC Net Injects CNY28.8 Bln via OMO Thursday

MNI: PBOC Sets Yuan Parity Higher At 7.1854 Thurs; -1.13% Y/Y

MNI BRIEF: Ontario To Cut U.S. Energy Flows When Tariffs Hit

MNI: BRAZIL'S COPOM RAISES SELIC RATE BY 100BPS TO 12.25%

MNI BRIEF: US Budget Deficit $367B In Nov; FYTD Record $624B

MNI China Daily Summary: Wednesday, December 11

MNI: SWEDEN FINAL NOV CPIF +1.8% Y/Y

MNI:AUSTRALIA NOV UNEMPLOYMENT RATE +3.9%

MNI: US NOV TREASURY BUDGET -$366.8B

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

AUSTRALIA: 2025 Election Outcome Looking More Uncertain According To Newspoll

© 1982-2024 MNI. All rights reserved.
Terms | Privacy
Log Out
Free Trial

SOFR/Treasury Option Roundup

US TSYS

SOFR put trade gathered momentum as weaker underlying took cues from EGBs following hawkish ECB Holzmann comments: "SHOULDN'T COUNT ON RATE CUTS AT ALL IN 2024" Bbg. Better call trade on lighter volumes overnight. Projected rate cuts for the first half of 2024 receded slightly: January 2024 cumulative -1.1bp at 5.318%, March 2024 chance of rate cut -71.2% vs. -77% late Friday w/ cumulative of -18.9bp at 5.139%, May 2024 still fully pricing in 25bp cut now, cumulative -47bp at 4.859%. June 2024 cumulative -78.1bp at 4.548%. Fed terminal at 5.3275% in Jan'24.

  • SOFR Options:
    • Block 5,000 SFRU4 96.00/96.50 call spds 3.5 over 2QU4 97.12/97.62 call spds
    • 4,625 SFRH4 95.25 puts vs. 96.75/97.00 call spd ref 96.59
    • 5,000 SFRZ4 97.75/98.00 call spds ref 96.31
    • 6,000 SFRH4 95.00/96.00 1x2 call spds
    • 2,500 SFRM4 94.75/95.00 2x1 put spds
    • 7,000 SFRH4 95.12/95.37 1x2 call spds
    • 22,000 SFRM4 95.25/95.50/95.75 put trees
    • 10,600 2QJ4 95.75/96.00/96.25 put trees
    • 9,000 SFRH4 95.12 calls ref 94.98/0.32%
    • 2,000 SFRH4 95.00/95.12/95.25/95.37 call condors ref 94.98
    • 4,000 SFRZ4 96.50 calls ref 96.32/0.38%
    • 5,000 0QH4 96.87/97.37 call spds 9.5 ref 96.645/0.19%
    • 2,000 0QM4 96.00/96.25 put spds ref 96.765/0.09%
    • 2,500 SFRJ4 95.25/95.37/95.50 put flys
    • 2,000 SFRJ4 95.87/96.00/96.12 call flys ref 95.535
  • Treasury Options:
    • 3,000 wk3 TY 111.75 puts, 8 ref 112-09
    • over 9,000 TYG4 111 puts, 6 last
    • 4,000 TYG4 114 calls, 6 last
    • 2,000 FVG4 109.25 calls, 10.5 ref 108-19.75
BulletMarketsFixed Income BulletsHomepage
BulletMarketsFixed Income BulletsHomepage

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.