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CHINA DEC CAIXIN MANUFACTURING PMI 50.5 VS 51.5 IN NOV

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US EIA: CRUDE OIL STOCKS EX SPR -1.18M TO 415.6M DEC 27 WK

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MNI: US JOBLESS CLAIMS -9K TO 211K IN DEC 28 WK

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STIR: Midday SOFR Option Summary

STIR
BulletMarketsFixed Income Bullets
  • Mixed SOFR option trade still leaning towards low delta puts/put spds as underlying futures reverse course after this morning's bounce. Current projected cuts drift near this morning's levels (*): Nov'24 cumulative -23.0bp (-22.0bp), Dec'24 -40.5bp (-40.5bp), Jan'25 -57.6bp (-58.1bp).
  • +5,000 SFRJ5 95.62/95.87 put spds 6.25 ref 96.26
  • +10,000 SFRM5 95.87/96.00/96.12 put flys 1.0 ref 96.26
  • +5,000 0QZ4 95.37/95.50 put spds 0.375 ref 96.53
  • +8,000 SFRM5 97.12/97.50 call spds 4.5 ref 96.285
  • +30,000 SFRX4 95.06/95.31 put spds 0.5 ref 95.61
  • +15,000 SFRX4 96.00/96.25 call spds 0.5 95.605
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  • Mixed SOFR option trade still leaning towards low delta puts/put spds as underlying futures reverse course after this morning's bounce. Current projected cuts drift near this morning's levels (*): Nov'24 cumulative -23.0bp (-22.0bp), Dec'24 -40.5bp (-40.5bp), Jan'25 -57.6bp (-58.1bp).
  • +5,000 SFRJ5 95.62/95.87 put spds 6.25 ref 96.26
  • +10,000 SFRM5 95.87/96.00/96.12 put flys 1.0 ref 96.26
  • +5,000 0QZ4 95.37/95.50 put spds 0.375 ref 96.53
  • +8,000 SFRM5 97.12/97.50 call spds 4.5 ref 96.285
  • +30,000 SFRX4 95.06/95.31 put spds 0.5 ref 95.61
  • +15,000 SFRX4 96.00/96.25 call spds 0.5 95.605