FREELAND: CANADA WON'T ESCALATE OR BACK DOWN ON US TRADE FIGHT

MNI: PBOC To Aim To Drive Inflation Higher- Advisors

MNI: China To Issue More Bonds As Stimulus Targets Consumption

MNI: PBOC To Aim To Drive Inflation Higher- Advisors

MNI: China To Issue More Bonds As Stimulus Targets Consumption

MNI BRIEF: China Nov M1 Decline Narrows, M2 Slows

EZ/UK T-Bill Calendar: 8/13/28/50-Week BTF Auction on Monday

EZ/UK Bond Supply Calendar: 4.125% Jul-29 Gilt Due on Tuesday

MNI: CANADA OCT WHOLESALE SALES +3.3%; EX-AUTOS +0.5%

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

US TSYS: Early SOFR/Treasury Option Roundup

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

Option desks reported mixed SOFR/Treasury option flow overnight, lighter volumes for now as market awaits economic data that culminates with Friday's employment report of September (est rising after yesterday's larger than expected ADP jobs gain). Underlying futures weaker, Tsys near this week's lows. SOFR White pack (SFRZ4-SFRU5) currently -0.010-0.030, while projected rate cuts look steady to mildly weaker vs. late Wednesday levels (*): Nov'24 cumulative -33.9bp (-33.8bp), Dec'24 -68.9bp (-69.9bp), Jan'25 -99.5bp (-100.4bp). Note, Wednesday's Treasury highlight trade was a buyer of over 60,000 wk2 FV midcurve puts that expire on Oct 11 - CME Group volume bulletin shows total volume of 128,104 with open interest rising 57,977 to 110,650.

  • SOFR Options:
  • Block, 2,500 SFRX4 96.12/96.25 call spds 2.25 vs. 95.945/0.10%
  • 6,100 SFRV4 96.18/96.25 call spds ref 95.955
  • 1,500 SFRX4 95.43/95.75 put spds vs. 96.00/96.12 call spd ref 95.955
  • 2,000 SFRZ4 95.81 puts, ref 95.955
  • Treasury Options:
  • 3,100 wk1 TY 113.5/114 put spds
  • 3,500 wk1 TY 113.75/114 put spds
  • over 3,700 TYX4 115 calls
  • 1,500 TYX4 112.5/114 put spds, 27 ref 114-08
  • 3,000 FVX4 110.25/111.5 1x2 call spds
  • 1,500 TUZ4 103.62 puts
170 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.

Option desks reported mixed SOFR/Treasury option flow overnight, lighter volumes for now as market awaits economic data that culminates with Friday's employment report of September (est rising after yesterday's larger than expected ADP jobs gain). Underlying futures weaker, Tsys near this week's lows. SOFR White pack (SFRZ4-SFRU5) currently -0.010-0.030, while projected rate cuts look steady to mildly weaker vs. late Wednesday levels (*): Nov'24 cumulative -33.9bp (-33.8bp), Dec'24 -68.9bp (-69.9bp), Jan'25 -99.5bp (-100.4bp). Note, Wednesday's Treasury highlight trade was a buyer of over 60,000 wk2 FV midcurve puts that expire on Oct 11 - CME Group volume bulletin shows total volume of 128,104 with open interest rising 57,977 to 110,650.

  • SOFR Options:
  • Block, 2,500 SFRX4 96.12/96.25 call spds 2.25 vs. 95.945/0.10%
  • 6,100 SFRV4 96.18/96.25 call spds ref 95.955
  • 1,500 SFRX4 95.43/95.75 put spds vs. 96.00/96.12 call spd ref 95.955
  • 2,000 SFRZ4 95.81 puts, ref 95.955
  • Treasury Options:
  • 3,100 wk1 TY 113.5/114 put spds
  • 3,500 wk1 TY 113.75/114 put spds
  • over 3,700 TYX4 115 calls
  • 1,500 TYX4 112.5/114 put spds, 27 ref 114-08
  • 3,000 FVX4 110.25/111.5 1x2 call spds
  • 1,500 TUZ4 103.62 puts