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

US TSYS: Early SOFR/Treasury Option Roundup: Better Puts, Underlying Pressed

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

Option desks report mixed SOFR/Treasury options overnight, leaning towards downside puts in the former as underlying futures come under pressure. Dec'24 trades down to Friday's low (SFRZ4 95.985), rebounds to 96.01 last (-0.040) amid chunky SFRZ4/SFRZ5 spreads (scree, Blocked). Month/quarter end, swap flows also cited. SOFR White pack (SFRZ4-SFRU5) currently -0.040-0.055, while projected rate cuts into early 2025 receding vs. late Friday levels (*): Nov'24 cumulative -35.1bp (-38.5bp), Dec'24 -71.4bp (-76.8bp), Jan'25 -103.4bp (-109.5bp). Salient trade includes:

  • SOFR Options:
  • over 28,000 SFRX4 95.81/95.93 put spds ref 96.005
  • 2,500 SFRV4 95.75/95.81/95.87 put trees ref 96.00
  • 5,000 SFRV4 96.06/96.25 call spds ref 95.995
  • Block, 15,000 SFRV4 96.12/96.18 call spds 1.25 vs. 96.005/0.07%
  • 3,000 SFRX4 96.12/96.25/96.31/96.43 call condors ref 95.985
  • Block, 3,000 SFRH5 95.43/95.50 put spds 0.5 vs. 96.51/0.05%
  • 1,000 SFRZ4 95.68/95.75/95.75 & SFRZ4 95.75/95.81/95.93 2x3x1 put flys
  • Block/screen, 15,000 SFRZ4 95.25/95.75/96.25 put flys, 25.0 ref 95.995 to 96.00
  • Block, 5,000 SFRH5 96.50/97.00 call spds vs. 2QH5 97.50/98.00 call spds, 9.0 net steepener
  • Block/screen 13,000 SFRV4 96.18/96.25 call spds
  • 4,000 0QZ4 96.50 puts, 4.0 ref 97.085
  • Treasury Options:
  • 3,000 TYX4 115/116/117 call flys ref 114-15.5
  • 2,300 TYX4 113 puts, 10 last
  • 3,000 Wednesday wkly 10Y 114 puts, 3 ref 114-16.5
181 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 report mixed SOFR/Treasury options overnight, leaning towards downside puts in the former as underlying futures come under pressure. Dec'24 trades down to Friday's low (SFRZ4 95.985), rebounds to 96.01 last (-0.040) amid chunky SFRZ4/SFRZ5 spreads (scree, Blocked). Month/quarter end, swap flows also cited. SOFR White pack (SFRZ4-SFRU5) currently -0.040-0.055, while projected rate cuts into early 2025 receding vs. late Friday levels (*): Nov'24 cumulative -35.1bp (-38.5bp), Dec'24 -71.4bp (-76.8bp), Jan'25 -103.4bp (-109.5bp). Salient trade includes:

  • SOFR Options:
  • over 28,000 SFRX4 95.81/95.93 put spds ref 96.005
  • 2,500 SFRV4 95.75/95.81/95.87 put trees ref 96.00
  • 5,000 SFRV4 96.06/96.25 call spds ref 95.995
  • Block, 15,000 SFRV4 96.12/96.18 call spds 1.25 vs. 96.005/0.07%
  • 3,000 SFRX4 96.12/96.25/96.31/96.43 call condors ref 95.985
  • Block, 3,000 SFRH5 95.43/95.50 put spds 0.5 vs. 96.51/0.05%
  • 1,000 SFRZ4 95.68/95.75/95.75 & SFRZ4 95.75/95.81/95.93 2x3x1 put flys
  • Block/screen, 15,000 SFRZ4 95.25/95.75/96.25 put flys, 25.0 ref 95.995 to 96.00
  • Block, 5,000 SFRH5 96.50/97.00 call spds vs. 2QH5 97.50/98.00 call spds, 9.0 net steepener
  • Block/screen 13,000 SFRV4 96.18/96.25 call spds
  • 4,000 0QZ4 96.50 puts, 4.0 ref 97.085
  • Treasury Options:
  • 3,000 TYX4 115/116/117 call flys ref 114-15.5
  • 2,300 TYX4 113 puts, 10 last
  • 3,000 Wednesday wkly 10Y 114 puts, 3 ref 114-16.5