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:AUSTRALIA NOV UNEMPLOYMENT RATE +3.9%

MNI: US NOV TREASURY BUDGET -$366.8B

EZ/UK Bond Supply Calendar: BTP Auction on Thursday

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 SOFR/Treasury Put Interest

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

​​Option desks report better downside SOFR & Treasury put interest overnight. Underlying futures weaker/near recent lows, short end outperforming as curves continue to climb to steepest levels since June 2022, 2s10s taps 19.226 high. Meanwhile, projected rate cuts into early 2025 cool slightly, latest vs. Monday afternoon levels (*) as follows: Nov'24 cumulative -38.5bp (-38.5bp), Dec'24 -74.4bp (-75.9bp), Jan'25 -108.0bp (-110.0bp).

  • SOFR Options:
  • -5,000 SFRZ4 96.00 calls, 15.0 vs. 96.03/0.53%
  • 4,000 2QV4 96.81/96.87 put spds ref 96.975
  • 3,000 3QZ4 95.75/96.50 3x2 put spds, 13.5-14.0 ref 96.845 to -.84
  • Treasury Options:
  • over 7,300 TYX4 113.5 puts, 23 ref 114-12
  • 3,000 FVX4 108.5/109.25 put spds 
  • 2,000 TYZ 112.5/114 put spds 
  • over 6,000 TYX4 113/114 put spds
  • +1,750 TYZ4 113.75/114/114.25 put trees, 2 ref 114-16.5
  • +6,500 wk4 TY 113.75/114.25 put spd, 8 vs. 114-11 to -12/0.08%
124 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 better downside SOFR & Treasury put interest overnight. Underlying futures weaker/near recent lows, short end outperforming as curves continue to climb to steepest levels since June 2022, 2s10s taps 19.226 high. Meanwhile, projected rate cuts into early 2025 cool slightly, latest vs. Monday afternoon levels (*) as follows: Nov'24 cumulative -38.5bp (-38.5bp), Dec'24 -74.4bp (-75.9bp), Jan'25 -108.0bp (-110.0bp).

  • SOFR Options:
  • -5,000 SFRZ4 96.00 calls, 15.0 vs. 96.03/0.53%
  • 4,000 2QV4 96.81/96.87 put spds ref 96.975
  • 3,000 3QZ4 95.75/96.50 3x2 put spds, 13.5-14.0 ref 96.845 to -.84
  • Treasury Options:
  • over 7,300 TYX4 113.5 puts, 23 ref 114-12
  • 3,000 FVX4 108.5/109.25 put spds 
  • 2,000 TYZ 112.5/114 put spds 
  • over 6,000 TYX4 113/114 put spds
  • +1,750 TYZ4 113.75/114/114.25 put trees, 2 ref 114-16.5
  • +6,500 wk4 TY 113.75/114.25 put spd, 8 vs. 114-11 to -12/0.08%