MNI: US Consumers See Lower Inflation, Better Jobs - NY Fed

MNI BRIEF: Risks To Growth Evident, Await Dec Forecasts -Rehn

MNI China Daily Summary: Tuesday, November 12

MNI BRIEF: Prolonged Tightening If Expectations Worsen - BCB

MNI: PBOC Net Injects CNY107.2 Bln via OMO Tuesday

MNI: PBOC Sets Yuan Parity Higher At 7.1927 Tues; +1.32% Y/Y

EZ/UK Bond Supply Calendar: IT, UK, DE, PO Auction Wednesday

MNI: US REDBOOK: NOV STORE SALES +4.8% V YR AGO MO

MNI: CANADIAN SEP BUILDING PERMITS +11.5% MOM

AUSTRALIA: 2025 Election Outcome Looking More Uncertain According To Newspoll

MNI EXCLUSIVE: German Turmoil Dashes EU's Joint-Funding Hopes -Officials

FED: Powell's Time Looks Up, Replacement Could Be Less Willing To Cut Rates?

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

US TSYS: Early SOFR/Treasury Option Roundup: SOFR Calls

US TSYS
USGlobalBulletMarketsFixed Income BulletsRegionNorth America

Better call trade in SOFR options picking up in the last few minutes, underlying futures steady to mixed with the short end outperforming. SOFR White pack (SFRZ4-SFRU5) currently +0.005-0.010, while projected rate cuts coll slightly vs. late Monday levels (*): Nov'24 cumulative -34.4bp (-34.9bp), Dec'24 -70.5bp (-70.8bp), Jan'25 -101.9bp (-102.3bp).

  • SOFR Options:
  • Block, 5,000 SFRV4 95.93/96.00 call spds, 2.75 ref 95.98
  • Block, 3,676 SFRV4/SFRX4 96.12/96.25 call strip, 4.0 ref 95.98
  • 2,000 SFRZ4 95.50/95.62 put spds ref 95.98
  • 8,000 SFRV4 96.31/96.43 call spds ref 95.975
  • 3,000 SFRX4 96.06/96.18/96.31 call spds
  • Treasury Options:
  • 2,000 FVX4 110.5/111.0/111.5 2x1x1 call trees ref 110-02.25
91 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.

Better call trade in SOFR options picking up in the last few minutes, underlying futures steady to mixed with the short end outperforming. SOFR White pack (SFRZ4-SFRU5) currently +0.005-0.010, while projected rate cuts coll slightly vs. late Monday levels (*): Nov'24 cumulative -34.4bp (-34.9bp), Dec'24 -70.5bp (-70.8bp), Jan'25 -101.9bp (-102.3bp).

  • SOFR Options:
  • Block, 5,000 SFRV4 95.93/96.00 call spds, 2.75 ref 95.98
  • Block, 3,676 SFRV4/SFRX4 96.12/96.25 call strip, 4.0 ref 95.98
  • 2,000 SFRZ4 95.50/95.62 put spds ref 95.98
  • 8,000 SFRV4 96.31/96.43 call spds ref 95.975
  • 3,000 SFRX4 96.06/96.18/96.31 call spds
  • Treasury Options:
  • 2,000 FVX4 110.5/111.0/111.5 2x1x1 call trees ref 110-02.25