EURIBOR OPTIONS: 0RG6 97.87 Calls Sold
Jan-29 13:16
0RG6 97.87 calls vs. 97.925 10.5K given at 6.25....
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STIR: Repo Reference Rates
Dec-30 13:14
- Secured Overnight Financing Rate (SOFR): 3.77% (+0.01), volume: $3.346T
- Broad General Collateral Rate (BGCR): 3.75% (+0.01), volume: $1.325T
- Tri-Party General Collateral Rate (TCR): 3.75% (+0.01), volume: $1.293T
- (rate, volume levels reflect prior session)
EGB OPTIONS: RXG6 126.50/126.00 Put Spread Lifted
Dec-30 13:11
RXG6 126.50/126.00 put spread paper paid 10 vs 127.53 on 7.2K.
US TSYS: Early SOFR/Treasury Option Roundup: Treasury Puts
Dec-30 13:09
Better Treasury put flow on net overnight, light overall volumes ahead this morning's data & Dec FOMC minutes this afternoon. Scant SOFR option flows. Underlying futures modestly weaker while projected rate cut pricing cools slightly vs. late Monday levels (*): Jan'26 at -4bp, Mar'26 at -13.6bp (-14.2bp), Apr'26 at -20.5bp (-21bp), Jun'26 at -34.4bp (-35.8bp).
- SOFR Options:
- 4,600 SFRF6 97.00 calls
- Treasury Options:
- 1,500 Mon wkly TY 112/112.25 3x2 put spds, 3 net ref 112-18.5 (exp 1/5)
- 4,800 wk2 US 114/114.5 put spds, 3 net ref 115-17 (exp 1/9)
- +1,000 TYG6 111.5/112/112.5 put trees, 6 vs. 112-16.5/0.05%
- -1,000 TYG6 113 calls, 23 vs. 112-24.5/0.42%
- 1,900 TUG6 104.37 puts ref 104-13.12
- +1,250 TYG6 111/112 put spd vs. 114 calls, 4 net vs. 112-30.5/0.05%
- +5,000 TYH6 111/112 put spd vs. 114 calls 3cr net
- -1,000 FVG6 108.5 puts, 2.5
