BOE: APF schedule to be confirmed at 16:30GMT
Dec-19 16:22
We don't expect any surprises to the indicative plan of 2 short ops, 2 medium ops and 1 long op in Q...
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OPTIONS: Larger FX Option Pipeline
Nov-19 16:20
- EUR/USD: Nov21 $1.1500(E1.4bln), $1.1675-80(E1.2bln); Nov25 $1.1625(E1.4bln)
- AUD/USD: Nov21 $0.6550(A$2.3bln)
- USD/CAD: Nov21 C$1.3950-70($1.3bln)
SOFR OPTIONS: Early-Mid 2026 Rate Cut Hedges/Position Build
Nov-19 16:15
Underlying futures currently firmer - near mid-range with markets awaiting FOMC minutes from the Oct meeting this afternoon. Projected rate cut pricing has receded from this morning's levels (*): Dec'25 steady at -12bp, Jan'26 at -21.6bp (-22.1bp), Mar'26 at -32.6bp (-33.4bp), Apr'26 at -40.1bp (-41.1bp). Recent call condor buying hedging an additional 25-50bp in rate cuts from March-June 2026:
- Update, appr +40,000 SFRM6 96.75/97.12/97.25/97.62 call condors, 5.5-5.75 ref 96.665
- Update, over +20,000 SFRH6 96.50/96.62/97.00/97.12 call condors, 0.75 ref 96.41
FED: US TSY 17W AUCTION: NON-COMP BIDS $482 MLN FROM $69.000 BLN TOTAL
Nov-19 16:15
- US TSY 17W AUCTION: NON-COMP BIDS $482 MLN FROM $69.000 BLN TOTAL
