SOFR OPTIONS: Large Dec'25 SOFR Put Condor Spread & Midcurve Call Spread
Aug-05 17:24
+20,000 SFRZ5 96.25/96.37/96.50/96.62 put condors vs. 95.75/95.87/96.00/96.12 put condor, .25 net
-8,000 0QZ5 97.25/97.50 call spds, 5.62 ref 96.95
US TSYS/SUPPLY: Review 3Y Note Auction: Another Small Tail
Aug-05 17:03
Treasury futures remain weaker, little react after $58B 3Y note auction (91282CNU1) tails yet again: drawing 3.669% high yield vs. 3.662% WI; 2.53x bid-to-cover vs. 2.51x prior.
Peripheral stats see indirect take-up slips to 53.99% vs. 54.11% prior; direct bidder take-up 28.13% from 29.38% prior; primary dealer take-up rises to 17.88% vs. 16.51% prior.
The next 3Y auction is tentatively scheduled for September 9.
FED: US TSY 3Y NOTE AUCTION: HIGH YLD 3.669%; ALLOTMENT 72.30%
Aug-05 17:02
US TSY 3Y NOTE AUCTION: HIGH YLD 3.669%; ALLOTMENT 72.30%
US TSY 3Y NOTE AUCTION: DEALERS TAKE 17.88% OF COMPETITIVES
US TSY 3Y NOTE AUCTION: DIRECTS TAKE 28.13% OF COMPETITIVES
US TSY 3Y NOTE AUCTION: INDIRECTS TAKE 53.99% OF COMPETITIVES