SONIA: Call fly buyer
Nov-24 11:57
- SFIM4 94.90/95.05/95.20c fly, bought for 1 in 5k.
- Most notable option flow this week in Sonia has been call condor buyers.
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OPTIONS: Larger FX Option Pipeline
Oct-25 11:40
- EUR/USD: Oct26 $1.0525-40(E1.4bln), $1.0595-00(E1.0bln); Oct27 $1.0535-40(E1.2bln), $1.0650(E1.0bln)
- USD/JPY: Oct26 Y150.00-20($1.6bln); Oct27 Y150.00($3.0bln); Oct30 Y149.50($1.0bln)
- GBP/USD: Oct26 $1.2185-90(Gbp1.1bln)
- AUD/USD: Oct30 $0.6140-50(A$1.8bln)
- USD/CNY: Oct27 Cny7.3000($1.1bln)
US TSYS: Early SOFR/Treasury Option Roundup
Oct-25 11:19
Mixed SOFR/Treasury option trade overnight on light volume. Reminder, Nov serial Tsy options expire Friday. Underlying futures weaker, near modest overnight lows - but inside Tuesday's range. Projected rate hikes into early 2024 gain slightly: November holding at 1.6%, w/ implied rate change of +.4bp to 5.333%, December cumulative of 7.3bp at 5.402%, January 2024 cumulative 10.9bp at 5.438%, March 2024 at 6.9bp at 5.398%. Fed terminal at 5.440% in Feb'24.
- SOFR Options:
- 4,000 0QZ3 95.25/95.50/95.75 call flys ref 95.335
- Block, 4,000 0QZ3 95.62/96.00/96.37 call flys, 3.5 vs. 95.365/0.07%
- 2,600 SFRM4 94.37/94.50 put spds vs. 94.75/94.87 call spds
- Treasury Options: (Reminder, Nov serial Tsy options expire Friday)
- 3,000 TYZ3 106 straddles ref 106-05.5
- 2,000 USZ3 113/115/117/119 call condors
- 10,000 TYX3 105.5/105.75 put spds
US TSY FUTURES: BLOCK, Dec'23 5Y Buy
Oct-25 11:14
- +5,000 FVZ3 104-13, buy through 104-12.75 post time offer at 0658:52ET, DV01 $212,000. Contract trades 104-12 last (-3)
