US TSYS: Early Eurodollar/SOFR/Treasury Option Roundup
Oct-07 11:46
Overnight trade roundup has better put volumes in 5- and 10Y Treasury options as underlying futures holding weaker ahead the Sep jobs report.
- Treasury Options:
- Block, 9,000 wk1 TY 110.75/111.25 put spds 8 ref 111-24.5
- 8,000 TYZ 111.5 puts, 132
- Block, 1,250 FVZ2 106.75/107.5/107.75 put trees on a 8x3x3 ratio
- 5,000 FVZ2 106.75 puts, 58.5 ref 107-04.5
- SOFR Options:
- 12,250 SFRH3 96.50/97.00 call spds ref 95.425
- 8,000 SFRF3 95.00/95.12 put spds, ref 95.45
- Eurodollar Options:
- 5,000 short Dec 95.62 calls, 8.0
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GILTS: 2Y Yields Drop Sharply Alongside 2023 BoE Hike Pricing
Sep-07 11:25
The 2Y UK bond yield has fallen as much as 25.2bp today following commentary by key BoE officials that has left a 50bp or 75bp hike next week "on a knife edge".
- That has cratered BoE pricing - while the September decision remains a close call, further out the strip we've seen more dramatic moves: June 2023 implied was 4.45% this morning, but It has dropped as far as 4.10%.
- Today's 2Y yield drop is being compared to the 25bp drop by the close on June 24, 2016 (post Brexit referendum). Before that you'd have to go to Feb 2009 for a bigger drop (just under 30bp).
- 2Y yields are now off 30bp from the post-2008 high set yesterday. To put this into perspective though, 2Y yields are still up 78bp vs a month ago, and traded with a 1-handle as recently as August 11th.
- And put into the context of broader short-end volatility (August saw two 20+bp daily moves) , today's drop looks more of a retracement after a sharp move higher than a fundamental change of direction.
SONIA: SONIA FIX - 07/09/22
Sep-07 11:16
- TISONI1M 2.1801 0.0150
- TISONI3M 2.5689 0.0103
- TISONI6M 3.1226 0.0195
- TISONI1Y 3.7630 0.0199
LIBOR: US FIX - 07/09/22
Sep-07 11:13
- US00O/N 2.31243 0.00143
- US0001M 2.70457 0.01971
- US0003M 3.19400 0.02614
- US0006M 3.75214 0.04185
- US0012M 4.18886 0.01829
