US TSYS: Early Eurodollar/SOFR/Treasury Option Roundup
Oct-20 13:55
Mixed low delta trade so far, puts ongoing while upside calls looking for a bounce in the underlying, particularly Dec expirys as futures price in two more 75bps hikes by year end.
- SOFR Options:
- +6,000 SFRF3 95.37/95.62 call spds, 4.75
- Block, 4,750 SFRX2 95.31/95.43/95.56 put flys, 2.5 after 2x5x3 Block
- Block, 1,666 x3 short Jun 95.25/95.50 put spds vs. 96.75/97.50 3x4 call spds
- Block, 1,250 SFRZ2 95.31/95.43/95.56 2x5x3 call flys, 1.0 net/wings over
- Eurodollar Options:
- +10,000 EDZ2 97.00 calls, 18.0 vs. 95.07/0.12%
- +4,000 EDU4 98.00/99.00 1x2 call spds, 2.5
- +8,000 EDZ2 94.50 puts, 1.75 ref 94.84/0.08%
- Treasury Options:
- Block, 7,500 TYH3 110 puts, 227 ref 110-05.5
- Block, 5,000 TYZ2 106/108 put spds, 26 ref 109-28.5, more on screen
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CANADA: Lowest Can-US 2Y Yield Differential Since 2019
Sep-20 13:55
- 2Y GoCs have limited the post-CPI rally to ~8bps from almost 12bps initially to leave them -4bp on yesterday’s close.
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- In doing so it further removes a supporting factor for CAD, evidenced by the recent break higher in USDCAD.
Can-US yield differential for 2Y (white) and 10Y (yellow) yieldsSource: Bloomberg
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RXX2 138/144 RR, bought the put for 9.5 in 3k
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