US TSYS: Early SOFR/Eurodollar/Treasury Option Roundup
Nov-02 13:13
Better put trade on net, modest volumes, however, with many sidelined ahead today's FOMC policy annc at 1400ET, Fed chair presser at 1430ET.
- SOFR Options:
- 2,000 SFRH3 96.50/96.75 call spds ref 95.005
- 3,000 SFRF 95.25/95.75 call spds ref 95.00
- Block, 2,000 SFRZ2 95.37/95.50/95.62/95.75 put condors, 5.0 ref 95.38
- Eurodollar Options:
- 8,000 Jun 94.75/95.25 put spds ref 94.735 to -.725
- Treasury Options:
- -5,000 TYZ2 109.25/111.75 strangles, 103-101
- 4,000 TYZ 108/109 2x1 put spds
- 1,750 TYZ2 106/107.75 put spds
- over 15,000 TYZ2 108.75/110 put spds vs. 112.5 calls
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
STIR: Effective Fed Funds Rate
Oct-03 13:09
New York Fed EFFR for prior session (rate, chg from prev day):
* Daily Effective Fed Funds Rate: 3.08%, no change, volume: $90B
* Daily Overnight Bank Funding Rate: 3.07%, no change, volume: $197B
OBFR volumes fall back with quarter-end.
Source: NY Fed
US TSYS: Rally Continues As TYZ2 Eyes Resistance
Oct-03 13:03
- Tsy yields attempt to push new session lows with the front-end and belly down -15bps and 10Y -13.5bps, as real yields tumble although remain within Friday's wide range (10Y real 1.56%, +16bp on a week ago).
- TYZ2 volumes remain below average, whilst a high of 112-27 closes on resistance at 112-30+ (Sep 23 high) after which sits the 20-day EMA of 113-30.
- It’s a large reversal of Friday’s quarter-end sell-off – 2YY clears Friday’s low – with the broad move potentially exacerbated by European bank concerns (the timing of the main Tsy rally lagged Bunds) on top of earlier underperformance to Gilts following the u-turn on 45% tax rate removal, and still most recently lagging further moves lower in EU yields.
BUNDS: Greek/Bund spread test 280.00bps
Oct-03 12:58
- Greek/Bund spread is now just over 10bps wider, and testing above 280bps.
- As noted on the open, main initial resistance is still seen further out, at 290.9bps, the 2022 peak, and widest since 19/03/20.
