US TSYS: Early SOFR/Eurodollar/Treasury Option Roundup
Nov-16 13:38
Large SOFR Red Dec'23 call spd leads volume:
- SOFR Options:
- +25,000 SFRZ3 96.00/97.50 call spds, 30-30.5
- 2,000 SFRG 95.18/95.31/95.43 call flys ref 95.14
- Block, 2,500 Green Mar'23 97.00 calls, 25.0 vs. 96.805/0.40%
- 2,000 short Mar 94.00/94.50/95.50 broken put flys
- Eurodollar Options:
- 4,000 short Jun 98.87/99.12 call spds, ref 96.075
- Treasury Options:
- 5,000 TYZ 109 and 108.5 puts at 1
- 2,500 TYZ 113.75 calls, 9 ref 112-20
- 4,000 TYF 114/116 call spds ref 112-19.5
- 3,800 TYF 116.5 calls, 12 ref 112-21
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STIR: BLOCK, SOFR Calls
Oct-17 13:18
- 10,000 SFRH3 96.25 calls, 6.0 ref 95.12 at 0910:00ET
EQUITIES: US Cash opening calls
Oct-17 13:18
Early US Cash open calls, with Future extending, there's upside risk.
Fair value opens:
- SPX: 3,648.8 (+1.8%)
- DJIA: 30,075 (+1.5%/+440pts)
- NDX: 10,928.8 (+2.2%).
STIR: Effective Fed Funds Rate
Oct-17 13:05
FRBNY EFFR for prior session:
- Daily Effective Fed Funds Rate: 3.08% volume: $110B
- Daily Overnight Bank Funding Rate: 3.07% volume: $287B
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