US TSYS: Early SOFR/Treasury Option Roundup
Jun-07 11:06
- Overnight option trade remains mixed on light volumes. Checking details of latest Dec'23 SOFR call package. Underlying futures firmer but on low end of overnight range. Salient trade:
- SOFR Options:
- 3k SFRZ 96.25 and 96.75 calls vs. 1,500 SFRZ3 97.00 and 97.50 calls
- 1,000 SFRZ3 94.62/96.00 strangles ref 95.05
- 2,000 SFRN3 94.93 calls ref 94.79
- 2,000 SFRQ3 93.12 puts, .5 ref 94.80
- 1,500 SFRH3 94.50/94.75 put spds ref 95.475
- 3,650 SFRM3 94.75/94.81/94.87 put flys, ref 94.75
- 1,500 SFRM3 94.50/94.68 call spds, ref 94.75
- Treasury Options:
- over 4,000 TYQ3 114 calls, 104 last
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SCHATZ: Block trade
May-08 11:04
Schatz block trade, suggest seller:
- DUM3 11.15k at 105.795
STIR FUTURES: SOFR Futures Update
May-08 10:47
SOFR futures are trading broadly lower across the strip, Front month Jun'24 SOFR futures currently trading -0.010 at 94.95 well after 3M SOFR settled +0.03345 to 5.007218 (-.04259 total last wk). The balance of White-Red SOFR futures (SFRU3-SFRH5) are currently trading -0.055-0.025, the balance of the strip trading -0.025-0.005.
- Fed funds implied move for the next FOMC on June 14 is static at +1.5bp, while projected rate cuts for late 2023 are paring back from last week's highs: November cumulative -46.8bp (-58.7bp last wk) at 4.600, Dec'23 cumulative -70.3bp (-84.3bp last wk) at 4.364, while Jan'24 cumulative is under a full point at -93.5bp at 4.133. Fed Terminal currently at 5.075% in Jun'23 this morning.
USD: Cable targets the May 2022 high
May-08 10:47
- One pip at a time for the Aussie, AUDUSD still targets 0.6800 and the key initial resistance at 0.6806, the top of the traded range since February.
- Cable targets immediate resistance at 1.2667, the May 2022 high.
