US TSYS: Early SOFR/Treasury Option Roundup
Jun-08 11:14
Better downside put trade overnight, particularly in Jul'23 and Aug'23 5Y puts, as underlying futures continue to trade lows, 10Y yield climbs to 3.8148% high. Fed funds pricing in appr 38.8% chance of a 25bp hike next week, July OR Sep closer to pricing in a full hike: 91.2% and 80.0% respectively, while year end rate cut chances near 0%.
- SOFR Options:
- 5,000 SFRM3 94.68/94.75/94.81 put flys, ref 94.73
- 5,000 OQM3 95.25/95.50 put spds ref 96.195
- 4,500 OQM3 95.62 puts ref 95.785
- 1,500 SFRN3 94.56/94.75/94.87 put flys,
- Treasury Options:
- over 8,000 TYN3 112 puts, 19 ref 113-00
- 1,500 TYN3 118 calls, 1 ref 112-31.5
- 2,000 TYN3 117.5 calls, 2 ref 113-03
- over 6,600 FVN3 107.75 puts ref 108-06.25
- Block, 10,000 FVQ3 108 puts, 27 vs. 108-06.25/0.50%
- over 5,400 TYQ3 112 puts, 43 ref 113-03.5
- Block, 10,000 FVN3 108 puts, 29 ref 108-04.5
- Block, 10,000 FVQ3 107.25 puts, 30 ref 108-04.75
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EQUITIES: Large EU Bank stock option trades again
May-09 11:05
SX7E (16th June) 110c, bought for 0.60 in 6k. Total 42.75k.
LIBOR: US FIX - 09/05/23
May-09 10:57
- US00O/N 5.06143 0.00157
- US0001M 5.10571 0.00128
- US0003M 5.33914 0.00228
- US0006M 5.38986 0.03700
- US0012M 5.29800 0.09829
OUTLOOK: Price Signal Summary - Recent Pullback In Bunds Considered Corrective
May-09 10:49
- In the FI space, Bund futures trend conditions remain bullish and the recent pullback still appears to be a correction. A resumption of gains would open 137.55, the 61.8% retracement of the Mar 20 - Apr 19 bear leg. Clearance of this level would expose 138.09, the Apr 6 high. On the downside, initial firm support is at 135.21, Monday’s low. An extension lower would signal scope for weakness towards 134.35, the May 2 low.
- Gilt futures maintain a short-term bullish tone despite the most recent pullback. Resistance at the 20-day EMA which intersects at 101.84, has been breached and a resumption of gains would open 102.63, 38.2% of the Mar 20 - Apr 19 bear leg. A break of this retracement would strengthen bullish conditions. On the downside, key support and the bear trigger to watch is at 99.73, the Apr 19 low. A break would resume the downtrend that started Mar 20.
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