US TSYS: Early SOFR/Treasury Option Roundup
Jul-21 11:58
Better interest in SOFR put structures ahead the open, underlying futures weaker in the short end as rate hike projections through year end gain slightly.
- SOFR Options:
- Block/screen 6,000 OQV3 95.00/95.37/95.75/96.00 put condors, 6.5 net
- 4,000 OQQ3 95.50/2QQ3 96.31 put spds
- 6,000 OQU3 95.25/95.62 put spds vs. 2QU3 96.00/96.37 put spds (similar conditional bear curve flatteners in Oct and Dec expiries traded Wednesday)
- Treasury Options:
- 1,000 TYQ3 112.25 straddles, 18 ref 112-06.5
- 1,200 TYU3 112/113 call spds ref 112-04.5
- 1,500 TYU3 109.5/110.5/111.5put flys ref 112-07.5
- 4,000 TYU3 110.5/111.5 2x1 put spds
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US TSY OPTIONS: 5Y Ratio Put Calendar Spread
Jun-21 11:58
- 3,500 FVXN3 107.5 puts vs. 1750 FVQ3 107.25 puts, 6.5 net on the 2x1 ref 107-28
US TSYS: What to Watch: Chairman Powell Takes Center Stage
Jun-21 11:53
- With the sole data release out of the way (MBA Mortgage App: +0.5% vs. 7.2% prior), attention turns to Fed Chairman Powell semi-annual testimony House Services Panel at 1000ET, though it's unlikely Chair Powell will deviate from last week's policy messaging.
- We would expect questions on the inflation outlook, but also on the prospects of a recession, the state of the banking sector (and the Fed's role as both supervisor and lender to banks). The mortgage/housing market and QT's role could come up.
- Chicago Fed President Goolsbee speaks at WSJ's Global Food Forum at 1225ET, no text but moderated Q&A expected.
- Treasury supply: $46B 17W Bill auction at 1130ET, followed by $12B 20Y Bond re-open (912810TS7) at 1300ET.
GBP: EUR/GBP Calls in Demand Despite UK Inflation Beat
Jun-21 11:22
- No surprise to see GBP futures volumes well ahead of average for this time of day, given the upside surprise to UK CPI earlier today. U3 GBP futures have traded near 60k contracts, over double what you'd see at this point in a routine session - activity mirrored EUR/GBP options activity, which is also busier than normal.
- EUR/GBP upside protection has been in demand, typified by solid trade in 0.8575 and 0.8880 call strikes across the morning. This is mirrored in commentary from Citi, who write that markets have been "overlooking carry trades in favour of a shift to growth/recession concerns" in the UK.
- GBP/USD's post CPI reversal has put the pair lower for three consecutive sessions, with 1.2630 the next meaningful support (Jun15 low). Any move through here exposes 1.2511, the 50-dma.
