US TSYS: Early SOFR/Treasury Option Roundup
Feb-21 13:50
Overnight SOFR & Treasury option flow leaning towards upside calls, decent positioning ahead March Tsy option expiration after the close. Of note, April 10Y puts sold over call spread blocks this morning is a partial unwind of Thursday's +50k TYJ5 108 put vs. 110.5 calls - while going short the 111.5 call. Projected rate cuts through mid-2025 look steady to mildly firmer vs. late Thursday levels (*) as follows: Mar'25 steady at -0.5bp, May'25 steady at -5.8bp, Jun'25 at -15.7bp (-15.1bp), Jul'25 at -21.1bp (-20.6bp).
- Treasury Options:
- Blocks, total -13,700 TYJ5 108 puts 6 over TYJ5 110.5/111.5 call spds
- 2,800 TYK5 106.5/108.5 put spds ref 109-06.5
- 1,300 FVH5 106.5 straddles, 10.5 ref 106-16.75
- over 8,600 TYH5 109 puts, 1
- over 6,000 TYJ5 110 calls, 23 last
- SOFR Options:
- Block, 9,105 SFRU5 96.25 calls, 11.5 vs. 95.95/0.27%
- Block, 7,500 SFRZ5 96.50/96.75 call spds, 4.0 ref 96.01
- 5,000 SFRU5 96.00/96.50/97.00 call flys, 5.5 ref 95.94
- 2,000 0QM5 96.12/96.37 call spds ref 96.07
- 9,500 SFRM5 95.81/95.87/95.93 call flys ref 95.83
- 2,000 SFRU5/SFRZ5 95.62/95.75 put spd spds
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CANADA: CAD Assets Look Through Further Climb In Y/Y Cost Pressures
Jan-22 13:44
- The industrial product and raw materials price report didn’t have a discernible impact on Canadian asset prices although it nevertheless shows a further acceleration in cost pressures in Y/Y terms.
- BoC-dated OIS has ~21bp of cuts priced for next Wednesday’s BoC decision.
- Not linked to the data, USDCAD has since stepped higher to session highs of 1.4370 on the back of a leg higher in the BBDXY index. It remains within particularly wide recent ranges (key support at 1.4261 from Jan 20 low vs resistance at 1.4516 from Jan 21 high).
- Details: IPPI was admittedly softer than expected at 0.2% M/M (cons 0.6) after 0.6% M/M in Nov and 1.2% in Oct, although IPPI ex-petroleum has seen a more consistent recent trend with 0.4% M/M in Dec after 0.5% in Nov and 1.0% in Oct.
- That leaves IPPI ex-petroleum inflation at 5.1% Y/Y (fastest since Nov 2022) whilst raw materials inflation stands at 9.1% Y/Y or 12.1% Y/Y ex-petroleum (fastest since May 2022).
EGB OPTIONS: Bund Call Spread
Jan-22 13:38
RXH5 133.50/134.50cs, bought for 17.5 in 8.2k.
MNI: CANADA DEC INDUSTRIAL PRICES +0.2% MOM; EX-ENERGY +0.4%
Jan-22 13:30
- MNI: CANADA DEC INDUSTRIAL PRICES +0.2% MOM; EX-ENERGY +0.4%
- CANADA DEC RAW MATERIALS PRICES +1.3% MOM; EX-ENERGY +1.6%
