US TSYS: Early SOFR/Treasury Option Roundup: Mixed Ahead NFP
Jun-06 11:21
Fairly mixed SOFR and Treasury options reported on lighter volumes overnight, underlying futures mildly firmer as markets await this morning's headline employment data for May. Projected rate cut pricing gains slightly vs. late Thursday levels (*) as follows: Jun'25 at -0.6bp (-0.7bp), Jul'25 at -8.4bp (-7.9bp), Sep'25 at -24.5bp (-23.2bp), Oct'25 at -37.9bp (-36.9bp), Dec'25 at -54.6bp (-53bp).
- SOFR Options:
- +4,000 0QM5 96.43/96.50 put spds, 2.0 ref 96.59
- -3,000 SFRN5/SFRQ5 96.25 call strip vs. 0QN5/0QQ5 97.25 call strip, 0.0
- +2,000 0QN5 96.37/96.50/96.62 put flys, 2.0 ref 96.68
- 4,500 SFRN5 96.25/0QN5 97.25 call spds
- +2,000 SFRZ5 96.50/97.00 call spds, 8.5 ref 96.21
- Treasury Options:
- 2,200 wk1 TY 110.75/111/111.25 put trees (exp today)
- over +/-12,400 TYN5 112 calls, 11-10
- +4,000 wk1 Fri FV 108.75 calls, 2 (exp today)
- +2,500 FVU5 109/111/113 call flys, 17
- 2,000 FVN5 106.5/107/108 2x3x1 broken put flys
- 2,000 wk2 FV 108 puts, 13.5
- 1,500 TYN5 108.5/109.5 put spds ref 110-27
- 1,900 TUN5 103.88 calls
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BONDS: BTP and OAT are leading higher in EGBs
May-07 11:16
- The BTP and the OAT futures are still leading in EGBs, the initial bid in OAT and wider Bonds came after the French heavy supply.
- Desks will look for the big resistance at 120.57 initially (see chart).
- Bund is still finding some resistance ahead of 131.24, but worth keeping an eye on BTP and OAT, although big moves could be limited ahead of the FOMC.
BTP: Basis trade
May-07 11:07
BTP Basis trade, suggest Cash buyer:
- IKM5 ~2k at 120.13.
DUTCH AUCTION PREVIEW: On offer next week
May-07 11:01
DSTA has announced it will be looking to sell E1.5-2.0bln of the 2.00% Jan-54 DSL (ISIN: NL00150012X2) at its auction next Tuesday, May 13.
