EMISSIONS: EUA Auction Calendar Week Ahead (Calendar Week 29)
Jul-10 12:05
A total of 11.3mn EUAs will be auctioned next week, with four auction sessions will be held. The lat...
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STIR: Repo Reference Rates
Jun-10 12:03
- Secured Overnight Financing Rate (SOFR): 4.29% (+0.00), volume: $2.643T
- Broad General Collateral Rate (BGCR): 4.27% (+0.00), volume: $1.071T
- Tri-Party General Collateral Rate (TCR): 4.27% (+0.00), volume: $1.038T
- (rate, volume levels reflect prior session)
EURIBOR OPTIONS: Outright Call buyer
Jun-10 12:02
ERQ5 98.37c, bought for 1 in 6k.
US TSYS: Early SOFR/Treasury Option Roundup: Tsy Calls
Jun-10 12:02
Modest SOFR & Treasury option volumes overnight, focus on Tsy calls and short term midcurves. Underlying futures mildly higher, also on light volumes as markets await Wednesday's key CPI inflation data. Projected rate cut pricing steady to gaining slightly vs. late Monday levels (*) as follows: Jun'25 steady at 0.0bp, Jul'25 steady at -3.6bp, Sep'25 at -17.7bp (-17.4bp), Oct'25 at -30.1bp (-29.6bp), Dec'25 at -46.2bp (-44.9bp).
- Treasury Options:
- -2,000 wk2 FV 107.75 puts, 7.5
- +4,000 TYN5 111.25 calls, 9
- Block, +6,000 wk2 TY 111 calls, 5 ref 110-12 (exp Fri)
- +3,000 TYQ5 108.5/112 call spds 151 vs. 110-11.5/0.55%
- 1,250 TUQ5 103.75/104 2x3 call spds vs. 2,500 TUQ5 103.12 puts ref 103-17.62
- Block, +10,000 USN5 115 calls, 13 ref 112-28
- +3,500 TYU5 107/108 put spds, 11 vs. 111-09/0.08%
- +4,500 Wed wkly TY 109.25/109.5/109.75/110 put condors, 3 vs. 110-11.5/0.5%
- +1,500 TYN5 108.75/112.25 strangles, 6
- SOFR Options:
- +4,000 SFRN5 95.68/95.75/95.81 2x3x1 put flys, 0.5 ref 95.87
- +10,000 0QU5 96.37/96.62/96.87 call flys, 4.5 ref 96.665 to -.605/0.05%
- -3,500 SFRU5 95.75/95.93/96.00 broken put trees, 2.0 ref 95.865
