US TSYS: Eurodollar/SOFR/Treasury Option Roundup, Put Unwinds
Jul-28 18:55
Much better downside put volume reported Thursday as underlying futures rallied in response to U.S. GDP contracting 0.9% in the second quarter, far below analyst expectations for a 0.4% gain. Underlying futures rallied as more aggressive rate hike expectations evaporated, 50bp hike more likely at the next Fed policy meeting in Sep than 75bp.
- Eurodollar and SOFR option volumes were light (Block sale of 20,000 Sep 96.50/96.62 put spds at 3.5; -20,000 SFRM3 95.75/95.87 put spds, 2.0 vs. 96.995/0.05%) compared to Treasury options where 10Y put unwinds and repositioning trades noted (-30,000 TYU 115/116 put spds at 1; Block 10,000 TYU2 118.5/120 put spds, 26 vs. 120-27.5/0.18%).
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US EURODLR OPTIONS: BLOCK, Dec Put Spds
Jun-28 18:48
- total 20,000 Dec 95.5/96.5 put spds, 40.5 vs. 96.20/0.36% from 1441-1442ET
US: FED Reverse Repo Operation
Jun-28 18:32
NY Fed reverse repo usage climbs to $2,213.784B w/ 97 counterparties vs. $2,155.942B prior session. Compares to record high of $2,285.428B from Thursday June 23.
NY Federal Reserve/MNI
CANADA: BAX Implied Yields Tread Water With Powell Tomorrow
Jun-28 18:30
- * BAX futures have unwound an earlier move lower along with the broad intraday rally seen in GoCs and Tsys, in part on softer US data.
- It leaves the curve little changed on the day, with implied yields touching 3.85% in the Dec’22 contract before 11bps of cuts through 2023.
- It awaits upcoming drivers including Powell speaking at the Sintra forum tomorrow and Canadian GDP on Thu.
