US TSYS: Late SOFR/Treasury Option Roundup
Consistent and varied put structures dominated Thursday's FI option trade, particularly in SOFR options hedging modest rate hike affect on mid-2023 to mid-2024. Limited downside put fly and funded condors include:
- SOFR Options:
- Block, 12,000 OQM3 95.50/95.75/96.25 put flys, 10.0 ref 96.56
- Block, 7,000 SFRK3 94.81/94.93/95.06 put flys 2.25 over SFRK3 95.31/95.43 call spds
- Block, 10,000 SFRJ3 95.25/95.37 call spds, 2.0 ref 95.105
- Block, 20,000 OQM3 95.50 puts, 4.0 ref 96.58
- Block, 7,000 SFRU3 94.50/94.87/95.12/95.5 put condors, 17.5 net vs. 95.28/0.10%
- Block, 8,000 SFRJ3 94.87/95.00/95.12/95.18 broken put condors 0.5 over SFRJ3 95.31/95.43 call spds
- +15,000 SFRK3 94.75/95.00 2x1 put spds, 3.5
- Block, 6,000 OQH3 96.37/96.75 call spds 2.0 over 95.62/95.87 put spds vs 96.135/0.34%
- Block, 5,000 SFRU3 95.25/95.50 put spds, 15.5 vs. 95.275/0.10%
- Block, 6,000 SFRH4 95.00/96.00 put spds 28.5 vs. 96.15/0.25%
- 2,000 OQG3 96.50/96.75/97.00 call flys ref 96.175
- Block, total 6,500 SFRZ3 94.62/94.87/95.12/95.37 put condors, 6.0 vs. 95.625/0.05%
- 6,000 OQM3 96.00 puts ref 96.625
- 2,000 SFRM3 95.06/95.12 put spds ref 95.14
- 21,000 OQH3 96.75/97.00/97.25 call flys ref 96.195
- 4,000 SFRZ3 94.25/95.00/95.50 broken put flys, ref 95.67
- 1,500 SFRU3 94.25/94.75/95.25 put flys ref 95.32
- Treasury Options:
- 1,500 TYH3 116.5/117.5 call spds, 9 ref 114-28
- 1,700 FVK3 107.75/112.25 strangles around 35.5 ref 109-29.75
- 2,500 FVH 112 calls, 3 ref 109-15.25
- 1,500 TYG3 111/112/113.5 put trees, 14 ref 114-29
- over -5,500 TYH3 118 calls, 8 ref 115-00
- 3,000 FVG3 110 calls, 2.5 ref 109-18.25
- over 10,000 TYH3 111/112 put spds ref 114-31
- Over 13,000 TYG3 114 puts, 1-2 ref 115-04 to 114-23
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
US TSYS: Rates Hold Lower, Narrow Band
Early Tuesday risk sentiment after China said it will end quarantine requirements for inbound travelers in early January, gradually evaporated as Tsys continued to drift lower on very light volumes by the close (TYH3<585k), while equities reversed early gains, Dow shares outperformed mildly weaker SPX and Nasdaq shares ahead the FI close. Trade volumes will hopefully improve Wednesday as London returns from extended Christmas holiday.
- Carry-over weakness w/ US$ index lowest levels in six months, extended losses from last week when data showed that US core PCE prices, the central bank’s preferred inflation gauge, fell to a four-month low of 4.7% YoY in Nov.
- Little react after $42B 2Y note auction (91282CGD7) stops through: 4.373% high yield vs. 4.390% WI; 2.71x bid-to-cover vs. 2.64x prior. Indirect take-up climbs to 62.22% vs. 56.98% last month, direct take-up 18.71% vs. 20.62%. primary dealer take-up 19.07% vs. 22.39%.
- Focus turns to Wed's data: Richmond Fed Mfg Index (-9, -10) and Pending Home Sales MoM (-4.6%, -1.2%); YoY (-36.7%, --) at 1000ET
- US Tsy auctions: $22B 2Y FRN Note auction re-open (91282CFS5) at 1130ET, $43B 5Y Note auction (91282 CGC9) at 1300ET
US TSY OPTIONS: 5Y Put Spd Buyer
- +12,000 FVG 108/108.5 put spds, 17.5 ref 108-00.75
US: Tsy Dept: Corporate Alternative Minimum Tax; Stock Buybacks Tax
The US Tsy Dept just issued initial guidance on two key tax provisions of the Inflation Reduction Act, the Corporate Alternative Minimum Tax and the excise tax on stock buybacks.
- The Inflation Reduction Act created a 15% alternative minimum tax on large companies earning an average of more than $1 billion annually beginning in 2023. The initial high-level guidance issued by Treasury today clarifies which companies the tax applies to and how the alternative minimum tax is calculated.
- The Inflation Reduction Act also created a new annual excise tax that applies to repurchases of a publicly traded corporation’s stock that take place after December 31, 2022. The initial guidance issued by Treasury today addresses the types of transactions subject to the tax, how the tax is calculated, and basic rules to prevent the avoidance of the tax.
