OPTIONS: No Shortage Of Large Euribor Structures To Close Week
Sep-19 16:52
Friday's Europe rates/bond options flow included:
- RXV5 128/127ps, sold at 17 in 6k
- RXV5 127.5/126.5/125/123p condor vs 130/131.5cs, bought the cs for -6 and -5.5 in 10k (said to be closing)
- RXX5 127.50/126.50/125.50/123.00 broken put condor vs 130.00/132.00cs, bought the Condor for 2 in 7.25k
- ERZ5 98.12/98.25cs, bought for 1 in 10k
- ERZ5 98.06/98.12cs sold at 0.75 in over 20k Total
- ERH6 98.12/98.25 call spread paper paid 2.75 on 10K
- ERM6 98.25/98.3125/98.375c fly, bought for 0.25 in ~28k
- ERU6 98.8125/98.6875/98.5625/98.4375 put condor, paper pays 1.5 in 4k
- SFIM6 96.90/97.00cs, bought for 1 in 5k
- SFIM6 96.40/96.60/96.80c fly vs 96.00p, bought the fly for -0.25 up to flat in 7.5k
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FED: US TSY 20Y BOND AUCTION: NON-COMP BIDS $160 MLN FROM $16.000 BLN TOTAL
Aug-20 16:45
- US TSY 20Y BOND AUCTION: NON-COMP BIDS $160 MLN FROM $16.000 BLN TOTAL
PIPELINE: Corporate Bond Update: $3B ADB & $3B British Columbia Priced Earlier
Aug-20 16:31
- Date $MM Issuer (Priced *, Launch #)
- 08/20 $3B *ADB 5Y SOFR+39
- 08/20 $3B *British Columbia 5Y SOFR+53 (books were over $8.7B)
- 08/20 $Benchmark Nordea Bank 5Y +50, 5Y SOFR+83
- 08/20 $600M #Athene Global 10Y +125
- Expected Thursday:
- 08/20 $1B Nordic Investment Bank WNG 3Y SOFR+34
- 08/20 $Benchmark Quebec 10Y SOFR+90a
US TSY OPTIONS: September Tsy Option Expiration Roundup
Aug-20 16:19
Reminder, Sep'25 Treasury options expire Friday, the latest open interest as of Tuesday's close outlined below. Options that are 0.5 tic in-the-money (0.25 tic for 5- & 2Y option) are auto-exercised. Underlying futures are firmer this morning following lower build permits (outweighing rise in starts), projected rate cuts into year end gain slightly (Dec at -54.1bp vs. -53.5bp pre-data)..
| Expiry | Total Calls | Total Puts | Total | Nearest ATM Strike (Total C/P) |
| Sep 30Y | 238,029 | 410,870 | 648,899 | 114.0 (19,298C, 17,299P; 36,597 total) |
| USU5 114-19 | 114.5 (4,987C, 7,174P; 12,161 total) | |||
| 115.0 (15,127C, 10,333P; 25,460 total) | ||||
| Sep 10Y | 1,211,374 | 1,128,850 | 2,340,224 | 111.75 (27,678C, 25,002P; 52,680 total) |
| TYU5 111-29 | 112.0 (183,217C, 50,266P; 233,483 total) | |||
| 112.25 (48,525C, 14,654P; 63,179 total) | ||||
| Sep 5Y | 432,963 | 498,007 | 930,970 | 108.5 (34,847C, 72,272P; 107,119 total) |
| FVU5 108-25 | 108.7 (27,900C, 29,294P; 57,194 total) | |||
| 109.0 (53,431C, 27,968P; 81,399 total) | ||||
| Sep 2Y | 174,023 | 154,852 | 328,875 | 103.62 (7,394C, 16,840P; 24,234 total) |
| 103-26.75 | 103.75 (14,113C, 31,388P; 45,501 total) | |||
| 103.88 (11,457C, 3,581P; 15,038 total) |
