CANADA: PM Carney To Meet w/Chinese President In Effort To Improve Relations
Oct-30 12:51
(MNI) London - Prime Minister Mark Carney will meet with Chinese President Xi Jinping on the sidelin...
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US TSY FUTURES: BLOCK: Dec'25 10Y Sale
Sep-30 12:47
- -5,000 TYZ5 112-21.5, post-time bid at 0839:51ET, DV01 $338,700.
- The 10Y contract trades 112-21.5 last (+5)
US TSYS: Early SOFR/Treasury Option Roundup: Low Delta Calls
Sep-30 12:38
SOFR/Treasury options rotating around low delta calls for the most part overnight, large two-way after the open, Dec'25 10Y call buyer returns. Underlying futures gaining in the last few minutes, bonds rebounding heading into month end. Focus turns to US Gov shutdown (midnight tonight barring a last minute resolution). Projected rate cut pricing gaining vs. late Monday levels (*): Oct'25 at -22.6bp (-22.7bp), Dec'25 at -42.3bp (-41.3bp), Jan'26 at -51.6bp (-50.7bp), Mar'26 at -62.4bp (-60.9bp).
- SOFR Options:
- -12,900 0QV5 96.93 calls 4.5 ref 96.905
- 26,000 SFRX5 96.50/96.56 call spds
- 2,000 2QZ5 97.18/97.43 call spds ref 96.805
- 2,500 SFRX5 95.93/96.00/96.06 put flys ref 96.295
- 5,000 0QZX5 96.37/97.62 strangles
- +5,000 SFRF6 96.50/96.62/96.81 broken call flys, 0.5 ref 96.495
- 8,000 SFRZ5 96.06 puts ref 96.305
- +1,500 0QZ5 96.50/96.62/96.75/96.87 put condors, 3.5 ref 96.90
- 10,000 SFRV5 96.43/96.50 call spds, 0.25-0.5 ref 96.34
- +2,000 SFRZ5 96.18/96.31/96.50/96.62 put condors, 6.0
- +4,000 SFRZ5 95.93/96.06/96.18 put flys, 2.25
- Treasury Options:
- +87,000 TYZ5 113 calls, 46 vs. 112-19/0.42% (open interest 87,527 coming into the session). Paper was a large buyer of low delta calls last week: +100,000 TYZ5 113.5 calls, 38 vs. 112-21 to -21.5/0.35% and appr +200k TYZ5 114 calls since Mon from 31-33.
- 4,400 FVX5 109.25/109.75/110/110.75 broken call condors, 6.5 ref 109-05.75/0.06%
- 2,000 TYX5 108.75/117.25 strangles ref 112-20
- +3,300 Wed Weekly TY 112.5 calls, 16 (exp 10/01)
US TSYS: Tnotes is testing the initial resistance
Sep-30 12:35
- Some pick up in Volumes in Treasuries, with Tnotes (TYZ5) making another attempt at the small initial resistance noted at 112.22.
- As also previously mentioned during the Morning European session, better is seen at 113.00.
- USA is bought in 2.1k, TYA 7k, all cumulative Volumes, and over 25k lots goes through in the 10yr Futures in the past 8 minutes or so.
- Since the German Bund lags, underperforms, the Tnotes/Bund spread is tighter, but for now away from any support level.
