STIR: Post-Data SOFR Options
Sep-11 13:55
Mixed post-data flow with some call spread unwinds is seguing to upside calls again as underlying futures inch off post-data lows. Projected rate cuts through year end remain soft vs. pre-data levels (*): Sep'24 cumulative -29.4bp (-32.7bp), Nov'24 cumulative -67.9bp (-72.5bp), Dec'24 -108.4bp (-114.5bp). Salient trade:
- +10,000 SFRZ4 95.87/96.12/96.37 call flys, 4.25 vs. 95.87/0.06%
- +5,000 SFRV4 96.00/96.50 call spds, 5.25 ref 95.875
- -5,000 SFRM5 96.37 puts, 19.0 vs. 96.88/0.28%
- -4,000 SFRZ4 96.00/97.00 1x2 call spds, 7.25 ref 95.865
- -8,000 SFRZ4 96.00/96.25 call spds vs 95.62 puts, 0.75 put over
- -6,000 SFRV4 95.50 put v SRX4 95.43 put, 0.75 net/Nov over
- +4,000 SFRZ4 95.81/96.06/96.31 call flys, 4.0 ref 95.86
- -15,000 SFRZ4 96.25/96.75 call spds, 3.5-3.75 ref 95.845 to -0.855
- +5,000 SFRU4 95.06/95.12/95.18 call flys, 0.75 ref 95.055
- -10,000 SFRV4 97.43 calls 1.0 over 96.87/97.12 put spds ref 95.93
- +10,000 SFRV4 96.87/97.12 put spds .5 over 97.50 calls, ref 95.93
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BOE APF SALES RESULTS: Detailed results
Aug-12 13:50
| Short Gilts | Bids received | BOE sells | WAAP | Prev bids | Prev sales |
| 4.25% Dec-27 | GBP0.0m | GBP0.0m | GBP0.0m | ||
| 0.125% Jan-28 | GBP691.4m | GBP629.4m | 88.641 | GBP849.3m | GBP605.7m |
| 1.625% Oct-28 | GBP0.0m | GBP0.0m | GBP0.0m | ||
| 6.00% Dec-28 | GBP0.0m | GBP0.0m | GBP0.0m | ||
| 0.50% Jan-29 | GBP199.3m | GBP0.0m | GBP301.5m | GBP69.0m | |
| 0.875% Oct-29 | GBP34.8m | GBP0.0m | GBP36.3m | GBP27.7m | |
| 0.375% Oct-30 | GBP0.0m | GBP121.8m | GBP97.6m | ||
| 4.75% Dec-30 | GBP398.4m | GBP170.6m | 105.432 | GBP0.0m | GBP0.0m |
| 0.25% Jul-31 | GBP194.5m | GBP0.0m | N/A | N/A |
BOE APF SALES RESULTS: GBP800mln of short-dated gilts with bid-to-cover of 1.84x
Aug-12 13:49
Previous bid-to-cover ratios: most recent first: 1.64x, 3.12x, 3.32x, 2.67x.
JPY: Exchange traded Option
Aug-12 13:37
Yen Exchange traded option, looking for Yen strength.
- JPYUSD (8th Nov) 61.00p sold at 0.02 in 1.6k.
