SONIA: Put fly strip
May-24 09:58
SFIU4/SFIZ4 94.85/94.75/94.65p fly strip, bought for 2.5 and 2.75 in 10.5k total.
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EURIBOR OPTIONS: Put spread buyer
Apr-24 09:55
ERM4 96.12/96.00ps, bought for 0.75 in ~2.7k.
EQUITIES: Rolling Estoxx put
Apr-24 09:52
SX5E (21st June) 5150p vs (20th Sep) 4500p, sold the June at 147.9 in 10k.
US TSY FUTURES: TU/FV/UXY Fly Blocked, Looking To Fade 5-Year Weakness Ahead Of Auction
Apr-24 09:50
Latest block trade lodged at 10:01:20 London/05:01:20 NY:
- TUM4 4,450 lots blocked at 101-17, looks like a seller. DV01 ~$161.5K.
- FVM4 7,860 lots blocked at 105-02.25, looks like a buyer. DV01 ~$323K.
- UXYM4 1,900 lots blocked at 110-23, looks like a seller. DV01 ~$161.5K.
- That points to a TU/FV/UXY fly trade, selling the wings & buying the belly.
- The 2s5s10s cash butterfly sees 5s trading at the cheapest level since Oct ’23 ahead of this afternoon’s 5-Year Tsy auction. This position looks to fade that move.
Fig. 1: U.S. 2-/5-/10-Year Butterfly (bp)
Source: MNI - Market News/Bloomberg
