STIR: Repo Reference Rates
Aug-01 12:03
- Secured Overnight Financing Rate (SOFR): 5.38% (+0.05), volume: $2.185T
- Broad General Collateral Rate (BGCR): 5.34% (+0.02), volume: $820B
- Tri-Party General Collateral Rate (TGCR): 5.34% (+0.02), volume: $797B
- (rate, volume levels reflect prior session)
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
SONIA: Call fly buyer
Jul-02 12:02
SFIU4 95.10/95.20/95.30c fly bought for 2 in 2k.
GILT PAOF RESULTS: GBP110.0mln of the 3.75% Mar-27 Gilt sold
Jul-02 12:02
- A total of GBP1000.0mln had been available.
- This leaves GBP27.797bln of the gilt in issue.
OPTIONS: Hedging Markets Favour GBP, CNY Upside Tuesday
Jul-02 11:56
- While FX options volumes are muted so far Tuesday, GBP markets are seeing some signs of life, with GBP/USD notional traded ahead of average for this time of day. Trades seemingly targeting the post-election fallout and the Aug1 BoE decision are helping prop activity.
- Trades consistent with sizeable vol hedges crossed mid-morning, covering 1.2550 and 1.2650 straddles (expiring mid-Aug and mid-Oct respectively). Nonetheless, overall options trade has passed with an upside bias, evident in today's put/call ratio of ~0.78 and noted demand for call strikes as high as 1.2750.
- USD/CNY has also been a pair in focus Tuesday, with downside exposure well in demand despite the pair's recent upside and the USD strength posted since the beginning of the week.
- Just over $3 in puts have traded for every $2 in calls so far today, with put strikes layered between 7.2000-7.1750 making up a decent portion of the volume, as well as ITM puts at 7.2900. Trades generally shorter-dated, but the 7.18 puts standout as they expire on Jul 25th - a week after the conclusion of China's Third Plenum meetings on Jul 15 - 18.
