SOFR OPTIONS: SFR Morning Option Trades
Aug-13 12:57
- SFRU5 95.81/95.75/95.68p fly, traded half in 3k.
- SFRU5 95.93/96.00/96.12c fly 2x3x1, traded 2.25 in 2.5k.
- SFRU5 96.00/96.12/96.25c fly, traded 0.75 in 5k and 1 vs futures in 5k.
- SFRU5 96.00/95.75ps, traded 8 in 5k.
- SFRU5 96.00p, traded 8.5 in 5k.
- SFRU5 96.06/96.12cs traded 1 in 8k total.
- SFRU5 96.12/96.25cs, traded 1.5 in 13k.
- SFRV5 96.37/96.50cs, traded 3 in 2k.
- SFRZ5 95.75/95.68cs, traded 0.25 in 12k.
- SFRH6 96.25p, traded 10.5 in 2k.
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SOFR OPTIONS: BLOCK: Green Sep/Blue Sep Conditional Bull Curve Steepener
Jul-14 12:49
- +5,000 2QU5 97.00/97.50 call spds vs. 3QU5 96.75/97.25 call spds, 0.5 net Green Sep over at 0842:30ET
BONDS: U.S. 10-Year Yield Pierces Last Week's High
Jul-14 12:46
Core global curves hold steeper.
- TY futures traded through overnight lows and 10-Year Tsy yields breached last week’s high, but the move has since stalled, pointing to a flow-/technical-driven move, as opposed to anything highly committal on fresh news.
- Early London lows in Bund futures hold, while gilts continue to outperform.
- Ongoing weakness in the long end of the JGB curve and bull steepening of the gilt curve (dovish comments from BoE Governor Bailey & weak private labour market data) still present the meaningful market talking points on the day, in addition to U.S. tariff threats and heightened U.S.-Russia tension.
SOFR OPTIONS: BLOCK: Green Mar'26 SOFR Call Spread
Jul-14 12:36
- +45,000 2QH6 98.00/98.25 call spds, 1.0 ref 96.56, at 0830:22ET - opener (OI 15,853 & 0 in the two strikes, respectively)
