STIR: SFR Option Morning trades
Sep-05 12:22
Morning Option trades: Mostly upside play today.
- SFRU4 95.25/95.31cs traded for 1.25 in 12k.
- SFRU4 95.31/95.43cs traded 0.75 in 2.5k.
- SFRV4 95.87/96.12/96.25c fly traded 5.5 in 2k.
- SFRV4 95.81/95.75/95.68/95.62p condor, traded 1 in 3k vs futures and 1 in 9.5k straight.
- SFRZ4 95.87/96.12/96.37c fly traded 3 in 1.5k.
- SFRZ4 95.50/95.62/95.75c fly traded 1 in 13.5k.
On Blocks:
- SFRU4 95.31/95.37cs traded half in 11k.
- SFRH5 97.00/97.31cs traded 5.25 in 5k.
- SFRH5/SFRM5 96.00p spread, traded half for the H5 in 5k.
- 0QZ4 97.50/98.00cs traded 3.5 in 3k.
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US: MNI POLITICAL RISK - Harris To Announce VP Today
Aug-06 12:17
- Vice President Kamala Harris formally secured the Democratic Party presidential nomination on Monday evening after DNC delegates concluded five days of voting. Attention now turns to Harris’ vice-presidential selection, expected to be announced this morning before the ticket heads off on a multi-state tour.
- Pennsylvania Governor Josh Shapiro (D-PA), widely seen as the most logical selection due to his popularity in the most crucial swing state, remains the favourite but has faded slightly amid chatter that Harris may be leaning towards Minnesota Governor Tim Walz (D-MN).
- A federal judge presiding over one of the biggest antitrust cases in decades ruled yesterday that, "Google is a monopolist, and it has acted as one to maintain its monopoly."
- US officials are bracing for what could be two waves of attacks on Israel from Hezbollah and Iran in retaliation to a series of extraterritorial strikes which killed a top Hezbollah commander in Beirut and a top Hamas leader in Tehran.
- The US has dispatched additional resources to the region, including a fighter jet squadron, Navy ships, and air defenses. US CENTCOM head Gen. Michael Kurilla met yesterday with IDF counterparts to ready a similar multi-nation coalition to one that successfully repelled an Iranian missile barrage on April 13.
- The progressive ‘Squad’ of Democratic House Reps could lose a second member today as Rep Cori Bush (D-MO) faces a primary in Missouri’s first congressional district.
- Poll of the Day: Kamala Harris has extended her lead over former President Donald Trump in national polling.
Full article: US Daily Brief
OPTIONS: High Beta, Haven Hedging Dominate Option Flows
Aug-06 12:09
- Monday's FX vol spike helped trigger option flows of north of $160bln for the first time in over three months, via DTCC data - with JPY, EUR, CHF and EUR/JPY hedges dominating proceedings.
- Options activity is similarly busy so far today, with trade in havens and high beta currencies seeing the most interest: JPY, GBP and CHF volumes are well ahead of average for this time of day.
- GBP/USD downside insurance remains in demand, typified by trades consistent with a 2x1 1.21/1.24 put spread trading at the NY crossover. Position rolls off in early December, capturing both the Sept and Nov BoE decisions, and breaking-even on a move below ~1.2390 in spot at expiry.
- Amid frenetic vol in JPY markets, upside in USD/JPY via ITM call buying has proved popular, evident in the put/call ratio hitting ~0.6 when capturing both Monday and Tuesday trade. Call options expiring between 142.50-142.60 saw particular interest, with $4.7bln notional trading across those strikes so far this week.
STIR: Repo Reference Rates
Aug-06 12:05
- Secured Overnight Financing Rate (SOFR): 5.32% (-0.03), volume: $2.199T
- Broad General Collateral Rate (BGCR): 5.32% (-0.01), volume: $809B
- Tri-Party General Collateral Rate (TGCR): 5.32% (-0.01), volume: $789B
- (rate, volume levels reflect prior session)
