STIR: SOFR Option Update
Jun-04 15:16
Late morning SOFR options still leaning towards downside put spds even as underlying futures see-saw around post-ISM data highs. Projected rate cut pricing continues to gain vs. morning levels (*) as follows: Jun'25 at -1.1bp (-0.7bp), Jul'25 at -7.8bp (-7.4bp), Sep'25 at -23.9bp (-22.7bp), Oct'25 at -37.8bp (-35.9bp), Dec'25 at -55.2bp (-52.4bp). Latest trade includes:
- +4,000 SFRZ5 95.62/95.68/95.81 put trees, 1.0
- +4,000 0QM5 96.62/96.87 call spds .75 over 3QM5 96.50/96.75 call spds
- +15,000 0QZ5 95.00 puts, 1.5 ref 96.77
- +3,000 SFRH8 97.50/98.50 call spds w/ 98.00/99.00 call spd strip, 33.5
- +5,000 SFRZ5 95.56/95.68/95.81 put fly w/ 96.00/96.12/96.25 call fly strip 3.5
- -4,000 SFRU5 95.75/95.81/96.00 put flys 2.5 over 95.68/95.81 put spds
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FED: US TSY 13W AUCTION: NON-COMP BIDS $2.437 BLN FROM $76.000 BLN TOTAL
May-05 15:15
- US TSY 13W AUCTION: NON-COMP BIDS $2.437 BLN FROM $76.000 BLN TOTAL
FED: US TSY 26W AUCTION: NON-COMP BIDS $1.659 BLN FROM $68.000 BLN TOTAL
May-05 15:15
- US TSY 26W AUCTION: NON-COMP BIDS $1.659 BLN FROM $68.000 BLN TOTAL
US TSY FUTURES: BLOCK: Jun'25 5Y Buy
May-05 14:58
- +10,000 FVM5 108-10, buy through 108-09.75 post time offer at 1041:28ET, DV01 $428,000. The 5Y contract trades 108-09.75 last (-1.75).
