BONDS: US Treasuries are ticking higher
Sep-04 11:38
- US Treasuries are starting to get dragged higher now, as Bund leads Bonds futures and EBGs higher, ignoring the bounce off the lows in Oil this time round.
- Initial area of interest in Bund is unchanged at 134.77, followed by the more important 135.18.
- Further upside momentum for TYZ4, opens to 114.19+.
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US TSYS: Early SOFR/Treasury Option Roundup: Better Calls as Underlying Gains
Aug-05 11:37
Decent SOFR and Treasury option volume overnight, leaning towards upside calls as underlying futures add to Friday's post-jobs miss rally, global equities rout adding safe haven support as 10Y yield falls to 3.6764% low. Dealers reevaluating projected rate cuts, 50bp the new 25bp with a minority posit chance of intermeeting cut. Projected rate cut pricing into year end continue to gain vs. late Friday levels (*): Sep'24 cumulative -54.3bp (-45.5bp), Nov'24 cumulative -95.9bp (-85.5bp), Dec'24 -128.1bp (-116.4bp).
- SOFR Options:
- 9,000 SFRH5 95.75/96.00/96.25 call flys ref 96.595
- 5,000 SFRZ4 95.75/96.25/96.50/97.00 call condors ref 96.06
- 4,700 0QQ4 96.50/96.62/96.75 put trees ref 96.935
- 6,000 SFRU4 95.87/96.25 call spds ref 95.365
- over 15,000 SFRZ4 95.37/96.00 2x3 call spds
- 4,600 SFRZ4 96.50/96.62 call spds ref 96..02
- Block, 6,000 SFRU4 95.00/95.12/95.25 put trees ref 95.335
- over 20,000 SFRU4 95.25/95.75/96.00 broken call trees ref 95.345
- 2,000 SFRM5 95.75/96.00/96.25/96.50 call condors vs. 2QM5 96.50/96.75/97.00/97.25 call condors
- 7,500 SFRZ4 95.00/95.50/96.00 put flys
- 2,500 SFRQ4 95.00/95.12 call spds ref 95.36
- 2,000 0QQ4 95.87/96.25 call spds
- 1,800 SFRU4 95.50/95.75 2x3 call spds ref 95.39 to -.40
- 3,000 SFRU4 95.75 calls ref 95.385 to -.37
- 3,000 SFRU4 95.50/0QU4 97.50 call spds, 2.0
- 4,000 SFRZ4 96.25 calls ref 95.955 to -.97
- Treasury Options:
- over 12,000 TYU4 115 calls 45 last
- over 15,000 FVU4 109.5/110.5 call spds ref 109-30.5
- 2,000 USU4 118 straddles
- 2,000 TYU4 115.5/116 call spds ref 114-11
- 5,000 TYU4 114.75/115 call spds, 3 ref 114-11
EQUITIES: Estoxx Risk Reversal
Aug-05 11:27
SX5E (21/03/25) 4500/5600 RR, trades 228.7 for the put in 20.15k.
US TSY FUTURES: BLOCK: Sep'24 5Y Sale
Aug-05 11:24
- -2,500 FVU4 109-31, sell through 109-31.25 post time bid at 0713:00ET, FV01 $106,000. Contract trades 109-30.5 last (+11.5).
