AMERICAS OIL: Venezuela V. Canada – Battle of the Heavy Weights
Jan-14 13:21
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EURIBOR OPTIONS: ERZ6 97.93/97.68/97.43 Put Fly Bought
Dec-15 13:21
ERZ6 97.93/97.68/97.43 put fly paper paid 4.5 on 3K.
US TSYS: Early SOFR/Treasury Option Roundup: Pre-Data Positioning
Dec-15 13:20
Mixed SOFR & Treasury option flow - lean towards slightly better downside put structures overnight, modest overall volumes to start the week. Focus on tomorrow's heavy data docket: weekly ADP and headline employment data for November. Projected rate cut pricing steady to mildly lower vs. late Friday levels (*): Jan'26 steady at -6.6bp, Mar'26 at -13.5bp (-14bp), Apr'26 at -20.1bp (-20.6bp), Jun'26 at -33.5bp (-33.3bp).
- SOFR Options:
- 5,500 SFRH6 96.37/96.50/96.68/96.81 call condors
- 2,000 SFRF6/SFRG6 96.37/96.43/96.50 put tree spd
- 2,500 SFRG6/SFRH6 96.31 put spds
- 12,000 SFRH6 96.37/96.50 call spds ref 96.475 vs.
- 6,000 SFRH6 96.62/96.68/96.75/96.81 call condors
- +11,100 SFRH6 96.31/96.37/96.43/96.50 put condors, 1.5 ref 96.47
- +3,500 SFRF5 96.31 puts, 0.5
- +5,000 0QF6 97.12/97.37 call spds, 2.0 ref 96.845
- Treasury Options
- 2,000 USG6 108/112 put spds ref 115-03
- 10,000 TYFl/TYG6 112 put spds, 16 ref 112-10.5
- +2,000 TYF6 112.75/113.5 call spds, 11 ref 112-14/0.22%
- +6,500 TYF6 112.25/113/114 1x3x1 broken call flys, 1 ref 112-11
- 1,400 USH6 115 puts ref 115-03
- over 2,500 TYG6 114 calls, 11 ref 112-11
- +2,000 TYF6/TYG6 115 call spds vs 112-13.5, 5
- +14,000 Tuesday wkly 10Y 111.75/112 put spds, 4 (exp tomorrow)
- over 5,200 TYF6 112.5 calls, 19
- -5,000 TYF6 111.75/113.5 strangles, 16 ref 112-09
- 3,000 TYF6 111.75 puts ref 112-07
STIR: 7bp Of Fed Easing Priced For Jan, UBS Recommend Receiving
Dec-15 13:14
January FOMC-dated OIS moves to price nearly ~7bp of easing alongside the downtick in wider core global FI yields.
- Implied rates for that event are 2bp lower vs. prevailing levels seen ahead of last week’s FOMC.
- This comes after the language and communique that accompanied last week’s Fed rate cut wasn’t quite as hawkish as the market expected.
- Late on Friday UBS wrote “despite unusual uncertainty surrounding US data and aggregate FOMC preferences, we see value in receiving the January FOMC meeting ahead of the Oct/Nov release of jobs and CPI data. Just 5.3bp of easing is currently priced and we would target a move to 13bp”. UBS expects “slightly negative average monthly job growth in Q4 and a moderate increase in core CPI in December”.
