STIR: Negative SNB Rates Pricing Remains Despite Schlegel Pushback
Jun-19 12:01
Swiss OIS-implied terminal rates shifted higher following the hawkish-leaning SNB monetary policy ou...
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SONIA: OPTIONS: SFIN5 95.90 Puts Lifted
May-20 12:01
SFIN5 95.90 puts paper paid 2.75 on 4K.
SONIA: OPTIONS: SFIQ5 96.10/96.25/96.40 Call Fly Lifted
May-20 11:58
SFIQ5 96.10/96.25/96.40 call fly paper paid 2.5 on 6K.
US TSY FUTURES: June'25-September'25 Roll Update
May-20 11:56
The latest Tsy quarterly futures roll volumes from June'25 to September'25 below. Percentage complete only 5%-10% across the curve ahead the "First Notice" date on May 30. Current roll details:
- TUM5/TUU5 appr 6,600 from -8.88 to -8.62, -8.75 last, appr 5% complete
- FVM5/FVU5 appr 44,300 from -3.75 to -3.25, -3.5 last, appr 10% complete
- TYM5/TYU5 appr 25,300 from -1.75 to -1.0, -1.5 last, appr 7% complete
- UXYM5/UXYU5 appr 4,100 from 3.25 to 3.5, 3.5 last, appr 2% complete
- USM5/USU5 appr 1,400 from 10.25 to 10.75, 10.25 last, appr 5% complete
- WNM5/WNU5 appr 1,400 from 6.0 to 7.0, 6.25 last, appr 5% complete
- Reminder, June futures won't expire until next month: 10s, 30s and Ultras on June 18, 2s and 5s on June 30. June Tsy options, however, expire May 23.
