Daniel Collins

The finest purveyor of Futures & Options to the markets illuminati

[Daniel Collins @DCfuts_opts]

Large sofr spread sold: SFRU6Z6 sold -11.5 to -12 in 110k

[Daniel Collins @DCfuts_opts]

Sonia Ratio Upside Dec Condor

SFIZ6 96.60/96.75/96.80/96.95 1x1x2x2 c condor bgt for 0.5 on 2k

Perhaps inspiration taken from the gargantuan SFIK6 96.75/96.65/96.60/96.50 1x1x2x2 p condor bgt over the last month from 1 -3 in ~90k #options

[Daniel Collins @DCfuts_opts]

Large Euribor Futures Fly bought
M6/U6/Z6 fly lifted -3 in at least 35-40k

[Daniel Collins @DCfuts_opts]

Chunky March Sofr Options today:
+20k SFRH6 96.375/96.50/96.625 call tree for 1
+20k SFRH6 96.375/96.4375/96.50 call fly for 0.25
+10k SFRH6 96.4375/96.50/96.5625 call fly for 0.25
+30k SFRH6 96.4375 call vs 96.385 33d for 3

[Daniel Collins @DCfuts_opts]

Large May Sonia Ratio Condor position building ~75k now:

SFIK6 96.75/96.65/96.60/96.50 1xX1x2x2 P condor bought for 3 in 7k

Sells vol and looks for a June cut, then 12 - 25 bps priced into July #Options

[Daniel Collins @DCfuts_opts]

Sonia Options - Trade Du Jour

SFIK6 96.65/96.75 cs vs 96.50 p bgt for 0.75 in 25k (+cs 10k of which vs 62)

Aims for at least 2/3 cuts priced into the next meetings. May options expiry 15th May – meetings: 19/3, 30/4, 18/6/ #Options

[Daniel Collins @DCfuts_opts]

Very Large May ratio put condor trading again.

SFIK6 96.75/96.65/96.60/96.50 1xX1x2x2 P condor bought for 2.5 in 12k

previously bgt in jan from 21st to 30th with ~60k trading for 1 and 1750 for 00

[Daniel Collins @DCfuts_opts]

Large Sonia condor liquidation!
-35k SFIM6 96.40/96.50/96.65/96.75 c condor at 6

Pos established on Tue 3rd Feb after being bgt from 6 to 6.25

Now liquidated following a dovish Boe and mkt reprising for faster rate cuts

[Daniel Collins @DCfuts_opts]

Active morning in Euribor Options - One large end of year rates on hold condor. Other views split between rates on hold or cuts into year end
ERZ6 98.00/98.0625/98.125/98.1875 c condor bgt for 0.25 in 20k

[Daniel Collins @DCfuts_opts]

Vol Crusher in Sonia
SFIU6 96.65 straddle sold at 21.75 in 11.25k - all day

[Daniel Collins @DCfuts_opts]

Sonia May Ratio Condor

SFIK6 96.75/96.65/96.60/96.50 1x1x2x2 p condor bgt for 1 on 4k

I believe with todays print position stands at ~60k all paid at the level of 1 tick. With the way its ratio’d I think it plays for the Apr cut inline with current WIRP pricing

[Daniel Collins @DCfuts_opts]

Euribor Options: - Two large stand our trades today in the fonts

ERH6 97.9375/98.00 cs vs 94.5 bgt for 1.5 in 20k

ERM6 98.00/97.9375/97.875 p laddder bgt for 3 vs 93.5 sep futs, in 10k

[Daniel Collins @DCfuts_opts]

Sonia Options: SFIZ6 96.90/97.00 call spread vs 96.35/96.25 put spread ppr pays 0.75 on 1k - this was bought heavily at the start of the year from 0.5 - 0.75 in over 20k

[Daniel Collins @DCfuts_opts]

Sonia May Weighted Condor
SFIK6 96.75/96.65/96.60/96.50 1x1x2x2 ratio put condor straight & vs 96.59 40%d ppr pays 1 on 8.75k - bgt yesterday for 1 in 17.75k #Options

[Daniel Collins @DCfuts_opts]

Euribor Options: Another liquidation - ERM6 98.25/98.50/98.75 call fly sold at 0.5 in 10k - sold 20th Jan in 31k at 0.5

[Daniel Collins @DCfuts_opts]

Sonia Options: 0NM6 96.60 straddle trades 27 in 10k - this was bgt heavily at the start of the year from 31.5 - 32.25 in ~50k (6th - 9th Jan)

[Daniel Collins @DCfuts_opts]

Euribor Liquidation: ERM6 98.375/98.25/99.00 p ladder sold @ 9.5 vs 99.5 in 20k
previosuly bgt for -2

[Daniel Collins @DCfuts_opts]

Sonia Options post data a large condor perhaps looking for an April cut with up to a further 50% priced into Jun & July

SFIK6 96.45/96.55/96.70/96.80 c condor straight & vs 96.67 (u6 futs) & vs 96.585 (m6 futs) 5%d bgt for 6 on 14k all day #options

[Daniel Collins @DCfuts_opts]

Euribor options: Ppr happy to continue to sell puts to buy calls.
ERU6 98.1875/98.3125 call spread vs 97.8125/97.6875 put spread ppr pays 0.25 for the call spread on 6k

[Daniel Collins @DCfuts_opts]

Sonia Options - Call O.I tanking in Mar26 over the last week - Focus shifts to Jun26 and Dec26 - chart attached