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BLOCK: Early 2025 SOFR Midcurve Call Skew Play

STIR
  • Total +35,000 0QG4 96.50/96.75 call spds 6.5 over the 0QG4 95.50/95.75 put spds vs. SFRH5 at 96.41/0.20% from 0717:23ET to 0725:32ET.
  • February midcurve options expire on Feb 16 of this year, but focus on March '25 SOFR as it's underlying -- looking for moderate rate cut pricing to continue to filter through early 2025

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