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BLOCK, Large Jun'24 SOFR Call Flys

STIR

More large option positioning targeting a rate cut in June:

  • +39,250 SFRM4 95.00/95.25/95.50 call flys, 3.0 from 1230:09 to -:35ET ref 94.95
  • While markets continue to project the first full 25bp rate cut to occur in July - option accounts have been building positions to hedge for a cut one meeting sooner: the June 12 FOMC. June'24 SOFR options expire two days after the meeting.
  • Mid-year projected rate cut pricing continues to gain: March 2024 chance of 25bp rate cut currently -2.3% w/ cumulative of -0.06bp at 5.323%; May 2024 at -22.7% vs. -18.4% late Thursday w/ cumulative -6.3bp at 5.266%; June 2024 -64.4% from -56.4% late Thursday is nearing first full 25bp cut w/ cumulative cut -22.4bp at 5.111%. July'24 cumulative -38.6bp at 4.943%.
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