Free Trial

BLOCK: Nov'24 SOFR Call Spread, 1% Rate Cut Insurance

STIR
  • +15,500 SFRX4 96.12/96.25 call spds, 2.75 at 1022:23ET ref 95.90 -- an interesting rate cut hedge with several facets: Underlying futures are currently pricing between 25-50bps rate cut next week and near fully pricing another 50bp in November.
  • Today's call spread (expiring after the Presidential election on November 5 as well as the FOMC policy announcement on November 7) is hedging two 50bp cuts before the final Fed meeting on December 18.

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.