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BLOCK/Screen: Jun'24 SOFR Call Spread, Rate Cut Hedge

STIR
  • +35,000 SFRM4 95.50/95.75 call spreads 1.0 ref 94.895 in the last few minutes. Heavy open interest in the two strikes: 463,963 and 268,610 respectively as some accounts continue to build mid-year rate cut positions. Jun'24 SOFR options expire two days after the FOMC policy annc on June 12.
  • Projected mid-year cut pricing remains uncertain. March 2024 chance of 25bp rate cut currently -2.7% w/ cumulative of -0.07bp at 5.322%; May 2024 steady at -18.4% w/ cumulative -5.3bp at 5.276%; June 2024 -56.4% from -54.5% earlier w/ cumulative cut -19.2bp at 5.137%. First full cut priced in at July w/cumulative -33.6bp at 4.993%. Fed terminal at 5.327% in Mar'24.
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