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Dec'23 SOFR Call Spread Update

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Better late session upside call and call spread buying as underlying futures forge higher as Chairman Powell press conf continues. Projected rate hikes into early 2024 continue to step down: December cumulative of 4.8bp at 5.373%, January 2024 cumulative 7.3bp at 5.398%, while March 2024 starts pricing in a cut (20.3%) with cumulative at 2.6bp at 5.350%. Fed terminal has slipped to 5.385% in Feb'24.

  • Late trade highlights:
  • Over 40,000 SFRZ3 94.62/94.75 call spds ref 94.585 to -.55, all in small pieces
  • 2,500 SFRH4 94.75/94.80 call spds ref 94.685
  • 2,500 2QZ3 96.00/96.50/96.75 broken call flys
  • 2,000 SFRM4 96.00/97.00 call spds, 8.5 ref 94.925
  • over -5,000 SFRG4 94.25/94.37 put spds
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Better late session upside call and call spread buying as underlying futures forge higher as Chairman Powell press conf continues. Projected rate hikes into early 2024 continue to step down: December cumulative of 4.8bp at 5.373%, January 2024 cumulative 7.3bp at 5.398%, while March 2024 starts pricing in a cut (20.3%) with cumulative at 2.6bp at 5.350%. Fed terminal has slipped to 5.385% in Feb'24.

  • Late trade highlights:
  • Over 40,000 SFRZ3 94.62/94.75 call spds ref 94.585 to -.55, all in small pieces
  • 2,500 SFRH4 94.75/94.80 call spds ref 94.685
  • 2,500 2QZ3 96.00/96.50/96.75 broken call flys
  • 2,000 SFRM4 96.00/97.00 call spds, 8.5 ref 94.925
  • over -5,000 SFRG4 94.25/94.37 put spds