Free Trial

Early SOFR Options Update

STIR
Call positioning, conditional curve flatteners, outright puts as underlying stick to recent session lows. Projected rate cut pricing into year end have receded from early morning levels (*): Sep'24 cumulative -42bp (-44.8bp), Nov'24 cumulative -71.2bp (-77.6bp), Dec'24 -102.3bp (-109.3bp).
  • +5,000 SFRU4 95.00 puts, 2.0
  • -5,000 2QU4/3QU4 97.00/98.50 call spd spd, 3.0 net cr flattener
  • +4,000 SFRV4/SFRX4 95.87/96.00/96.12 call fly strip, 2.25

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.