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J.P.Morgan Recommends Adding To Long Duration Bias Via SONIA Midcurve Options

STIR

Late on Friday J.P.Morgan wrote “at the front end we add to our bullish duration view via a recommendation to buy 1-Year SFIM4 mid-curve call ladders (96.30/96.70/96.90 versus Jun25 futures at 96.33). This ladder can be implemented at close to zero cost and has high upper breakeven; the trade would lose money at expiry if Jun25 futures close above 97.3 (or at 2.7% versus 3.67% currently - a rally of around 100bp over the next few months). To be sure, a rally of this magnitude cannot be fully ruled out especially if macro starts to disappoint and therefore we would be tactical on this trade.”

MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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