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Jan'24 SOFR Call Fly Buyer Update

  • Update, over +40,000 SFRF4 94.87/95.00/95.12 call flys, 1.75-2.0 -- looking for underlying futures to price in more certainty of a 25bp rate cut than currently projected: March 2024 chance of rate cut at -60% (vs. -56.2% this morning) with cumulative of -17.7bp at 5.153%.

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