Free Trial

Large Sep'24 SOFR Call Fly: Cheap Rate Cut Play

STIR
  • +50,000 SFRU4 94.93/95.06/95.18 call flys, 0.88-1.0, underlying futures trade 94.85. Though the options expire on September 13, the upside call structure is a relatively cheap rate cut play targets the September 18 FOMC rate announcement.
  • Late year rate cut projections continue to gain following this morning's data: June 2024 at -1.3% w/ cumulative rate cut -.3bp at 5.328%, July'24 at -14% w/ cumulative at -3.8bp at 5.293%, Sep'24 cumulative -17.2bp (-14.7bp pre-data), Nov'24 cumulative -25.3bp (-21.7bp pre-data), Dec'24 -40.6bp (-35.5bp pre-data).

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.