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Large SOFR Call Plays Continue

STIR
  • +50,000 SFRH4 95.25/95.37/95.43/95.56 call condors, 0.75
  • Block, +11,000 SFRU4 96.00/96.50 call spds vs. -0QU4 97.00/97.50 call spds, .75 cr conditional steepener: midcurve sold over
  • Recent put Block: 8,880 SFRZ4 94.12/94.62/95.00 put flys, 1.5 net ref 96.32
  • Note: FI markets have been paring gains in intermediates to the long end over the last couple hours -- short end remains well bid with elevated projected rate cuts in May-June:
  • January 2024 cumulative -1.6bp at 5.313%, March 2024 chance of rate cut -77% w/ cumulative of -20.9bp at 5.120%, May 2024 fully pricing in 25bp cut now, cumulative -50.1bp at 4.828%. June 2024 cumulative -80.4bp at 4.525%. Fed terminal at 5.3275% in Jan'24.

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