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Late SOFR/Treasury Option Roundup: Better Puts Post NFP

US TSYS
  • SOFR and Treasury options segued from better put trade to calls as this morning's employment data showed nearly twice the amount of jobs gained (+336k) than expected (+170k), quashing hopes of a continued rally in the underlying since Wednesday's lower than expected ADP - on hopes of softer policy ahead.
  • Rate hike projections into early 2024 climbed back to Wednesday highs after this morning's data, spurring better put buying: November at 30.5% (22.2% pre-data) w/ implied rate change of +7.6bp to 5.405%, December cumulative of 12.4bp (9.7bp prior) at 5.452%, January 2024 11.9bp (8.4bp prior) at 5.448%. Fed terminal climbs to 5.45% in Jan'24.
  • Link to option trade SUMMARY

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