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Mid-2024 Rate Cut SOFR Call Plays

STIR
  • +2,500 SFRM4 95.00/95.50/95.75 broken call flys, 12.75
  • +2,500 SFRU4 96.00/96.50/97.00/97.50 call condors, 5.75

Underlying futures rebounding after scaling back from post-PPI highs, projected rate cuts for early 2024 gaining traction again: December still flat at 5.333%, January 2024 cumulative -1.2bp at 5.318%, March 2024 chance of rate cut at -47% vs. -41.6% earlier w/ cumulative of -12.9bp at 5.197%, May 2024 -63.8% vs. -59.3% earlier, cumulative -29.2bp at 5.037%. Fed terminal at 5.335% in Feb'24.

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