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STIR
Trade remains mixed while weakness in the underlying has extended through the Whites to Reds (SFRU4-SFRM6). Projected rate cut pricing into year end recede vs. early morning levels (*) post-CPI: Sep'24 cumulative -36bp (-39.7bp), Nov'24 cumulative -70.1bp (-74.2bp), Dec'24 -104.4bp (-108.1bp). Salient flow:
  • 5,000 0QH4/3QH4 96.00 put spd, 0.5 conditional steepener
  • +5,000 2QQ4 96.87 calls, 8.5 vs. 96.935/0.65%
  • +6,000 SFRZ5 95.75/96.00/96.25/96.50 put condors, 4.0 ref 96.89
  • +10,000 SFRZ4 95.62/95.75/95.87 calls, 1.5 vs. 95.72/0.05%

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