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Rare SOFR Futures Activity In Early Asia Trade


(U1) Needle Points North

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  • Despite spot trading inside a relatively tight 19.90-20.25 range over the past few days, options markets have been on the busier side, with USD/MXN upside better bought judging by the put/call ratio.
  • Interest has been building in 20.40 call strikes across the week (a level not crossed since mid-June), sentiment that's reflected in the uptick of the front-end of the risk reversals curve since Monday. Elsewhere, volatility hedges have been more prevalent, with strikes between 20.00 - 20.45 popular for straddles.
  • Notable options interest over the coming few weeks include mixed options interest at 19.70 as well as a sizeable call expiry at 22.70 on Jul26, which could keep spot contained headed into the close of the week.
  • One-month implied vols continue to hold north of the recent lows, with the contract now capturing the August 12th Banxico rate decision as well the CPI data three days prior.