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Post-Data SOFR Options

STIR

Post-data options leaning towards puts as underlying reverses course, trades weaker in Whites through Greens (SFRZ3-SFRM6). Projected rate hikes into early 2024 gaining: November steady at 0% to 5.325%, December cumulative of 6.5bp at 5.394%, January 2024 cumulative 9.4bp at 5.423%, March 2024 at 6.5bp at 5.393%. Fed terminal at 5.425% in Feb'24.

  • +10,000 SFRG4 94.25/94.37 put spds 2.75 vs. 94.64/0.08%
  • +3,000 SFRZ3 94.31/94.37/94.43/94.50 put condors, 1.75
  • +5,000 SFRZ3 94.75 calls, 2.75 vs. 94.57/0.20%
  • 2,500 SFRH4 94.75/95.75 call spds vs. SFRF4 95.00 calls, 0.0

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