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Post-Data SOFR Options

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Mixed post-data flow with some call spread unwinds is seguing to upside calls again as underlying futures inch off post-data lows. Projected rate cuts through year end remain soft vs. pre-data levels (*): Sep'24 cumulative -29.4bp (-32.7bp), Nov'24 cumulative -67.9bp (-72.5bp), Dec'24 -108.4bp (-114.5bp). Salient trade:
  • +10,000 SFRZ4 95.87/96.12/96.37 call flys, 4.25 vs. 95.87/0.06%
  • +5,000 SFRV4 96.00/96.50 call spds, 5.25 ref 95.875
  • -5,000 SFRM5 96.37 puts, 19.0 vs. 96.88/0.28%
  • -4,000 SFRZ4 96.00/97.00 1x2 call spds, 7.25 ref 95.865
  • -8,000 SFRZ4 96.00/96.25 call spds vs 95.62 puts, 0.75 put over
  • -6,000 SFRV4 95.50 put v SRX4 95.43 put, 0.75 net/Nov over
  • +4,000 SFRZ4 95.81/96.06/96.31 call flys, 4.0 ref 95.86
  • -15,000 SFRZ4 96.25/96.75 call spds, 3.5-3.75 ref 95.845 to -0.855
  • +5,000 SFRU4 95.06/95.12/95.18 call flys, 0.75 ref 95.055
  • -10,000 SFRV4 97.43 calls 1.0 over 96.87/97.12 put spds ref 95.93
  • +10,000 SFRV4 96.87/97.12 put spds .5 over 97.50 calls, ref 95.93
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Mixed post-data flow with some call spread unwinds is seguing to upside calls again as underlying futures inch off post-data lows. Projected rate cuts through year end remain soft vs. pre-data levels (*): Sep'24 cumulative -29.4bp (-32.7bp), Nov'24 cumulative -67.9bp (-72.5bp), Dec'24 -108.4bp (-114.5bp). Salient trade:
  • +10,000 SFRZ4 95.87/96.12/96.37 call flys, 4.25 vs. 95.87/0.06%
  • +5,000 SFRV4 96.00/96.50 call spds, 5.25 ref 95.875
  • -5,000 SFRM5 96.37 puts, 19.0 vs. 96.88/0.28%
  • -4,000 SFRZ4 96.00/97.00 1x2 call spds, 7.25 ref 95.865
  • -8,000 SFRZ4 96.00/96.25 call spds vs 95.62 puts, 0.75 put over
  • -6,000 SFRV4 95.50 put v SRX4 95.43 put, 0.75 net/Nov over
  • +4,000 SFRZ4 95.81/96.06/96.31 call flys, 4.0 ref 95.86
  • -15,000 SFRZ4 96.25/96.75 call spds, 3.5-3.75 ref 95.845 to -0.855
  • +5,000 SFRU4 95.06/95.12/95.18 call flys, 0.75 ref 95.055
  • -10,000 SFRV4 97.43 calls 1.0 over 96.87/97.12 put spds ref 95.93
  • +10,000 SFRV4 96.87/97.12 put spds .5 over 97.50 calls, ref 95.93