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Post-Data SOFR Put Unwinds, Upside Call Buying

STIR
Paper rushes to unwind downside puts and buy calls after this morning's dip in May CPI inflation measures. Rate cut projections gain momentum vs. pre-data levels (*): June 2024 at -1.3% w/ cumulative rate cut -.3bp at 5.328%, July'24 at -14% (-8%) w/ cumulative at -3.8bp (-2.3bp) at 5.288%, Sep'24 cumulative -20.9bp (-14.8bp), Nov'24 cumulative -31.7bp (-22bp), Dec'24 -50.7bp (-39.9bp). Post data:
  • +25,000 SFRU4 94.81/94.87 call spds, 3.5 ref 94.88
  • -10,000 SFRU4 94.93 puts, 11.0 vs. 94.89
  • -10,000 SFRN4 94.87 puts, 4.75 vs. 94.885
  • -10,000 SFRQ4 94.87 puts, 6.5 ref 94.89
  • -10,000 SFRQ4 94.81 puts, 3.5 ref 94.89
  • -10,000 SFRQ4 95.00 puts, 15.5 ref
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