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Scale Buyer Short-Term 10Y Call Spread, Sep Skew Play

US TSY OPTIONS
  • +32,000 TYN4 111 calls (expire next week Fri) 8.5-9.0 over the wk2 TY 111 calls (expiring tomorrow), ref 110-17.5.
  • Elsewhere, 10Y skew play for near even:
  • 4,000 TYU4 111/112.5 1x2 call spds vs. TYU 107/108/109 put trees
  • Meanwhile, underlying futures remain bid but off post-PPI/weekly claims highs, projected rate cuts better than pre-data release w/ near 50bp in cuts priced by year end again.
  • Rate cut projections vs. pre-PPI levels (*): July'24 at -10% (-14%) w/ cumulative at -2.5bp (-3.8bp) at 5.302%, Sep'24 cumulative -18.6bp (-17bp), Nov'24 cumulative -28.3bp (-25.5bp), Dec'24 -48bp (-44.4bp).

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