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Segue to SOFR Puts As Underlying Reverses

STIR
  • SOFR option flow has segued from better call trade to puts as underlying futures reversed gains/sold off after this morning's stronger than expected flash PMI data.
  • In turn, projected rate cut pricing remains steady to mildly lower vs. this morning's levels (*): July'24 at -10% w/ cumulative at -2.5bp at 5.302%, Sep'24 cumulative -17.6bp (-18.4bp), Nov'24 cumulative -26.6bp (-27.8bp), Dec'24 -46.7bp (-47.2bp).
  • Salient put trade over the last hour includes:
    • +8,000 SFRQ4 94.37/94.43 put strip 0.5 vs. 94.84/0.05
    • +15,000 0QU4 95.50/95.75 2x1 put spds 1.0 ref 95.94
    • -10,000 SFRU4 94.75 puts, 3.25 vs. 94.88/0.05%

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