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Sep'24 SOFR Put Buyers

STIR
Underlying futures holding weaker, inside morning range as Fed Gov Waller headlines continue to roll. Projected rate cut pricing into year end slightly cooler vs. late Tuesday levels (*): July'24 at -6.5% w/ cumulative at -1.6bp at 5.313%, Sep'24 cumulative -25.7bp (-26.6bp), Nov'24 cumulative -41.1bp (-42.9bp), Dec'24 -63.6bp (-65.4bp).
  • +20,000 SFRU4 94.81/94.87/94.93 put flys, 1.25
  • +4,500 SFRU4 94.68/94.75/94.81 put flys
  • +5,000 SFRZ4 94.75/94.87 put spds, 0.75 ref 95.34
  • +4,000 SFRU5 95.00 puts, 8.5 vs. 96.21/0.14%
  • +6,000 SFRU4 94.68/94.75/94.81 put flys 0.25 ref 94.945

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