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Sep'24 SOFR Rate Cut Status Quo

STIR
  • +20,000 SFRU4 95.25/95.37/95.75/95.87 call condors vs. SFRU4 95.00/95.12 put spread, 0.75 net.
  • With underlying Sep'24 futures trading 95.72 (-.025) - the structure is a hedge that current rate cut projections past mid-year into the fall hold steady (and just as importantly -- don't recede, do to the put spread sale).
  • Projected rate cuts in H1 2024: January 2024 cumulative -.6bp at 5.323%, March 2024 chance of 25bp rate cut -46.5% vs. -49.4% earlier w/ cumulative of -12.3bp at 5.206%, May 2024 at -86.2% vs. -83.4% earlier w/ cumulative -33.8bp at 4.991%, June 2024 -99.0% vs. 102.7% earlier w/ cumulative -58.6bp at 4.743%. Sep'24 cumulative: -104.4 at 4.284%.

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