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SOFR Call Volume Gains as Rate Cut Pricing Rises

STIR
Projected rate cut pricing into year end are gaining vs. this morning's levels (*): July'24 at -5.5% w/ cumulative at -1.4bp at 5.315%, Sep'24 cumulative -27.2bp (-25bp), Nov'24 cumulative -43.4bp (-40.1bp), Dec'24 -66.5bp (-62.8bp). Salient flow includes:
  • +10,000 SFRV4 95.50/95.62/95.75 call flys, 1 vs. 9536/0.10%
  • +4,000 SFRZ4 95.43/94.62 call spds vs. 95.355/0.14%
  • -4,000 SFRZ4 95.50/95.75 call spds vs 94.87/95.12 call spds, 0.75 net
  • +4,000 SFRU4 94.81/94.87/94.93 put flys 1.25 ref 94.94
  • +5,000 SFRZ4 94.68/94.81 2x1 put spds vs. 95.325 to -33.5/0.05%
  • -4,000 2QQ4 96.50/96.75/97.25 call flys 8.5, ref 96.515

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