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SOFR Put Volume Rises

STIR
Pick-up in low delta put structure buying noted as underlying futures continue to scale back from Wednesday's post-FOMC highs as this morning's data tampers the Fed's projected 3 rate cuts by year end. Projected rate cut pricing vs. this morning: May 2024 steady at -12.4% vs -14.5% late Wednesday w/ cumulative -3.1bp at 5.297%; June 2024 -64.5% vs. -69.5% earlier w/ cumulative rate cut -19.3bp at 5.134%. July'24 cumulative at -30.5bp vs. -32.5bp earlier. Salient trade:
  • +10,000 SFRM4 94.68/94.75/94.81 put flys, 0.5
  • Block, 15,000 SFRU4 94.62 puts, 2.0 ref 95.195
  • +13,000 SFRK4/SFRM4 94.93 put spds, 1.75
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Pick-up in low delta put structure buying noted as underlying futures continue to scale back from Wednesday's post-FOMC highs as this morning's data tampers the Fed's projected 3 rate cuts by year end. Projected rate cut pricing vs. this morning: May 2024 steady at -12.4% vs -14.5% late Wednesday w/ cumulative -3.1bp at 5.297%; June 2024 -64.5% vs. -69.5% earlier w/ cumulative rate cut -19.3bp at 5.134%. July'24 cumulative at -30.5bp vs. -32.5bp earlier. Salient trade:
  • +10,000 SFRM4 94.68/94.75/94.81 put flys, 0.5
  • Block, 15,000 SFRU4 94.62 puts, 2.0 ref 95.195
  • +13,000 SFRK4/SFRM4 94.93 put spds, 1.75