September 30, 2024 10:20 GMT
SONIA: SFIZ4 95.50/95.65/95.80 Call Fly Lifted
SONIA
Upside interest now seen in SONIA options:
- SFIZ4 95.50/95.65/95.80 call fly paper paid 3 on 3K.
- SFIZ4 last trading 95.50 equating to an implied rate of 4.50%.
- 3-month SONIA fixed at 4.8232% on Friday.
- Likely a similar idea to the Euribor flow flagged elsewhere, using this morning’s EUR data-driven cheapening to access upside exposure.
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