November 06, 2024 20:14 GMT
STIR: Late SOFR Options
STIR
Put buying turned more two-way in addition to some chunky call structure buying as underlying futures see-sawed off session lows in the second half. While chances of a a 25bp cut hold steady, projected rate cuts into early 2025 have cooled vs. late Tuesday levels (*): Nov'24 cumulative steady at -24.6bp, Dec'24 -42.7bp (-44.2bp), Jan'25 -52.7bp (-57.7bp), Mar'25 -68.4bp (-74.6bp).
- +40,000 SFRZ5 95.50/95.75 put spds 7.75 vs. 96.155/0.08%
- 5,000 SFRM5 95.25/95.75 2x1 put spds
- +10,000 SFRG5 95.12/95.37/95.62 put flys 3.5
- -10,000 SFRU5 96.00/96.50 put spds w/ SFRZ5 96.00/96.50 put spd strip 55.5
- -10,000 2QX4 96.00/96.25 put spds 10.0 ref 96.165
- +6,000 2QH5/3QH5 96.50 call spds 2.0
- +22,500 SFRZ5 98.75 calls 2.5
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