Free Trial

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
104 words

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.

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