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STIR: Midmorning SOFR Option Roundup, Bullish Unwinds

STIR
BulletMarketsFixed Income Bullets

​Option desks reporting pick-up in call spd unwinds, put spread buying as underlying futures extend lows, paring back some of the Monday's support (SFRU4 -.0025 at 95.165; SFRZ4 -0.035 at 96.05) as speculation over more than a 25bp rate cut from the Fed tomorrow cools lightly. Projected rate hikes through year end mildly lower vs. late Monday levels (*): Sep'24 cumulative -41.5bp (-41.0bp), Nov'24 cumulative -78.2bp (-78.2bp), Dec'24 -117.7bp (-119.8bp).

  • -5,000 SFRX4 96.12/96.25 call spds 2.75 ref 9596
  • -3,000 SFRZ4 95.62 calls vs 0QZ4 97.00 calls, 5.0 net front Dec over
  • +5,000 SFRV4 96.25/96.50 call spds 2.0 ref 95.97
  • -7,000 SFRZ5 97.00/98.00 call spds, 36.0 vs.97.15/0.28%
  • +4,000 SFRX4 96.12/96.25/96.37/96.50 call condors 2.0 ref 9598
  • +10,000 SFRZ4 95.50/95.75 put spds, 5.5 vs. 95.97/0.10%
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​Option desks reporting pick-up in call spd unwinds, put spread buying as underlying futures extend lows, paring back some of the Monday's support (SFRU4 -.0025 at 95.165; SFRZ4 -0.035 at 96.05) as speculation over more than a 25bp rate cut from the Fed tomorrow cools lightly. Projected rate hikes through year end mildly lower vs. late Monday levels (*): Sep'24 cumulative -41.5bp (-41.0bp), Nov'24 cumulative -78.2bp (-78.2bp), Dec'24 -117.7bp (-119.8bp).

  • -5,000 SFRX4 96.12/96.25 call spds 2.75 ref 9596
  • -3,000 SFRZ4 95.62 calls vs 0QZ4 97.00 calls, 5.0 net front Dec over
  • +5,000 SFRV4 96.25/96.50 call spds 2.0 ref 95.97
  • -7,000 SFRZ5 97.00/98.00 call spds, 36.0 vs.97.15/0.28%
  • +4,000 SFRX4 96.12/96.25/96.37/96.50 call condors 2.0 ref 9598
  • +10,000 SFRZ4 95.50/95.75 put spds, 5.5 vs. 95.97/0.10%