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STIR: Midmorning SOFR Options Roundup

STIR
BulletMarketsFixed Income Bullets

Turning mixed after the open, while underlying extends lows after Flash-PMI data. Projected rate cuts into early 2025 have cooled vs. this morning's levels (*) as follows: Nov'24 cumulative -36.5bp (-37.8bp), Dec'24 -72.8bp (-75.5bp), Jan'25 -107.0bp (-109.5bp).

  • +5,000 SFRZ4 95.75/96.00 put spds 2x1 8.0 ref 96.02
  • +5,000 SFRH5 96.75/97.25 call spds, 12.0 vs. 96.61/0.20%
  • +10,000 SFRM5 96.50/97.00/97.50 call flys vs 2QM5 97.25/97.50 call spds 3.0 net
  • +5,000 SFRZ5 95.75/96.75 2x1 put spds, +15.5 ref 97.07
  • -4,000 SFRV4/SFRX4 95.87/96.00 put spd spd, 1.5 net Nov over
  • +5,000 SFRH5 96.75/97.00/97.50 call trees, 0.0 ref 96.62
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Turning mixed after the open, while underlying extends lows after Flash-PMI data. Projected rate cuts into early 2025 have cooled vs. this morning's levels (*) as follows: Nov'24 cumulative -36.5bp (-37.8bp), Dec'24 -72.8bp (-75.5bp), Jan'25 -107.0bp (-109.5bp).

  • +5,000 SFRZ4 95.75/96.00 put spds 2x1 8.0 ref 96.02
  • +5,000 SFRH5 96.75/97.25 call spds, 12.0 vs. 96.61/0.20%
  • +10,000 SFRM5 96.50/97.00/97.50 call flys vs 2QM5 97.25/97.50 call spds 3.0 net
  • +5,000 SFRZ5 95.75/96.75 2x1 put spds, +15.5 ref 97.07
  • -4,000 SFRV4/SFRX4 95.87/96.00 put spd spd, 1.5 net Nov over
  • +5,000 SFRH5 96.75/97.00/97.50 call trees, 0.0 ref 96.62