Mixed overnight SOFR & Treasury option trade leaning towards downside puts ahead the NY open, focus on PPI inflation data after yesterday's higher than expected CPI weighed heavily on rates (10Y yield tapped 4.6576% high). Underlying futures recovering some of yesterday's move (extended highs on Pres Trump's mention of imminent reciprocal tariffs today). Projected rate cuts through mid-2025 slightly firmer vs. late Wednesday lows (*) as follows: Mar'25 steady at -0.5bp, May'25 at -3.9bp (-3.2bp), Jun'25 at -9.8bp (-9.1bp), Jul'25 at -13.6bp (-12.6bp).
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Mixed SOFR/Treasury options flow reported overnight, leaning towards downside put structures in the lead up to this morning's PPI data. Underlying futures modestly firmer but scaling off of early London session highs. Projected rate cuts through mid-2025 continue to retreat, current vs. late Friday levels* as follows: Jan'25 steady at -0.7bp, Mar'25 steady at -4.9bp, May'25 -9.0bp (-8.4bp), Jun'25 -16.5bp (-16.3bp), Jul'25 steady at -18.7bp.
Via Bloomberg / market source