* Secured Overnight Financing Rate (SOFR): 4.36% (+0.06), volume: $2.557T * Broad General Collateral...
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Steepener Block posted at 0737:00ET
Overnight option flow dominated by Mar'25 5Y skew play: buying over 80,000 put over risk reversals/covered, more than double the existing open interest in the two strikes. The combo covers a lot of data before expiring on Feb 21: today's FOMC obviously, next week's employment report, CPI and PPI. Underlying futures trading firmer, inside narrow range ahead of this afternoon's FOMC - steady rate annc expected. Projected rate cuts through mid-2025 laregely steady vs. late Tuesday (*) levels as follows: Jan'25 at -0.1bp, Mar'25 at -7.8bp, May'25 at -15.4bp, Jun'25 at -26.5bp, Jul'25 at -32.6bp (-32.1bp).