STIR: Dovish GBP STIR Moves Extend, SONIA Strip Flattens
Hawkish pullbacks in GBP STIRs have been limited as U.S. tariff feedthrough continues to dominate.
- BoE-dated OIS 3-14bp more dovish on the day across ’25 meetings, 22bp of cuts priced for May, 28bp through June, 44bp through August and 67bp through December.
- We still look for the next cut in May and lean towards quarterly cuts at QIR meetings (May August & November) through year-end.
- SONIA futures 1.5-19bp higher on the day.
- Bulls have been unable to force a test of ’25 highs in SFIZ5 although SFIZ6 trades at the highest level seen since October.
BoE Meeting | SONIA BoE-Dated OIS (%) | Difference vs. Current Effective SONIA Rate (bp) |
May-25 | 4.237 | -21.9 |
Jun-25 | 4.172 | -28.3 |
Aug-25 | 4.017 | -43.9 |
Sep-25 | 3.942 | -51.3 |
Nov-25 | 3.837 | -61.8 |
Dec-25 | 3.788 | -66.8 |
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STIR: SOFR Option Update, Call Buying Edges Puts, Supports Implieds
Underlying futures continue to gain. Projected rate cuts through mid-2025 gaining vs. late Monday levels (*) as follows: Mar'25 at -3.1bp (-1.8bp), May'25 at -14.0bp (-10.2bp), Jun'25 at -31.9bp (-26.0bp), Jul'25 at -43.1bp (-35.3bp).
- Block, 15,000 0QM5 97.00/97.50 call spds 7.5
- +10,000 0QM5 97.00/97.50 call spds, 7.5 ref 96.01
- +5,000 SFRZ5 96.00 puts, 15.5
- -3,000 SFRZ5 96.43 straddles, 72.0 ref 96.415
- +5,000 SFRU5 97.00 calls 11.0 ref 96.275
- -5,000 SFRJ5 96.12/96.37 call spds, 3.75 ref 96.005
- +20,000 0QM5 97.00/97.50 call spds, 7.25 ref 96.565
- -30,000 0QM5 95.12/95.50 put spds .75 vs. 96.545 to -.535/0.06%
- -10,000 SFRN5 95.56/95.75/95.93 put flys, 4. ref 96.26
- -5,000 SFRZ5 96.25/96.50 call spds, 10.0 ref 96.41
EQUITIES: Attention turns to the US Open
Attention turns to the US Cash open, the Emini (ESH5) and the January 2025 low of 5809.00 just held, printed a 5812.00 low so far today, and finding some underlying bids ahead of the Open.
Cash SPX sees the January low standing at 5773.31, but the open will be some way short of that initial level, and Yesterday's low of 5810.91.
- Calls: SPX: 5,815.0 (-0.6%); DJIA: 43,020 (-0.4%/-171pts); NDX: 20,306.7 (-0.6%).
US TSY FUTURES: BLOCK: Jun'25 5Y Sale
- 6,000 FVM5 108-10, sell through 108-10.25 post time bid at 0915:24ET, DV01 $246,000. The 5Y contract trades 108-11.25 last (+8.5)
