• Large fly sale reported earlier: SFRH5 (96.11)/SFRM5 (96.275)/SFRU5 (96.365), total volume over 47,000 at -0.075.
  • Additionally, paper sold 10,000 SFRM5/SFRU5/SFRZ5 flys at 0.035.
  • Trading desks talking up potential drivers for large sales suggesting huge Tsy refunding needs, or long-term positioning for policy moves after 2024 priced in cuts.

STIR FUTURES: SOFR Futures Fly Update

Last updated at:Aug-01 13:00By: Bill Sokolis
  • Large fly sale reported earlier: SFRH5 (96.11)/SFRM5 (96.275)/SFRU5 (96.365), total volume over 47,000 at -0.075.
  • Additionally, paper sold 10,000 SFRM5/SFRU5/SFRZ5 flys at 0.035.
  • Trading desks talking up potential drivers for large sales suggesting huge Tsy refunding needs, or long-term positioning for policy moves after 2024 priced in cuts.

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