SOFR fell to 5.33% on the day of the Fed rate cut, with more buying interest in SOFR options betting on a rate cut to 1.25% in March next year on Thursday

Wallstreetcn
2024.09.19 14:10

According to data from the Federal Reserve Bank of New York, the secured overnight financing rate (SOFR) on the previous trading day (September 18) was reported at 5.33%, down from 5.38% the day before. On the day the Federal Reserve unexpectedly announced a 50 basis point rate cut, trading volumes for SOFR futures and options were 28% and 42% higher than the 20-day average, respectively. Preliminary open interest data from the Chicago Mercantile Exchange (CME) showed that there was no significant fluctuation in investors' dovish hedging operations before and after the Fed's announcement of accommodative measures. In early trading in New York on September 19, positions in SOFR options betting on a rate cut to 1.25% by March 19, 2025, increased further compared to the previous day; in contrast, the market still expects a policy rate of around 3.50% at that time

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