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

華爾街見聞
2024.09.19 14:10
據美國紐約聯儲數據，上個交易日（9 月 18 日）擔保隔夜融資利率（SOFR）報 5.33%，之前一天報 5.38%。 美聯儲意外地宣佈降息 50 個基點當天，SOFR 期貨和期權成交量分別較 20 天均值高出 28% 和 42%。 美國芝加哥商業交易所（CME）初步未平倉合約數據顯示，在美聯儲宣佈寬鬆的決定前和宣佈後，投資者的鴿派對沖操作沒有出現顯著的波動。 9 月 19 日紐約早盤，押注美聯儲到 2025 年 3 月 19 日將降息至 1.25% 的 SOFR 期權頭寸（較昨日）進一步增加；相比之下，（美債/利率）市場仍然預計屆時的政策利率為 3.50% 左右。
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