芝加哥商品交易所（CME）也证实，“Some analysis suggests that this trade may be betting on the Fed's loosening magnitude this year being lower than the current expectations.
In less than half a year, SOFR.Futures Trading Commission (CFTC)'s latest data shows that investors are significantly reducing their net short positions in US soybean, corn, and wheat contracts, easing bearish sentiment in the market.The volume has broken records again.
According to Bloomberg, on Wednesday, a large trade appeared in the U.S. short-term interest rate market, involving 0.118 million contracts, breaking the historical record of 0.075 million trades in April this year, reaching a new high.
CME Group also confirmed, 'This is the largest trade for this product so far.'
This large trade is linked to the Secured Overnight Financing Rate (SOFR), and the performance of this rate is closely related to the recent path of the Federal Reserve's monetary policy. Some analysts suggest that this trade may be a bet that the Fed's easing this year will be less than current expectations, or that investors believe the trading price of this contract is close to the year's high point, choosing to take profits and close out long positions.
According to derivative traders' speculations, the Federal Reserve is expected to cut rates by an additional 75 basis points in 2024, higher than the policymakers' announced target of an additional 50 basis points rate cut.
It is worth noting that shortly after this bulk trade was completed, the SOFR underlying price for December 2024 quickly dropped, indicating that this trade may have been initiated by the seller. The two-year U.S. Treasury yield, which has been hovering near the low of 2022, rapidly reversed and rose to an intraday high.
As of now, the U.S. two-year treasury yield stands at 3.569%.
In early September, there was a significant bidding in the market, with prices about 20 points lower than on Wednesday. Specifically, the scale of this trade is equivalent to a risk weight of about $3 million for every one basis point change. If the trading price rises by 20 basis points, it would translate to a profit of $60 million.
In addition, during the early trading session in Asia, Chicago Mercantile Exchange (CME) released preliminary open interest contract data, showing a slight increase in the contract price. Analysis suggests that this might signify a new position for traders, albeit not significantly substantial.