从SOFR期权到债市倾斜：交易员疯狂对冲“美联储转向”9月或现50基点激进宽松

Group 1 - The U.S. economy is showing signs of weakness, providing a basis for the Federal Reserve to respond to Trump's calls for interest rate cuts, with the bond market increasing bets on rate cuts this year [1] - SOFR options indicate that investors are preparing for potential rate cuts in the remaining three meetings, with expectations of a cumulative rate reduction of 75 basis points by 2025, and some even betting on a 50 basis point cut in September [1][22] - Recent economic data, including weaker-than-expected non-farm payrolls and stagnant service sector reports, have reinforced market expectations for the Fed to cut rates to support the economy [1] Group 2 - Morgan Stanley's clients have increased their long positions in U.S. Treasuries to the highest level since April, reflecting a bullish sentiment in the cash market [5] - The Federal Reserve is showing signals of a policy shift, with officials like San Francisco Fed President Daly stating that "the time for rate cuts has come," and some members voting against maintaining rates [5] - As of the week ending August 4, clients raised their long positions in U.S. Treasuries by 5 percentage points, marking the highest level since April 14 [6] Group 3 - SOFR options data shows significant increases in positions for various strike prices, particularly for puts at 95.75, indicating a strong bearish sentiment [8][10] - The demand for hedging against further rate declines has increased following the employment report, with some positions directly betting on a 50 basis point cut in September [10] - The skew in U.S. Treasury options has shifted to a bullish stance, with the expansion of long call skew reaching the highest level since April [14] Group 4 - Hedge funds have significantly increased their net short positions in 10-year Treasury futures, while asset management companies have increased their net long positions in 10-year and longer contracts, indicating a notable divergence in market sentiment [18] - Current market focus is on the September meeting, with some SOFR options trading reflecting investors preparing for potential large rate cuts [22]