美债多头”鸽派狂欢“：通胀温和助推SOFR期权押注9月降息概率升至90%

Core Viewpoint - A moderate U.S. inflation report is strengthening traders' positions that the Federal Reserve will soon lower interest rates, with some speculating on the possibility of a significant rate cut [1][4]. Inflation Data Summary - July CPI increased by 0.2% month-on-month, matching expectations, while year-on-year growth was 2.7%, slightly below the forecast of 2.8% [1]. - Core CPI for July rose by 0.3% month-on-month, in line with expectations, and year-on-year growth was 3.1%, above the forecast of 3% [1]. Market Reactions - Following the CPI data release, short-term U.S. Treasury yields declined, and traders raised the probability of a Fed rate cut in September to 90% [1]. - There is growing interest in options betting on a rate cut exceeding 25 basis points in September, with approximately $2 million in options premiums added to positions linked to the Secured Overnight Financing Rate (SOFR) [1]. Expert Opinions - Rick Rieder from BlackRock anticipates a 50 basis point rate cut in September, citing the inflation report as slightly higher than previous months but not alarming [4]. - Claudia Sahm from New Century Advisors cautions that a September rate cut is not guaranteed, as definitive data is still pending [5]. Options Market Activity - Significant demand for call options at strike prices of 96.25 and 96.125 for September and December SOFR contracts indicates traders are pricing in further rate cuts [7]. - The options market remains close to neutral overall, with a slight bias towards bearish positions in long-term bonds [9].