利率期货倒挂预警：交易员押注“持续降息”取代“明年加息”，市场对美联储预期为何一夜骤变？

Core Viewpoint - Traders in the U.S. futures and options market are betting that the Federal Reserve will continue to lower interest rates into next year rather than restart rate hikes, indicating a shift towards a prolonged easing cycle [1][3]. Group 1: Market Expectations - The SOFR spread for the 12-month period from December 2026 to December 2027 fell into negative territory, deepening to negative 8 basis points, reflecting a complete shift in investor expectations from rate hikes in 2027 to rate cuts [3]. - The trading volume for this 12-month spread reached a record of over 150,000 contracts during the Monday trading session [3]. - In the SOFR options market, there is a growing trend towards hedging against multiple rate cuts this year, with significant activity observed in positions aimed at hedging the possibility of the policy rate dropping to as low as 2% by year-end [6]. Group 2: Investor Sentiment - A recent survey by JPMorgan indicated that the proportion of investors holding neutral positions reached the highest level since December 2024, with short positions decreasing by 4 percentage points and long positions down by 2 percentage points [7]. - The current pricing in the swap market suggests that the Federal Reserve's year-end rate is approximately 3.1%, just slightly above the expected two 25 basis point cuts [6]. Group 3: Options Market Activity - Recent activity in the SOFR options market shows a concentration of new risk in several September 2026 put options, driven by significant buying of butterfly spreads [10]. - The most concentrated strike price for options expiring on September 26 is at the 96.375 level, with substantial open interest in both call and put options [11]. Group 4: Bond Market Dynamics - The premium paid for hedging against bond market risks has widened, with the cost of call options exceeding that of put options, indicating that traders are paying higher prices to hedge against rising bond prices rather than falling ones [15]. - The skew indicators for 10-year and long-term bond options show that the popularity of call options has reached its highest level in several months [15].