根据研究员 Ed Bolingbroke 的发现,周一曲线前端的资金流动,出现了有史以来最大的联邦基金期货大宗交易,该交易涉及 10 月的联邦基金期货合约,总计 84,000 份,相当于每个基点的风险敞口高达 350 万美元。芝商所在 X 平台确认这一交易,据悉该大宗交易的价格和时机均符合买方特征,鉴于当前掉期市场已充分消化 25 个基点降息预期,此举可能暗示该神秘交易员正对周三美联储决议直降 50 个基点的风险进行对冲。
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