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BLOCKs: Mixed SOFR Crosses

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Pick-up in SOFR option Blocks the last few minutes, largely mixed ahead of this morning's PPI and weekly claims in addition to some unwinds ahead Friday's Sep expiration. Underlying futures paring losses in the short end while projected rate cuts through year end look largely steady vs. late Wednesday levels (*): Sep'24 cumulative -29.8bp (-29.4bp), Nov'24 cumulative -65.9bp (-65.9bp), Dec'24 -105.4bp (-105.3bp).
  • Block, 20,000 SFRU4 95.00 puts, cab
  • Block, 20,000 SFRZ5 95.25/96.00/96.75 put flys 12.5 ref 97.135 to -.14
  • Block/screen 7,500 0QV4 97.00/97.50 2x3 call spds, 31.0 ref 97.14
  • Additional overnight trade/Blocks include:
  • Block, 9,000 SFRH5 95.50/95.75/96.25/96.50 iron condors, 9.0
  • 3,000 SFRZ4 95.25/95.37/95.50/95.62 call condors ref 95.835
  • 3,000 0QV4 97.12/97.37 call spds ref 97.145
  • over 20,000 SFRU4 95.00/95.12/95.25 call flys, 4.25 on screen/Block
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Pick-up in SOFR option Blocks the last few minutes, largely mixed ahead of this morning's PPI and weekly claims in addition to some unwinds ahead Friday's Sep expiration. Underlying futures paring losses in the short end while projected rate cuts through year end look largely steady vs. late Wednesday levels (*): Sep'24 cumulative -29.8bp (-29.4bp), Nov'24 cumulative -65.9bp (-65.9bp), Dec'24 -105.4bp (-105.3bp).
  • Block, 20,000 SFRU4 95.00 puts, cab
  • Block, 20,000 SFRZ5 95.25/96.00/96.75 put flys 12.5 ref 97.135 to -.14
  • Block/screen 7,500 0QV4 97.00/97.50 2x3 call spds, 31.0 ref 97.14
  • Additional overnight trade/Blocks include:
  • Block, 9,000 SFRH5 95.50/95.75/96.25/96.50 iron condors, 9.0
  • 3,000 SFRZ4 95.25/95.37/95.50/95.62 call condors ref 95.835
  • 3,000 0QV4 97.12/97.37 call spds ref 97.145
  • over 20,000 SFRU4 95.00/95.12/95.25 call flys, 4.25 on screen/Block