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CORECTS BLOCK: Large Sep'24/Jun'25 SOFR Call Condor Spread

STIR

160,000 option package Blocked in the last few minutes, CME screen shows structure as Jun'25 call condor bought 5-5.5 over the Sep'24 call condor from 1336-1337ET:

  • -20,000 SFRU4 95.00/95.50/95.75/96.25 call condors ref 95.345
  • +20,000 SFRM5 96.25/97.00/98.50/99.25 call condors ref 96.18
  • Given where underlying futures are, it appears the spread initiator is looking for rate cut pricing in the fall of 2024 to wane vs. positioning for rate cut pricing in the fall of 2025 to increase.

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