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Early SOFR Option Roundup


Puts driving volumes:

  • Block, 9,750 SFRG3 95.12/95.18/95.25 put trees, 1.5 (5k more/screen) ref 95.16
  • 4,000 SFRZ3 95.00 puts, 12.0 ref 95.705
  • Block, 1,900 SFRU3 94.75/95.00/95.25 put trees, 4.0 ref 95.315
  • Block, 5,000 SFRH4 93.00/94.00 put spds, 2.5 vs. 96.195/0.05%
  • over 8,500 SFRU3 95.50 calls, ref 95.345
  • Block, total 7,500 SFRH3 95.12/95.37 call spds, 8.0 ref 95.17
  • 1,450 SFRG3 94.93/95.00/95.06/95.12 put condors ref 95.175
  • Block, 5,000 SFRH3 95.00/95.06/95.18/95.25 put condors, 3.25 ref 95.17

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