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Early SOFR Option Roundup

STIR
Early two way flow at first glance, SOFR options now seeing better low delta puts, put spreads on net as underlying futures hold weaker levels as projected rate hike (s) over the next three FOMC meetings gains momentum (year-end rate cuts recede). Salient SOFR option trade includes:
  • +25,000 SFRN3 94.25/94.50 put spds, 2.0 pit/screen
  • +2,000 SFRZ3 97.00/98.50 1x2 call spds, 7.5
  • +1,500 SFRZ3 94.50/94.75/95.00/95.25 put condors, 7.0 ref 95.42
  • 3,000 SFRZ3 94.93/95.12/95.18/95.43 call condors ref 95.105
  • Block, 7,000 SFRN3 94.25/94.50 put spds, 2.0 ref 95.105
  • Block, 3,000 SFRU3 94.68/94.93/95.12 broken put trees, 0.0 net ref 95.08
  • over 5,000 SFRZ3 94.75/94.81 put spds, 2.5 ref 94.88
  • 2,000 SFRM3 94.81/94.94/95.06 put flys ref 94.89
  • Block, 10,000 SFRZ3 96.5/97.5 call spds, 11.5 ref 95.395
  • 1,750 SFRU3 96.50/97.00 call spds vs.
  • SFRM4 98.50/99.00 call spds, 1.0 db/Jun over
  • 4,000 SFRU3 94.75/95.00 call spds, ref 95.08
  • 5,000 SFRM3 94.75/95.00 put spds, ref 94.885
  • 4,000 SFRM3 94.5/94.81 put spds, ref 94.885
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