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Early SOFR Option Roundup, Note on Wed's Upside Hedging

STIR
Little more mixed overnight, shift from large upside call structure buying on Wed* w/ pick-up in put hedging ahead key inflation measure
    • 2,500 SFRU 95.00/95.50/96.00 call flys, ref 95.27
    • 10,000 SFRH3 95.12/95.18/95.25/95.37 call condors ref 95.12
    • 6,700 SFRF3 95.18 calls, 1.75 ref 95.12 -.115
    • 4,500 SFRM3 94.50/94.62 put spds ref 95.085
    • 8,000 SFRG3 94.87/95.00 put spds, ref 95.12
    • 4,000 SFRK3 94.93 puts, ref 95.08
    • 1,200 SFRG3/SFRH3 95.12 straddle spd
    • 5,250 SFRG3 95.00/95.12 put spds, ref 95.12
    • Block, 6,000 SFRK3 94.81/94.93/95.06 put flys, 2.75
    • Block, 14,000 SFRK3 94.81/94.93/95.06 put flys 0.5-.75 over 95.62 calls
    • 5,000 SFRH3 95.25/95.31/95.37 call trees ref 95.12
    • Block, 10,000 SFRU3 94.75/94.87/95.00 put flys, 1.5 vs. 95.255/0.05%
    • 4,000 SFRH3 95.18/95.25 call spds, ref 95.115
  • *Note: Wed's heavy call spd buying appear to be all new/openers: +100,000 SFRZ3 98.00/98.50 call spds, 1.5 ref 95.63; 6,239 SFRG3 95.18/95.43 4x5 call spds, 13.0 vs. 95.115/100%; +30k+ SFRF3 95.12/95.18/95.25 call flys, 1.75-2.0. Large 45k SFRZ3 futures block sees OI gain 57k.
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