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Early SOFR Option Roundup, Put Buyers Return

STIR
Overnight option trade a little more paired compared to Thu's heavy upside call positioning for policy pivot over the next couple Fed meetings. Pick-up in put structures overnight w/ weaker underlying scaling back small portion dovish pricing.
  • 2,100 SFRG3 95.12/95.18/95.25 put trees ref 95.155
  • 3,000 SFRJ3 95.18/95.31/95.43 put flys ref 95.105
  • Over 14,700 SFRZ3 95.37/95.50 put spds ref 95.645
  • 2,800 SFRM4 98.25/98.50 call spds, ref 96.72
  • Total 18,000 (2.5k block) SFRJ3 94.93/95.06/95.18 put flys, 1.5 ref 95.10
  • Block, 1,250 SFRU3 94.81/94.93/95.12 2x3x1 put flys, 1.5 net ref 95.28
  • Block, total 14,000 OQJ3 96.00 puts, 6.0 vs. 96.725 -.73/0.15%
  • 1,500 SFRJ3 95.31/95.43/95.56 call flys, ref 95.11
  • 7,250 SFRJ3 95.06/95.12/95.25/95.37 call condors, ref 95.11
  • Total 9,500 (3k Block) SFRJ3 94.93/95.06/95.18 put flys, 1.5 ref 95.105 -.11
  • Block, 1,500 SFRH3 95.12/95.25/95.43 broken call flys, 3.25 ref 95.155
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