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Early SOFR Option Update

STIR
Gradual pick-up in call spd buying/hedging rate hike step-down:
  • +5,000 SFRJ 95.31/95.43 call spds, 2.0 (covers March FOMC)
  • +5,000 SFRU 95.00/95.50/96.00 call flys, 13.5
  • 1,500 SFRH3 95.25/95.37 1x2 call spds ref 95.155
  • Block, 2,500 OQH3 95.75/96.00 put spds, 7.5 vs. 96.20/0.10%
  • Update, over +12,800 (block/screen) SFRG3 95.12/95.18/95.25 put trees, 1.25-1.5, ref 95.16-.15

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