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Early SOFR Options

STIR

Early NY session trade still mixed is leaning toward upside (rate cut hedge) call structures since the open:

  • +5,000 SFRZ4 95.50/96.12/96.37/97.00 call condors, 13.5 ref 95.83
  • +5,000 SFRU4 95.25 puts, 19.5 vs. 95.49/0..36%
  • 5,750 SFRM4 95.12/95.37/95.50/96.00 call condors ref 95.12 to -.125
  • 2,500 SFRH5 96.00/96.50/97.00 call flys ref 96.125

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