December 24, 2024 15:09 GMT
STIR: Early SOFR Options
STIR
- Pick-up in call structure buying since the open, underlying futures steady to mixed through Jun'25:
- +10,000 0QZ5 96.25/96.75/97.25/97.75 call condors 4.25 over SFRZ5 96.50/97.00/97.50/98.00 call condors
- +2,000 0QF5 96.25/96.31 call spds, 0.5 ref 95.925/0.05%
- +2,000 SFRM5/SFRU5 97.00 call spds 4.25
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