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Large SOFR Call Spread Short Cover Features

US EURODLR OPTIONS

Wednesday's US rates options flow included:

  • SFRZ2 95.75/95.87/96.00/96.25c condor, bought for 1 in 20k
  • SFRH3 96.75/97.00cs, now bought for 2 in 27.5k.Earlier was bought for 1.75 in 12.5k (40k total). Desk suggests that it could be a short cover
  • SFRV2 95.56/95.50/95.43p ladder, bought for half in 10k
  • SFRX2 95.87/96.00cs , bought for 2.25 in 5k
  • EDV2 95.00p, bought for 1 in 10k

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