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Late SOFR Calendar Fly, Ongoing Unwind

STIR

SOFR Block/cross posted at 1512:21ET, carry over from Friday on similar amounts on higher futures levels:

  • +5,829 SFRH5 95.94
  • -11,658 SFRM5 96.12
  • +5,829 SFRU5 96.215
  • Appears to be an unwind of massive fly Blocked on August 1:
  • -70,000 SFRH5/SFRM5/SFRU5 fly sale from -0.075 to -0.080 (open interest gained as a result).

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