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Latest SOFR Option Roundup: Midcurve Vol Sales, Mixed Call Trade

STIR
  • -8,000 OQZ3 94.50/98.00 strangles, 8.5
  • -2,500 SFRZ3 96.00 calls, 8.0 vs. 94.675/0.10%
  • -5,000 SFRU3 95.00/95.50/9600 call flys, 1.0 vs. 94.655/0.06%
  • +10,000 SFRU3 95.00/95.25 call spds, 1.5 vs. 94.665/0.05%
  • +10,000 OQU3 96.50/97.00 call spds vs. 2QU3 97.25/97.75 call spds, 2.0 net for conditional bull curve steepener

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