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OPTIONS: US SOFR Roundup

OPTIONS

Tuesday's SOFR options flow included:

  • SFRU4 95.00/94.93/94.87p fly 2x3x1 traded 2 in 4k.
  • SFRU4 94.81/94.75p strip, traded half in 5k.
  • SFRU4 95.06/95.12cs traded 2 in 5k.
  • SFRU4 95.00/95.12/95.25c fly, traded 2 in 5k.
  • SFRU4 95.12/95.06/94.93 broken p fly, traded for -0.25 in 4k.
  • SFRU4 95.18/95.25cs, traded for 1.5 in 4.5k.
  • SFRU4 95.12/95.18cs, traded for 2 in 3k.
  • SFRU4 95.12/95.25/95.31/95.43c condor, traded for 3 in 2k.
  • SFRU4 95.25/95.37cs traded 1 in 3k
  • SFRU4 95.0625p sold at 4.25 in 10k (done pre US ISM Mfg).
  • SFRU4 95.12^, bought for 13.75 in 1
  • SFRU4 95.18/95.25/95.31/95.37c condor, bought for 1.25 in 5k
  • SFRV4 95.68/95.56ps vs 96.00c traded for -0.25 in 7.5k.
  • SFRM5 98.37c traded for 6.5 in 2k.
  • 0QH5/2QH5 97.50/98.00cs spread, traded for 1.5 in 5k.

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