January 19, 2023 11:32 GMT
Policy Pivot Hedges: Mar'23 SOFR Call Condor, Apr'23 SOFR Call Fly
STIR
- Call condor adds to 5,000 Blocked earlier at 1.5, covers Feb FOMC:
- +14,800 SFRH3 95.12/95.18/95.25/95.37 call condors ref 95.175 (expire Mar 10)
- Call fly covers Feb and Mar FOMC:
- +9,000 SFRJ3 95.31/95.43/95.56 call flys ref 95.175 (expire Apr 14)
- Note on call condor, appr +25,000 SFRJ3 95.06/95.12/95.25/95.37 broken call condors funded via sale of SFRJ3 94.87/94.93 put spds, 0.5 net db
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