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STIR: Post-Data SOFR Option Flow

STIR

Vol sales and downside skew interest while underlying futures drift in mildly negative territory, near top end of the range.

  • +2,500 0QJ5 95.43/95.50 2x1 put spds, 2.0 vs. 96.09/.05%
  • -4,000 0QH5 96.00/96.37 1x2 call over risk reversals, 2 net ref 96.12
  • 3,000 SFRU5 96.25/96.50/96.62/96.87 call condors, 2.75 ref 96.03
  • -2,500 0QG5 96.12 straddles, 17.5 ref 96.11
  • +7,500 SFRJ5 95.68/95.75/95.81/95.87 put condors, 2.25 vs. 95.90/0.05%
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Vol sales and downside skew interest while underlying futures drift in mildly negative territory, near top end of the range.

  • +2,500 0QJ5 95.43/95.50 2x1 put spds, 2.0 vs. 96.09/.05%
  • -4,000 0QH5 96.00/96.37 1x2 call over risk reversals, 2 net ref 96.12
  • 3,000 SFRU5 96.25/96.50/96.62/96.87 call condors, 2.75 ref 96.03
  • -2,500 0QG5 96.12 straddles, 17.5 ref 96.11
  • +7,500 SFRJ5 95.68/95.75/95.81/95.87 put condors, 2.25 vs. 95.90/0.05%