May 09, 2024 14:10 GMT
Post-Data SOFR Options Leaning Bullish
STIR
Post-data SOFR option trade leaning bullish as underlying futures rebound after higher than expected weekly jobless claims helps projected year-end rate cut pricing. Better put sales/unwinds, call buying and outright vol selling so far:
- -27,500 SFRZ4 94.43/94.68 put spds, 3.0 vs. 95.115/0.10%
- -10,000 SFRU4 94.87 straddles 25.5 ref 94.90
- -15,000 SFRM4 94.68 puts 1.75 ref 94.71
- -12,000 SFRU4 94.50 puts 1.0 vs. 94.915/0.05%
- +7,000 SFRH5 95.25/95.87 call spds 21.0 vs. 95.38/0.20%
- +15,000 SFRU4 94.93/95.12/95.25/95.43 call condors 2.75 ref 94.90
73 words