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Post-Data Tone Change in SOFR Options

STIR
Flurry of upside call structure and vol buying trade with underlying futures holding strong support post data (projected rate cuts for year end inching higher).
  • +10,000 SFRH4 97.50/98.00 call spds vs. 95.96/0.05% w/
  • +10,000 OQU3 97.50/98.00 call spd vs. 96.67, paying 15.25 to buy both
  • total +16,500 (10K Blocked) SFRM3 94.87 straddles 3.5 over SFRN3 95.25 calls vs. 95.11/0.42%

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