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Pre-Data SOFR Option Update

STIR
  • Heavy Dec'23 96.50 call buys adds to +105k from 6.0-7.5 yesterday,
  • Update, over +102,500 (50k block) SFRZ3 96.50 calls, 6.5-7.5 ref 94.765 to -.77
  • Block/screen, +15,000 SFRZ3 95.50/OQZ3 97.25 call spds, 1.5 bull steepener
  • 10,000 SFRQ3 94.56/94.68 2x1 put spds ref 94.675
  • 5,000 SFRZ 94.50 puts vs. OQZ3 95.00/95.50 put spds
  • 4,500 SFRU3 95.50/95.62 call spds ref 94.675
  • over 9,300 SFRM3 94.75 puts, 0.5 ref 94.7875

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