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SOFR Call Spread Shifts And Vol Trading Monday

OPTIONS

Monday's US rates / bond options flow included:

  • SFM4 96.00/97.00cs, sold at 5.5 in 28k total, Paper is said to be long 250k,and buying the SFRU4 call spread.
  • SFRU4 97.00/98.00cs, bought for 6 in another 25k, that's 50k total for 5.75 and 6
  • SFRF4/SFRG4^ strip, sold at 35 in 1k
  • SFRU4 95.50/96.00/96.50 c fly traded 4.5 in 1k.
  • 0QZ3 95.37/95.25/95.12p fly traded 2 in 1k
  • 0QZ3 95.62/95.50ps traded 7.5 in 2k.
  • 0QF4 95.81/95.68/95.56/95.31p condor traded 1 in 1k.
  • 2QF4 96.50/96.25/96.00p fly traded 5.5 in 5k (Block and screen)
  • SFRZ3 94.62^ sold at 4.25 in 5k
  • SFRZ4 95.00c sold at 0.25 in 5k (on screen).

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