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SOFR Option Roundup: Shift to Calls

STIR
Shift to better low delta call and call spds after more consistent put trade last few sessions. Checking direction on latest micro-curve (Red Jun/Blue Jun) call spd block:
  • Block/screen, 7,500 OQM3 97.25/3QM3 97.75 call spd, 1.5 short Jun over
  • Block, 5,000 SFRZ3 97.00/97.50 call spds, 3.0 vs. 95.665/0.05%
  • Block, 5,000 SFRJ3 95.25/95.37 call spds, 1.75 vs. 95.09/0.11%
  • 2,500 SFRK3 95.18/95.31/95.50 call trees
  • 2,000 SFRH3 96.75/97.50/98.00 broken call flys ref 96.15
  • Block/screen, 19,500 SFRZ3 96.25/97.00/97.50 broken call flys, 6.5 vs. 95.59/0.10%
  • 1,250 SFRK3 95.25/95.31 call spds vs. SFRN3 95.06/95.18/95.25/95.37 call condors
  • 1,250 SFRN3 95.06/95.18/95.31/95.50 call condors ref 95.265
  • 3,000 SFRM3 95.12/OQM3 96.12 call spds

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