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SOFR Options Continue to Make Strides in Transitioning From Eurodlrs

STIR
Aside from a steady increase in volumes of SOFR futures and options ahead of the coming conversion of Eurodollar futures and options on April 14, 2023 - the sophistication of SOFR option flows has risen to the point where Eurodollar options used to excel. Recent examples of put positioning to hedge continued rate hikes into late 2023:
  • +10,000 OQM3 95.75/96.12 put spds vs. 2QM3 96.50/96.87 put spds, paying 1.0 net for the conditional bear curve flattener (SOFR Reds vs. Greens).
  • Over the past week, accts have purchased over 150,000 SFRU3 94.00/94.50 put spds from 5.5-6.0.
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