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SOFR Options Fading Short End Bounce

STIR
Latest trade fading the post-data/Fed-speak short end bounce:
  • -2,500 SFRZ2 96.25/96.50 strangles, 30.0
  • +5,000 SFRH3 95.50/95.75 put spds, 5.5 vs. 96.26/0.08%
  • +5,000 SFRZ2 96.00/96.50 2x1 put spds, 4.0

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