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SOFR Options Update

STIR
  • Pick-up in SOFR call options last few minutes, Dec out-of-the-money 96.50 calls adding to just over +105k late Wednesday from 6.0-7.5, open interest only +3,935 to 404,697.
    • +47,000 SFRZ3 96.50 calls, 6.5 ref 94.765 to -.77
    • Block, 6,000 SFRM3 94.68/94.81/94.87/95.00 call condors, 0.5 ref 94.7875
    • 9,000 SFRQ3 94.56 puts, 6.0 ref 94.675 to -.68
    • 4,500 OQU3 96.50/97.00 2x3 call spds ref 95.93
    • Block/screen, 7,750 SFRZ3 95.50/OQZ3 97.25 call spds, 1.5

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