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SOFR Strangle Package Breakdown: Long Strangle Roll-Down

STIR

Breakdown of Monday's large strangle Block package in regards to positioning in light of the CME Groups open interest bulletin data. Open interest changes as a result of Monday's trade in parentheses below. Long strangle roll-down apparent in March and June - Sep inconclusive, but total volume of 20k twice that of Block (back-office error, additional cross/unwind - unknown).

  • +10,000 SFRH3 (+) 94.50/95.50 (+) strangles, 29.0
  • -10,000 SFRH3 (nc) 94.75/95.75 (-) strangles, 30.0
  • +10,400 SFRM3 (+) 94.50/95.50 (+) strangles, 54.5
  • -10,000 SFRM3 (-) 94.75/95.75 (-) strangles, 55.0
  • -10,000 SFRU3 94.25/95.75 strangles, 64.0 vs (Both NC -- 20k volume)
  • +10,000 SFRU3 94.50/96.00 strangles, 63.5, 0.5 cr (Both NC -- 20k volume)
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