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STIR: Block Flow Across SOFR STIR Futures & Options

STIR
BulletMarketsFixed Income Bullets

Short end block activity seen since the turn of the hour:

  • SFRZ5/Z6 sees 10,340 lots trade across 2 blocks, looks like a seller at 5.0. Comes in the wake of the previously covered flattener flow and triggers further screen activity with 5.5 bid at the time of the initial block. Surrounding spreads and outrights also trade on the follow, with SFRZ5/Z6 trading further away from last week’s cycle high of 11.5.
  • SFRV4 96.1875/96.25 call spread 4.0K blocked at 1.0, looked like a buyer.
  • SFRZ4 96.25/95.75/95.25 put fly 5.0K blocked at 25, looked like a seller.
  • Also seeing some mid-curve call structures trade on block, will get further details.
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Short end block activity seen since the turn of the hour:

  • SFRZ5/Z6 sees 10,340 lots trade across 2 blocks, looks like a seller at 5.0. Comes in the wake of the previously covered flattener flow and triggers further screen activity with 5.5 bid at the time of the initial block. Surrounding spreads and outrights also trade on the follow, with SFRZ5/Z6 trading further away from last week’s cycle high of 11.5.
  • SFRV4 96.1875/96.25 call spread 4.0K blocked at 1.0, looked like a buyer.
  • SFRZ4 96.25/95.75/95.25 put fly 5.0K blocked at 25, looked like a seller.
  • Also seeing some mid-curve call structures trade on block, will get further details.