October 03, 2024 15:58 GMT
STIR: SOFR Option Roundup
STIR
First half SOFR trade leaning towards downside puts, underlying futures weaker, near session lows. SOFR White pack (SFRZ4-SFRU5) currently -0.030-0.075, while projected rate cuts look steady to mildly weaker vs. this morning's levels (*): Nov'24 cumulative -34.1bp, Dec'24 -67.9bp (-68.9bp), Jan'25 -97.1bp (-99.5bp). Salient trade includes:
- +10,000 SFRZ4 95.81/95.93 2x1 put spds 0.5 ref 95.935
- +5,000 SFRX4 96.06/96.18/96.25/96.43 call condors, 1.5 ref 95.94
- +5,000 SFRU6 95.00 puts, 11.5 vs. 96.97/0.10%
- +4,000 SFRX4 96.12/96.25 call spd, 2.25 vs. 95.945/0.10%
- +2,500 SFRM5 96.00/96.50 put spd 4.0 over 97.75 call vs. 96.77/0.37%
- +5,000 SFRH5 96.00/96.37 put spds vs 97.50 call w/
- +5,000 SFRH5 96.25/97.25 put over risk reversals, +16.5 total db
- +8,000 SFRV4 96.12/96.25 call spds 1.25 ref 95.96
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