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UPDATE, Heavy Dec'23 SOFR Call Volume, Likely Closers

STIR
  • Approximately -100,000 SFRZ3 95.50/96.50 call spreads trade 7.5 after 70,000 SFRZ3 96.50/97.50 call spreads traded 3.5 in the last few minutes.
  • Likely unwinding massive upside positions hedging for rate cuts by year end.
  • Coming into the session, open interest in the 95.50 calls 345,812; 96.50 calls 422,721, 97.50 calls 394,127.
  • Latest BLOCK: 8,000 SFRZ3 94.50/94.75/95.00 put flys, 3.75 ref 94.795

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