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SOFR Options Debut; First Trades Anticipate Higher Volatility

Jan. 7, 2020, 2:34 PM

Options on SOFR futures became available for trading Monday, and 10 contracts changed hands -- five lots of a straddle, in which a put and a call with the same strike are bought, anticipating an increase in volatility.

The trade involved the 98.625 strike in December 2020 options on three-month SOFR futures, according to open-interest data released by CME Group Inc., which lists the contracts. The straddles were traded at a price of 37 ticks, according to several traders familiar with the transactions who asked not to be identified because they aren’t authorized to speak publicly.

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