Bloomberg News covered the 45,000-contract, 2-year Eris SOFR mega block (View blocks here: https://lnkd.in/gJF6hUv4) traded Monday, record size for an outright block trade.
Edward Bolingbroke of Bloomberg News: “Huge Block Trade in ERIS SOFR Swap Futures Signals Position Exit”
The $4.5 billion notional ($820,000 DV01) block was traded mid-morning as treasury yields rose sharply. Open interest in Eris SOFR 2-year fell by 44,981 contracts, consistent with the large position exit.
Date
