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SOFR Reports & Commentary

SOFR Option Weekly Commentary 4/24/26

Stocks are finishing the week near all time highs as US/Iran peace talks are set again in Pakistan & the investigation into Chairman Powell was dropped. Retail Sales numbers released this week were much stronger than expected.

The current odds of a 25 bp cut by Dec 9th dropped to 36.8% (down from 50.21% last week) while the odds of two 25 bp cuts are down to 6.2% (down from 12.7% last week) as of this writing. The 10Yr is currently trading @ 4.31%.

SOFR Option Vols were slightly higher this week, but still lower over the past 2 weeks (see attached spreadsheet).

SOFR OPTION TRADES to NOTE this WEEK:

sfrm6 9612 9600 ps paper paid .5 10kx ref 96.33

sfrm6 9662 9650 9637 p fly paper sold 7500 @ .75 ref 96.34

sfrm6 9637 9631 p 1x2 paper paid 1.75-2 7500x ref 96.33

sfrm6 9643 9650 cs paper sold 10k @ .5 ref 96.33

sfrm6 9600 9587 ps vs sfrz6 9600 9575 ps paper paid 3 15kx +z

sfrn6 9650 9637 9631 brk p tree paper paid 1.5 5kx ref 96.35

sfrq6 9643 9637 9631 9625 p condor paper paid 3.25 10kx ref 96.36

sfru6 9643 9656 9681 c tree paper sold 7k @ 1 -2 legs ref 96.37

sfru6 9625 9600 ps paper sold 5k @ 2.5 ref 96.40

sfru6 9643/9618 p1x2 paper paid 2-2.5 40kx ref 96.36

sfru6 9631 ^ paper paid 24-27 20kx ref 96.36

sfru6 9643 9650 9656 c fly paper paid .375 5kx ref 96.375

sfru6 9650 9681 9712 c fly paper paid 3.5 10kx ref 96.375

sfru6 9650 call (tied 96.38 d30) paper paid 9.75-10 10kx

sfru6 9600 9587 ps paper paid 1 10kx ref 96.38

sfrz6 9650 9637 9631 9618 p condor paper paid 4-4.25 10kx ref 96.45

sfrz6 9668 9681 9693 9706 c condor paper paid 1.75 7500x ref 96.45

sfrz6 9600 9700 ^^ paper sold 2k @ 15.5 ref 96.41

sfrz6 9662 9687 cs paper sold 7500 @ 5-4.75 ref 96.40

sfrz6 9650 9712 c 4x5 vs 9575 p 4x (tied 9638 d160) paper sold 5k @ 7-6 (-4x5)

sfrz6 9625 9650 squash (tied 9642 d80) paper sold 5k @ 4 -c

sfrz6 9606 9593 9581 9568 p condor paper paid 1 5kx ref 96.42

sfrz6 9550 put (tied 96.37 d15) paper paid 5.75 7500x

sfrz6 9600 9587 ps paper paid 2-2.25 10kx ref 96.37

0qk6 0qm6 9662 9687 cs sprd paper paid 2.125 10kx ref 96.43

0qm6 9643 ^ paper paid 29 2kx

0qm6 9662 c (tied 96.45 d25) paper paid 7.5 5kx

0qm6 0qu6 9650 9637 ps sprd paper paid .5 7500x +0qm6

0qn6 9618 9593 ps paper paid 3.5 25kx ref 96.515

0qu6 9612 9700 squash (tied 96.625 d44) paper paid 3.5 4kx +c

0qz6 9787 c (tied 9658 d06) paper paid 4 5kx

0qz6 9650 9600 ps (tied 96.64 d22) paper sold 10k @ 13

0qz6 9750 9800 cs paper paid 3.5 50kx ref 96.54

0qz6 9675 9700 cs vs 9625 9600 ps (tied 96.51 d20) paper sold 5k @ .00 -cs

2qk6 9637 9662 ^^ vs 2qm6 9650 ^ paper sold 2k @ 17.5 ref 96.57

2qm6 9662 9643 9631 brk p tree paper sold 10k @ 2.5 ref 96.60

3qz6 9637 ^ paper paid 52 2kx ref 96.40

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