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SOFR Reports & Commentary

SOFR Option Weekly Commentary 1/9/26

Markets reflected that the FED is content with today's lower than expected payroll numbers, at least for the time being. The odds of a 25 bp cut at the FED's Jan 28th meeting has been lowered to 5%. The odds of a 25 bp cut at the FEDs' Mar 18th meeting is roughly 31%. This week's ISM Services New Orders data was significantly higher (57.9%) vs 52.9 expected. ISM Services Prices Paid data came in lower than expected. Weaker payrolls & benign services inflation data were balanced by better than expected growth.

Sofr Option Vols were lower on the week (see attached spd sheet).

SOFR OPTION PLAYERS to NOTE THIS WEEK:

sfrf6 9643 put paper paid 2-2.5 100kx ref 96.48

sfrf6 9650 9643 9637 p fly paper paid 1.25-1.5 15kx

sfrf6 sfrg6 9643 9637 ps sprd paper paidd 1 20kx ref 96.47

sfrg6 9650 9643 9637 p fly paper paid 1-1.25 40kx ref 96.46

sfrh6 9643 9656 9668 9681 c condor paper paid 2.5 8kx Ref 96.41

sfrh6 9643^ paper paid 14.25 5kx ref 96.44

sfrh6 9731 call (tied 96.44 d10) paper sold 10k at .5

sfrh6 9643 9637 p 1x2 paper paid 1 10kx ref 96.455

sfrh6 9643 put (tied 96.485 d41) paper paid 5.5-5.75 15kx

sfrh6 9643 9637 9631 p tree paper paid 3.75 40kx

sfrh6 9650 9637 9631 brk p tree paper paid 6.5 30kx ref 96.485

sfrh6 9650 9675 cs vs sfru6 9675 9700 9725 c fly paper sold 40k at .75 to 0 - sfrh6

sfrh6 9650 9662 9675 c fly paper paid 2 10kx ref 96.47

sfrh6 9656 call vs sfrm6 9650 9668 9687 brk c fly paper sold 5k @ .5 -h6 call

sfrh6 9612 9725 squash (tied 96.44 d50) paper sold 7k @ .5 - c

sfrj6 9625 put paper paid .5 50kx

sfrj6 9668 ^ paper sold 2500 at 24.75 ref 96.67

sfrj6 9668 9693 cs paper sold 10k at 6.75 ref 96.69

sfrm6 9762 call (tied 96.66-63.5 d10) paper sold 40k at 2.25

sfrm6 9662 put (tied 96.655 d48) vs 0qm6 9668 put (tied 96.835 d38) paper sold 15k at .25 - 0qm6

sfrm6 9800 call paper paid 2 10kx ref 96.69

sfru6 9637 9612 ps paper paid 1.5 15kx ref 96.785

sfrz6 9687 call (tied 96.895 d50) paper paid 27 10kx

sfrz6 9681 9656 ps vs 9781 call (tied 96.895-96.90 d32) paper paid 3.5 10kx +ps

sfrz6 9737 9712 9681 brk p tree paper sold 10k @ .75-.25 -2 legs

sfrz6 9900 10000 10100 c fly paper paid 1.5 40kx

sfru8 9800 call (tied 96.59 d12) paper sold 5k at 10.5

0qf6 9675 9662 ps paper paid 1.5 25kx ref 96.855

0qf6 9700 call paper paid 2 10kx ref 96.88

0qg6 9681 9668 p 1x2 paper paid 1.5 5kx

0qg6 9675 9662 ps (tied 96.895-96.905 d13) paper paid 2.5 25kx

0qg6 9687 9675 ps vs 9712 call paper paid 2.5 10kx +ps ref 96.88

0qg6 9725 9775 9825 c fly paper sold 15k at 1.25-1 ref 96.90

0qg6 9687 ^ paper paid 21.25 2500x ref 96.90

0qm6 9625 put paper paid 3 15k ref 96.855

0qu6 9750 call paper 7 to 7.5 200x ref 96.79

0qz6 9750 call (tied 96.73 d16) paper paid 8.5 10kx

0qz6 9687 9700 9750 9800 brk c condor paper sold 20k at .75-.5 -body ref 96.75

0qz6 9687 9700 cs (tied 96.78596.81 d06) paper paid 5 30kx

2qh6 9700 call (tied 96.68 d16) paper paid 3.5 5kx

2qh6 9712 9737 cs paper paid 1.25 10kx ref 96.47

2qj6 9643 9681^^ paper paid 16 3kx ref 96.61

2qk6 9662 9643 9631 brk p tree paper paid 1.25-1.5 25kx ref 96.66

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