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SOFR Reports & Commentary

SOFR Option Weekly Commentary 8/28/26

Core PCE MoM (+0.2%) & YoY (+3.3%) came in as expected in this week's release. Chairman Warsh's statement in Jackson Hole, WY - “Here is my standard: We must be confident that underlying inflation is moving to our objective, clearly and at sufficient speed. Otherwise, we have work to do. That’s our job,” (in adhering to a 2.0% target) took center stage as SOFR futures sold off today. The current odds of the Fed on Hold thru the FOMC's Sep 16th meeting are 42.5% (down from 61.6% last week) while the odds of at least one 25 bp hike by the Dec 9th meeting are now 89.1% (up from 71.8% last week). The 10Yr is currently trading @ 4.72%

SOFR Option Vols were higher today but are lower for the week (see attached spreadsheet).

SOFR Option Trades to Note this Week

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Trade Action Ref
sfru6 9618 9612 p 1x2paper sold 7k @ .625 to .5 - 2 legs96.19
sfru6 9612 9606 pspaper sold 30k @ 1.12596.195
sfru6 9618 9612 pspaper paid 2-2.25 30kx96.205
sfru6 9625 9631 cspaper paid 1.25 10kx96.195
sfru6 9631 9625 9618 9612 p condorpaper paid 3 10kx96.195
sfru6 9612 9618 9625 9631 c condorpaper paid 3 5kx96.205
sfru6 9618 ppaper paid 3.5 20kx96.2075
sfru6 9625 9631 9637 c flypaper paid 1 5kx96.20
sfru6 9618 9625 9631 c flypaper sold 5k @ 1.7596.19
sfru6 9618 9625 9643 9650 c condorpaper sold 5k @ 3.2596.195
sfrv6 9600 9587 9575 p treepaper paid 1.25 5kx96.03
sfrv6 9587 9568 pspaper paid 5.25-5.375 30kx95.92
sfrv6 9587 9581 ps vs 9612 9625 9637 c fly (tied 95.985 d30)paper paid 2 8kx +ps
sfrv6 9600 9606 9612 9618 c condorpaper paid 1-1.25 15kx96.04
sfrv6 9587 9618 ^^paper paid 10 4kx95.92
sfrv6 9606 9612 9625 c fly 2x3x1paper paid 2.25 5kx96.04
sfrv6 9600 9587 9575 9556 brk p condorpaper paid 2.75 5kx96.03
sfrv6 9587 9625 stranglepaper sold 5k @ 5.596.035
sfrv6 9618 c vs sfrz6 9618 9631 cs sprdpaper paid 1-1.15 10kx +sfrz696.04
sfrv6 9562 p (tied 96.00 d10)paper paid 1.5 10kx
sfrx6 sfrz6 9625 9631 cs sprd (tied 96.025-96.02 d05)paper paid 1 10kx
sfrz6 9593 9581 9543 9531 p condorpaper sold 20k @ 595.91
sfrz6 9631 9643 cspaper paid 1 10kx96.04
sfrz6 9600 9681 pspaper sold 10k @ 6.2596.04
sfrz6 9612 9637 cs vs 9587 9562 pspaper paid 2.5-3 6kx +cs96.035
sfrz6 9600 9637 c 1x3paper sold 18k @ 9.5 to 9.2596.03
sfrz6 9606 9625 cs vs 9581 ppaper paid 1.5 10kx +cs96.03
sfrz6 9606 9637 stranglepaper paid 18.25-18.5 7kx96.025
sfrz6 9612 9625 9637 9650 c condorpaper sold 7500 at 4.7596.03
sfrz6 9550 9618 squash (tied 96.035 d48)paper sold 10k @ 5.5 -c
sfrz6 9587 9562 ps (tied 96.025-96.02 d18)paper sold 25k @ 5.5
sfrh7 9562 9525 p 2x3paper sold 5k @ 7.25-795.93
sfrh7 9587 9637 c 1x3paper paid 3.25 7k95.93
sfrh7 9556 9631 stranglepaper sold 2500 @ 2095.96
sfrh7 9600 9625 9643 c fly vs 9525 ppaper paid .00 7500x +fly95.94
sfrh7 sfrh7 9631 cspaper sold 5k @ 2.25
sfrm7 sfru7 9537 9587 9625 iron fly stupidpaper sold 5k @ 62.2595.90
sfru7 9500 put (tied 95.895 d16)paper sold 4k @ 13
sfrz7 9650 9725 9800 c flypaper paid 6.5 6kx95.90
0qz6 9650 ^paper sold 2k @ 41.596.92
2qv6 9581 9562 9525 p flypaper sold 4k @ 1.7595.90
2qz6 9650 c (tied 95.90 d10)paper sold 15k @ 3
2qh7 9587 ^paper paid 51 2kx95.91

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