skip to main content

SOFR Reports & Commentary

SOFR Option Weekly Commentary 6/26/26

Personal income & spending both came in higher than expected this week as PCE met expectations @ 4.1% YoY. Inflation expectations improved with WTI trading under $70 as the US/Iran truce continues to hold.

The current odds of the Fed on Hold through the FOMC's Dec 9th meeting are 23% (up from 15.2% last week), while the odds of at least one 25 bp hike are now 77% (down from 84.8% last week). The 10Yr is currently trading @ 4.37%.

SOFR Option Vols were lower on the week (see attached spreadsheet).

SOFR Option Trades to Note this Week

Scroll or swipe horizontally to see all columns →

Trade Action Ref
sfrn6 9593 9587 put spreadpaper paid 1.25 5kx96.03
sfrn6 9618 9606 ps (tied 96.065 d30)paper paid 8 8kx96.06
sfrn6 9600 putpaper sold 10k @ 296.08
sfrq6 9618 9631 call spreadpaper sold 10k @ 2.7596.075
sfrq6 9600 9575 put spreadpaper paid 6 10kx96.06
sfrq6 9625 9631 cs (tied 96.035 d06)paper paid 1 20kx
sfrq6 9600 9612 9631 brk c flytrades 1.25 5kx96.115
sfrq6 9625 9631 cspaper sold 10k @ 1.2596.11
sfru6 9662 call (tied 96.095 d10)paper sold 10k @ 1
sfru6 9618 9625 9631 c flypaper paid .75 10kx96.08
sfru6 9631^paper paid 31.5 4kx96.045
sfru6 9675 callpaper paid 1 10kx96.045
sfru6 9618 9625 9631 call flypaper paid .5 6kx96.07
sfru6 9625 9637 cspaper paid 3 10kx96.075
sfru6 9600 9581 put spread (tied 96.05 d22)paper paid 6 7kx
sfru6 9625 9637 c 1x2paper paid 1.25 5kx96.12
sfru6 9631 9625 9600 9593 put condorpaper paid 2.5 6kx96.045
sfru6 9575 putpaper paid 3.5 16kx96.035
sfru6 9612 9606 put 1x2paper paid 10.5 5kx +2 legs96.035
sfru6 9600 9587 put spreadpaper sold 7k @ 4.2596.04
sfru6 9625 9631 9637 c treepaper paid -.25 to +.25 30kx96.065/96.115
sfru6 9625 9631 9637 9643 call condorpaper paid 1.75 10kx96.11
sfru6 9637 9625 9606 9593 put condorpaper paid 5.75 20kx96.075
sfru6 9618 9625 9631 c flypaper paid 1 5kx96.115
sfrv6 9618 9625 9631 9637 call condor (tied 95.955 d05)paper paid 1.25 7kx
sfrv6 9637 9612 put spread vs 9687 callpaper sold 5k @ 16.5 -ps95.95
sfrv6 9600^paper sold 2.5k @ 35.7595.96
sfrx6 9562 put (tied 95.87 d30)paper paid 10.25 10kx
sfrz6 9625 9631 9637 c fly (tied 95.97 d04)paper paid .75 6kx
sfrz6 9650 9637 9631 9618 put condorpaper sold 10k @ 2.595.87
sfrz6 9631 9643 9662 9675 call condorpaper paid 1 to 1.5 30kx95.90
sfrz6 9606 9631 9656 call flypaper sold 5k @ 5.595.925
sfrz6 9631 9637 cspaper paid 1.25 10kx96.01
sfrz6 9593^paper sold 10k @ 41.595.925
sfrz6 9618 9606 9593 9581 put condorpaper sold 10k @ 295.925
sfrz6 9593 9581 9543 9531 put condorpaper paid 4.5 15kx95.93
sfrz6 9643 9618 9581 put flypaper paid 1 5kx +body95.945
sfrz6 0qz6 9600 call spread (tied sfrz6 95.93 d44, sfrz7 96.04 d51)paper sold 10k @ 12 -0qz6
sfrh7 9775 callpaper paid 2.75 25kx95.895
sfrh7 9587^paper sold 2k @ 58.75 all day95.945
sfrh7 9637 9662 cstrades 4.25 10kx *block*95.99
sfrm7 9725 9800 call spreadpaper sold 8k @ 2.7595.82
sfrm7 9700 9775 call spread vs sfrz7 9650 9700 9750 call flypaper paid .5 4kx +call fly95.88/96.01
sfrm7 9725 9875 c 2x3paper paid 10 10kx +2 legs96.01
sfrm8 9525 put (tied 96.15 d20) vs sfrz7 9662 call (tied 96.045 d25)paper paid 1 5kx +m8 52 put
sfrm8 9625 ^paper sold 2k @ 10496.24
sfrz8 9737 9800 call spreadpaper sold 15k @ 8.2596.21
0qu6 9600 9575 pspaper paid 9.5 15kx96.00
0qu6 9631 9637 cs (tied 95.875 d03)paper paid 1 20kx
0qu6 9600 9550 ps vs 0qv6 9575 9525 pspaper sold 10k @ 7.25 -0qu696.00/96.07
0qv6 9562 9537 put spreadpaper sold 8500 @ 2.7596.145
0qv6 9618 9587 put spreadpaper sold 20k @ 14.5-14.2596.065
0qv6 9543 9531 put spreadpaper paid 1.5 6kx96.02
0qv6 9618 9593 put spreadpaper sold 5k @ 11.596.08
0qz6 9612 9587 ps vs 0qz6 9637 callpaper sold 6k @ 1 - c96.00
2qv6 9612 straddleppr sells 2k @ 3996.12
2qm7 9550 9700 squash (tied 96.225 d 34)paper sold 5k @ 1.5 (-p)

This data, information, and associated comments are provided for information and distribution only as permitted by law.  It has been prepared for Institutional Investors only and not for retail.  This material is neither an offer to sell or a solicitation of an offer to buy any security.  Further, all statements and expressions are the opinion of the author(s) only and are not meant to be a solicitation or recommendation to buy, hold, or sell securities. The information herein is not intended to predict actual results, which may differ substantially from those reflected in the material.  The information presented herein and on any related website(s) has been obtained from sources believed to be reliable, but its accuracy is not guaranteed. Past performance is not indicative of future results. 

Trading futures or related securities involves the risk of principal and could further result in losses greater than the original investment or the funds in an account.  The investor is responsible for all financial risks associated with an investment.  You should not engage in trading unless and until you fully understand the transaction(s) and the extent of the financial exposure to losses exceeding principal investment.  You should always consult your registered investment advisor before making any investment in futures or other levered products.  Futures and options trading involves substantial risk and is only appropriate for those who have the qualifications, understanding, and risk capital for such investments.  Additionally, in making an investment decision, individuals should always rely on their own examination of the offering and the principals involved in the investment vehicle, including the terms of the investment agreement and the merits or risks involved in such investments. 

Trean Group is a member of the NFA, registered as an Independent Introducing Broker (IIB).  The third-party content contained herein is provided for informational purposes only and has not been independently verified by Trean Group for its accuracy or completeness.  Additional information is available upon request.