skip to main content

SOFR Reports & Commentary

SOFR Option Weekly Commentary 8/7/26

Today's Payroll numbers came in lower than expected & Two-Month Payroll net revisions were down 103K - causing fixed income futures to rally as odds of a cursory Fed hike lessened. The current odds of the Fed on Hold thru the FOMC's Dec 9th meeting are 23% (up from 12.8% last week), while the odds of at least one 25 bp hike are now 77% (down from 87.2% last week). The 10Yr is currently trading @ 4.65%

Sofr Option Vols were lower this week (see attached spread sheet).

SOFR Option Trades to Note this Week

Scroll or swipe horizontally to see all columns →

Trade Action Ref
sfrq6 9618 9631 cspaper paid 1.25 15kx96.145
sfru6 9612 ^paper sold 2500 @ 12.2596.14
sfru6 9600 9587 p 1x2 (tied 96.165 d04)paper paid .25 20kx96.14
sfru6 9600 ppaper paid 2-2.5 10kx96.115
sfru6 9600 p (tied 96.145 d20)paper sold 20k @ 1.75
sfru6 9600 9593 pspaper paid .625 10kx95.96
sfru6 9618 9631 cspaper paid 3.25 10kx96.14
sfru6 9600 9587 spaper paid 1.125 7500x96.14
sfru6 9606 9600 9593 9587 p condorpaper paid 1.25 10kx96.12
sfru6 9618 9600 pspaper sold 10k @ 7.596.125
sfru6 9618 9625 c 1x2paper paid .5 5kx96.12
sfru6 9618 9625 9631 c treepaper paid 1.25 5kx96.12
sfru6 9675 9700 c stupidpaper paid .75 20kx96.125
sfru6 9606 9600 9593 9587 p condorpaper paid 1 5kx96.14
sfrv6 9612 9625 9637 c flypaper paid 2.25 7500x96.00
sfrx6 sfrz6 9625 9631 cs sprdpaper paid .625 10kx95.96
sfrx6 9650 cpaper paid 2.5-2.75 10kx95.98
sfrz6 9600 9606 9612 c flypaper paid .75 5kx96.02
sfrz6 9568 9556 pspaper paid 2.5 50kx & paid 2 20kx95.96/96.01
sfrz6 9600 ^ (tied 95.98 d02)paper sold 2k @ 33
sfrz6 9618 9625 cspaper paid 2 10kx95.98
sfrz6 9618 9606 9543 9531 p condorpaper sold 50k @ 6.5
sfrz6 9575 9562 pspaper paid 3 20kx95.94
sfrz6 9612 9618 9625 c flypaper paid .25 10kx95.98
sfrz6 9625 9650 c 1x2paper paid .25 15kx +1 leg95.98
sfrz6 9618 9631 cspaper paid 3.75 10k95.98
sfrz6 9618 9606 9543 9531 p condorpaper sold 30k @ 6.596.03
sfrz6 9637 9625 9575 9562 p condor vs sfrz6 9618 9606 9543 9531 p condorpaper paid 1 25k (+56/57/62/63)96.02
sfrz6 9612 9600 pspaper sold 10k @ 6.2596.02
sfrz6 9637 9662 cspaper paid 1.25 15kx96.02
sfrz6 sfrf7 9631 9643 cs sprdpaper paid 1 10kx +sfrf7
sfrh7 9550 ppaper sold 20k @ 14 to 13.7595.84
sfrh7 9581 ^paper paid 53.25 2500x95.85
sfrm7 9662 9681 cs (tied 95.82-95.81 d04)paper paid 2 25kx
sfrz7 9550 9450 pspaper paid 20-21 20kx95.95
sfrz7 9675 9775 cspaper paid 11 20kx96.01
sfrh8 9500 9600 9700 iron fly (+2 straddle/-3 strangle)paper paid 82 2kx95.96
0qu6 9587 9612 cs (tied 95.925 d30)paper sold 5k @ 10.5
0qu6 9568 9550 pspaper sold 5k @ 295.94
0qu6 9600 9625 9637 9662 c condor 1x1x2x2 (tied 95.925 d14)paper sold 5k @ 5
0qu6 9593 9631 cs vs 3qu6 9600 9637 cspaper paid 2 6kx95.89/95.95
0qv6 9568 9550 ps (tied 95.94 d10)paper paid 3.75 5kx
0qz6 9625 c (tied 95.945 d28)paper sold 3k @ 11.5
2qq6 9593 9581 pspaper paid 2.75-3 25kx96.00-95.99
2qu6 9606 c (tied 95.945 d36)paper paid 7.5 5kx
0qz6 9600 ^paper sold 2k @ 48.5
2qh7 9600 9650 cs (tied 95.995 d28)paper paid 17.5 4kx
2qm7 9587 9600 stranglepaper sold 2500 @ 61.5-6195.98

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.