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SOFR Option Weekly Commentary 2/20/26

The Supreme Court overruled President Trump's use of IEEPA tariffs, however, other avenues to impose tariffs remain open. Markets basically yawned on the decision which was widely expected. PCE price index data came in higher than expected & pushed Core YoY to 3.0%. 4th quarter GDP came in much lower than expected @ 1.4% - largely due to the government shutdown. The odds of 25 bp cut by the FED's April 29th meeting is currently 17.9% (down from 28.5% last week). The odds of a cut by the FED's June 17th meeting is currently 52.1%.

Sofr Option Vols were mixed this week & are higher over a 2 week horizon.

SOFR OPTION TRADES to NOTE this WEEK:

sfrh6 9637 9643 9650 c fly paper paid .25 20kx ref 96.355

sfrk6 9656 9643 9637 p fly 1x3x2 paper paid 4.25 40kx ref 96.55

sfrk6 9668 9681 cs vs 9643 put paper sold 10k @ .25 -put

sfrk6 9643 9637 ps (tied 96.55 d08) paper sold 25k @ 1.5

sfrm6 9650 put paper paid 7.75 10kx ref 96.54

sfrm6 sfrz6 9643 9631 ps sprd paper paid 1.5 20kx +sfrm6

sfrm6 9700 9750 3qm6 9675 9725 cs sprd paper paid 7.5 15kx +3qm6

sfrm6 9668 9681 9687 call fly paper paid 1.5 5kx ref 96.55

sfrm6 9643 9637 9618 brk p fly paper paid 1.75 to 2 10kx

sfrm6 9637 9656 call spread paper sold 20k @ 8 ref 96.54

sfrn6 9668 9656 9643 put fly 1x3x2 paper sold 8k @ .00 -body ref 96.775

sfrn6 9681 9693 cs vs sfrz6 9693 9706 cs spread paper paid .5 50kx +sfrz6 ref 96.77/96.89

sfru6 9800 call (tied 96.805 d10) paper paid 4.5 50kx

sfru6 9687 9700 cs vs 9656 9643 ps paper sold 10k @ 1 -ps

sfru6 9700 9750 9800 call tree 2x2x3 paper paid .00 5kx + 9700 c ref 96.77

sfrz6 9800 call

(tied 96.96 d17) paper paid 7.5 to 7.75 100kx

(tied 96.88-96.905 d13-14) paper paid 6.25-6.75 60kx

sfrz6 9750 call (tied 96.89-96.88 d20) vs

0qz6 9625 put (tied 96.88 d18) paper paid 3.5 20kx +c

sfrz6 9706 9718 cs vs

9650 9637 ps (tied 96.87 d14) paper paid .00 30kx +cs

sfrz6 9643 9631 9618 put fly paper paid 1.5-1.75 15kx ref 96.945

sfrz6 9675 9681 ^ sprd paper sold 5k @ .25 -9681 ^

sfrz6 9675 9650 ps paper sold 15k @ 10 ref 96.90

sfrz6 9725 9775 9800 brk c tree paper sold 10k @ .75-.5 -2 legs

sfrz6 9725 9800 c1x2 paper paid 1.5 7500x

sfrz6 9700 9750 9800 call tree 2x2x3 paper paid .00-1 10kx +70 call ref 96.875

sfrz6 9700 9800 call 1x2 paper paid 7.5 5kx ref 96.885

sfrz6 9650 9631 9612 p fly paper paid 3.25 10kx

sfrz6 9643 9631 9618 put fly paper paid 1.75-1.85 15k

sfrz6 9643 9631 put spread (tied 96.875 d05-08) paper paid 2.25-2.5 12kx

sfrh7 9625 9587 put spread paper sold 20k @ 2-1.75 ref 96.96

sfrh7 9625 9587 p 1x2 paper paid .5 20kx ref 96.925

sfrh7 9737 call paper sold 10k @ 17.5 ref 96.965

sfrz7 9750 call paper paid 20.5 6kx ref 96.86

0qj6 0qk6 0qm6 9712 9737 9762 call fly 1x3x2 strip

paper sold 2k @ .5 (-bodies) ref 96.97

0qm6 9637 put (tied 96.91 d10) paper paid 2 10kx

0qm6 9750 9800 call spread paid 4 50kx ref 96.98

0qu6 9800 call (tied 96.96 d13) paper paid 6.5 10kx

(tied 96.935 d13) paper paid 6 20kx

0qz6 9750 9800 call spread paper paid 6.5 25kx ref 96.925

0qz6 9687^ paper sold 2k @ 60 ref 96.90

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