SOFR Option Weekly Commentary 10/10/25
Limited data this week due to the Government shutdown. Univ of Michigan sentiment came in higher than expected today, while markets were focused on the risk of heightened tariffs between the US & China. Traders fled to the safety of bonds as the S&P 500 was down over 1.85% & NASDAQ was down 2.5% today.
Vols were higher on the week (see attached spreadsheet).
SOFR OPTION PLAYERS to NOTE THIS WEEK:
sfrx5 9618 9643 strangle paper paid 3-3.25 7500x ref 96.32
sfrx5 9631 ^ paper sold 4k @ 10.5 ref 96.315
sfrz5 9631 9625 9618 p fly paper paid .25 30kx ref 96.32
sfrz5 9643 9650 9656 c fly paper paid .25 20kx ref 96.315
sfrz5 9662 9668 cs (tied 96.30-96.29 d05) paper paid .25 30kx
sfrz5 9662 9675 cs paper paid .5 10kx ref 96.315
sfrz5 9650 9656 cs paper paid .5-.75 30kx ref 96.315
sfrz5 9625 9637 9650 c fly paper paid 4.75-5 40kx ref 96.315
sfrz5 9618 9612 9606 9600 p condor paper paid 1.25 10kx ref 96.32
sfrz5 9650 call paper paid 3.5 5kx ref 96.35
sfrz5 9668 9681 cs (tied 96.35 d05) paper paid .5 on 60kx .40 syn
sfrg6 9725 9750 cs paper paid 1 50kx ref 96.52
sfrg6 9631 9625 9618 9606 brk p condor paper paid .5 10kx +Wings ref 96.51
sfrh6 9625 put paper paid 4 15kx ref 96.52
sfrh6 9631 9612 ps paper sold 15k @ 3.25-3.5 ref 96.52
sfrh6 9650 0qh6 9693 ^ stupid paper paid 74 3kx
sfrh6 9650 9668 9687 9706 c condor paper sold 10k @ 4.5 ref 96.56
sfrm6 9700 9750 cs (tied 96.715 d18) paper paid 7.75 5kx
sfru6 9675 0qu6 9662 ps paper paid .00-.5 10kx +sfru6
sfru6 9700 9750 9800 9862 brk c condor paper sold 10k @ 9.5 ref 96.885
sfrh7 9500 put paper paid 3 on 5k ref 96.905
0qx5 9737 call (tied 96.945-96.93 d08) paper paid 1.5 30kx
0qz5 9675 9668 put stupid (tied 96.905 d56) paper paid 13 5kx
0qz5 9725 9750 cs paper paid 2.75 5kx ref 96.91
0qm6 9725 9800 cs vs 3qm6 9687 9762 cs paper sold 6k @ 0.25 (-3qm6)
0qm6 9650 9600 ps (tied 96.925 d17)
w 2qm6 9637 9587 ps (tied 96.725 d18) as a stupid paper paid 16.5 4kx
2qz5 9650 put paper sold 10k @ 3 ref 96.87
3qu6 9550 put (tied 96.48 d12) paper paid 7.5 10kx
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