Another week without Government Economic Data. A slew of hawkish comments from Fed members this week caused the odds of a 25 bp cut at the next FOMC Meeting (Dec 10th) to fall below 50% (45.9% as of this writing).
Sofr Option Vols were higher this week (see attached spd sheet).
sfrz5 9637 call paper paid 1.5 20kx ref 96.21
sfrz5 9637 9643 cs paper paid .5 15kx ref 96.19
sfrz5 9650 9662 cs paper paid .25 20kx
sfrz5 9618 9625 9631 c fly vs 9637 9643 9650 c fly paper sold 10k @ .00 -63 63+ 65
sfrz5 9625 9631 9643 c tree (tied 96.225 d10) paper paid 2 7500x
sfrz5 9625 9631 c 1x2 paper paid .00 20kx +1 leg ref 96.24
sfrz5 9612 9606 p 1x2 (tied 96.215 d06) paper paid 1.25 3k
sfrz5 9612 9600 p 2x3 (tied 96.21 d40) paper sold 20k @ 4.75 to 4.5
sfrz5 9625 9631 9637 c fly (tied 96.225 d06) paper paid 1.5 5kx
sfrz5 9637 9650 cs vs 9612 p (tied 96.205 d37.5) paper paid 2.5 10kx
sfrz5 9631 call (tied 96.19 d22) paper sold 5k @ 2.25
sfrz5 9631 9625 9618 p fly paper paid .375 10kx ref 96.21
sfrz5 9618 9625 9631 9637 c condor paper paid 1.5 5kx Ref 96.175
sfrz5 9618 9612 9606 p fly 1x3x2 paper sold 4k at 1.75 -body ref 96.175
sfrz5 9618 put (tied 96.195 d48) vs
sfrh6 9625 put (tied 96.415 d30) paper paid 0.75 10kx +sfrz5
sfrz5 9618 9625 cs vs 0qz5 9706 9712 cs sprd paper paid 1.5 10kx +sfrz5
sfrf6 9650 9668 9681 c fly paper paid 3 15kx ref 96.445
sfrf6 9650 9662 9668 brk c fly paper paid 2 10kx ref 96.41
sfrf6 9637 9618 ps vs 0qf6 9668 put paper paid .5 3kx +sfrf6
sfrf6 9637 0qf6 9668 ps paper paid 2.5 5kx +sfrf6
sfrf6 9637 9625 9612 p fly paper sold 5k @ 2.25 ref 96.455
sfrg6 9637 9650 9662 c fly paper paid 1.25 10kx ref 96.41
sfrg6 9668 9681 9687 9700 c condor paper paid .75 10kx
sfrh6 9600p (tied 96.39 d05) paper paid .75 10kx
sfrh6 9618 9606 p 1x2 (tied 96.41 d04) paper paid 2.25 10kx
sfrh6 9637 9662 cs paper sold 10k @ 7.25 ref 96.41
sfrh6 0qh6 9800 cs paper paid 1 5kx +sfrh6
sfrh6 9681 9656 p 1x2 paper paid 6.25 to 7 15kx + 2 legs ref 96.385
sfru6 9662 9625 ps (tied 96.795 d22) paper paid 13 5kx
sfrz6 9675 9650 9612 brk p fly paper paid 2.5 5kx
sfrz6 9687 put paper paid 32.5 5kx ref 96.875
0qz5 9681 put paper sold 5k @ 6 ref 96.92
0qz5 9693 ^ paper sold 2k @ 22.5
0qz5 9700 9706 9718 c fly 2x3x1 paper paid 1.5 5kx ref 96.915
0qz5 9700 9737 9756 c fly (tied 96.915 d25) paper paid 6 12kx ref 96.92
0qz5 9700 9725 cs paper paid 5.25 10kx ref 96.90
0qz5 9700 9725 cs paper sold 10k @ 4.25 ref 96.88
0qz5 9700 9800 cs (tied 96.895 d32) paper sold 10k @ 6.5
0qf6 9693 9706 cs paper paid 4.5 10kx ref 96.89
0qh6 9650 9625 ps paper paid 3.5 10kx ref 96.87
0qh6 9737 9762 cs paper sold 10k @ 2.75 ref 96.90
2qf6 9650 9700 strangle paper paid 10.75 2kx
2qh6 9675 ^ paper paid 39 3kx ref 96.75
2qm6 9712 call (tied 96.70 d25) paper paid 11.5 5kx
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