SOFR Reports & Commentary

SOFR Option Weekly Commentary 11/21/25

There was significant movement in rate cut bets this week, as odds went from a 35% to 67.7% chance as of this writing.

Wednesday's FOMC Meeting minutes release cast some doubt on a Dec 10th rate cut, as many members were concerned about inflation.

Thursday's Sep payroll numbers came in stronger than expected, while unemployment moved slightly higher. The tide seemed to turn today though, as Federal Reserve Bank of NY President, John Williams stated - “I view monetary policy as being modestly restrictive, although somewhat less so than before our recent actions,therefore, I still see room for a further adjustment in the near term to the target range for the federal funds rate to move the stance of policy closer to the range of neutral, thereby maintaining the balance between the achievement of our two goals.”

Sofr Option Vol was lower across the board for the week.

SOFR OPTION PLAYERS to NOTE THIS WEEK:

sfrz5 9612 ^ paper sold 8k at 11.25 to 9.5

sfrz5 9612 9625 cs (tied 96.24 d ) paper paid 8.75 25kx

sfrz5 9612 9625 9650 9662 c condor paper paid 7.75 to 8.5 30kx

sfrz5 9618 9600 ps paper sold 30k @ 4.25 to 3.25

sfrz5 9625 9618 9612 p fly paper paid .25 20kx

sfrz5 9631 9625 9618 p fly paper paid 1 10kx ref 96.235

sfrz5 9631 9637 cs vs 9606 put paper paid .25 25kx +cs ref 96.17

sfrz5 9612 9618 9625 9631 c condor paper paid .5 30kx ref 96.175

sfrz5 9612 9600 p 1x2 paper sold 10k @ 3 ref 96.1775

sfrz5 9606 9600 p 1x2 paper paid .25 30kx ref 96.175

sfrz5 9618 9625 9631 9637 c condor paper paid 1.75-2.25 40kx ref 96.20

sfrz5 9637 9668 c 1x2 paper paid .25 15kx

sfrz5 9625 9631 c 1x2 paper paid 1 10k + 1 ref 96.195

sfrz5 9618 9625 9637 c fly (2x3x1) paper paid 2.5 10kx ref 96.185

sfrz5 96.1875/ 96.25 cs (cov 96.19-96.18 d20) paper paid 2.5 30kx

sfrz5 9643 9650 c stupid paper paid 1.25 12.5kx

sfrz5 9650 call paper paid 1-1.25 20kx

sfrf6 9625 9637 9650 c fly (tied 96.35 d04) paper paid 2.5 15kx

sfrg6 9643 9656 9668 c fly paper paid 1 15kx

sfrh6 9662 9650 9637 9612 brk p condor paper paid .5 15kx

sfrh6 9650 ^ paper sold 5k @ 28.5 - 28

sfrh6 9662 9675 cs paper paid 2.625 20kx ref 96.42

sfrh6 9656 9668 cs paper paid 3 20kx ref 96.41

sfrh6 9650 9662 9700 9712 c condor vs 9612 put paper paid .75-1 25kx +condor ref 96.41

sfrh6 9612 9600 ps paper paid 1.25 10kx ref 96.42

sfrm6 9675 9712 9725 9762 c condor paper paid 5.5-5.75 50kx ref 96.665

0qf6 9687 9700 9712 9725 c condor ppaper paid 3 10kx ref 97.00

0qf6 9700 9725 cs paper paid 6.75 to 7 15kx ref 96.94

0qu6 9687 ^ paper sold 4k @ 64.5-64 ref 96.91

2qz5 9693 9706 9712 9725 c cond (tied 96.885 d10) paper paid 2.5 10kx

2qz5 9693 9712 cs paper paid 3.5-4.25 30kx

2qm6 9675 ^ paper paid 53.5 4kx ref 96.705