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SOFR Reports & Commentary

SOFR Option Weekly Commentary 5/1/26

The S&P 500 stock index is finishing the week at all-time highs as 80% of companies reporting first quarter earnings have beat estimates & the fragile ceasefire between the US & Iran continues to hold. The FOMC kept rates steady @ Wed's meeting - while 3 Voting members dissented over the Fed's policy statement & Fed Governor Stephen Miran voted to cut rates 25 bp. Durable goods orders came in stronger than expected & PCE continued to rise.

The current odds of a 25 bp cut by the FOMC's Dec 9th meeting are 14.9% (down from 36.8% last week) and the odds of a 25 bp hike are 10.7% (up from nil). The 10Yr is currently trading @ 4.37%.

SOFR Option Vols were mostly higher across the board this week (see attached spreadsheet).

SOFR Option Trades to Note this Week

sfrk6 9631 9637 cs paper paid 2.5 7500x ref 96.34

sfrk6 9656 9643 9637 put fly 1x3x2 paper sold 10k @ .5 ref 96.34

sfrm6 9643 9650 cs with 9643 9656 cs stupid paper sold 10k @ 1.25

sfrm6 9643 call paper sold 15k @ 1.5 ref 96.345

sfrm6 9637 9643 call spread paper paid 1 5kx ref 96.355

sfru6 9643 9675 9706 call fly paper paid 4 5kx ref 96.34

sfru6 9637 9612 p1x2 paper paid .5-.75 6k (+2 legs) ref 96.34

sfru6 9625 put (tied 96.34 d40) 4x vs 0qu6 9625 9575 p 4x5 (tied 96.33 d86) paper paid 6 6kx (+4x5)

sfru6 9637 9662 call spread vs 9600 put (tied 96.345 d44) paper sold 5k @ .25 -60 put

sfrv6 9637 9612 ps vs 9687 c paper paid 1.25-1.5 8kx +ps ref 96.35

sfrz6 9612 9600 9587 put fly paper paid .5 5kx ref 96.39

sfrz6 9700 9662 put 1x2 paper sold 30k @ 11-7.5 -2 leg throughout week

sfrz6 9637 9700 call 2x3 (tied 96.39 d42) paper sold 5k @ 21.25-20.5 -2 legs

sfrz6 9650 9637 9631 9618 put condor paper paid 4.5-4.75 15kx ref 96.38

sfrz6 9662 9687 cs vs 2qz6 9687 9712 cs paper paid .25 5k +2qz6 ref 9638/ 9646

sfrz6 9650 9637 ps (tied 96.315 d08) paper paid 8 15kx

sfrz6 9625 9600 9575 p fly (tied 96.28 d05) paper paid 2 5kx ref 96.295

sfrh7 9637^ paper paid 62 2kx ref 96.385

sfrh7 9662 9675 cs paper paid 3 15kx ref 96.23

sfrm7 9650 9637 ps paper sold 5k @ 7 ref 96.27

sfrm7 9650 9800 cs paper paid 23 5kx ref 96.26

0qk6 9625 9631 strangle paper paid 15.5-15.75 5kx ref 96.27

0qm6 9662 9687 cs paper sold 10k @ 2 ref 96.27

0qm6 9643^ paper paid 28.5 2500x ref 96.43

0qm6 0qu6 9650 9675 9700 c fly stupid paper sold 5k @ 6 ref 96.26/96.325

0qm6 9637^ paper paid 29 2500x ref 96.36

0qm6 9600 put (tied 96.34-96.35 d18) paper paid 5 25kx

0qm6 9600 put (tied 96.365-96.37 d20) paper paid 5.5 20kx

0qm6 9612 put (tied 96.27 d36) paper paid 10.5 5kx

0qn6 2qz6 9637^ spread paper paid 20 2kx +2qz6 ref 96.36/96.43

0qn6 9668 9675 9693 9700 c condor paper paid 1.15-1.20 syn 15kx ref 96.48

0qu6 9775 9800 c 1x2 paper paid 1 5kx +2 legs ref 96.495

0qu6 9600 3qu6 9600 ps paper paid 3.25-3.75 25kx +0qu6 ref 96.33 96.295

0qv6 9631 9606 ps paper paid 8.5 15kx ref 96.40

0qv6 9618 9593 ps paper paid 6.5 10kx ref 96.445

0qz6 9800 call paper paid 3.25 5kx ref 96.47

0qz6 9637 9687 9737 c fly paper paid 10.75-11 25kx ref 96.38

2qm6 2qn6 9650 ^ stupid paper sold 2k @ 55

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