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SOFR Option Weekly Commentary 10/24/2025

The S&P 500 hit all time highs as Swaps traders & Fixed Income markets are now fully pricing a quarter-point reduction in December in addition to the expected 25bp cut next week on Oct 29th. The SFRZ5 96.375 strike will continue to be involved in pin trades if this continues to hold. After today's lower than expected CPI numbers, there was a fair amount of sfrz5 put liquidation by put & put spd longs below that strike, as well as some upside cs buying.

Vol drifted lower post CPI & was lower for the week (see below spd sheet).

SOFR OPTION PLAYERS to NOTE THIS WEEK:

sfrx5 9675 9687 cs paper paid .25 25kx

sfrx5 9625 9612 p 1x2 paper paid .5 to .75 20kx

sfrx5 sfrz5 9637 9625 ps stupid paper sold 5k @ 5.5 ref 96.37

sfrz5 9625 9637 9643 9656 iron cond paper sold 10k @ 4.5 ref 96.38

sfrz5 9625 9643 9662 c fly paper paid 9.5 10kx ref 96.37

sfrz5 9650 9637 9625 9612 p condor paper sold 5k @ 8 ref 96.37

sfrz5 9650 9662 cs paper paid 1.25 20kx ref 96.38

sfrz5 9650 9643 9631 brk p tree paper sold 5k @ 1 -1 leg ref 96.355

sfrz5 9637 9625 ps (tied 96.38 d25) paper sold 15k @ 3.5

sfrz5 9625 9637 9650 9662 c condor paper sold 15k @ 7.5 to 7.25

sfrz5 9618 9631 9650 9662 c condor paper sold 10k @ 9.5 ref 96.37

sfrz5 9625 9612 ps paper sold 15k @ 1.5 to 1.25 ref 96.38

sfrg6 9668 9681 9687 9700 c condor paper paid 1.75 10kx

sfrh6 9700 call (tied 96.61 d20) paper sold 8k @ 5.25

sfrh6 9650 9612 p 1x3 paper sold 7k @ 5.75 ref 96.615

sfrh6 9656^ paper paid 30 2kx ref 96.58

sfrh6 9675 9687 9700 9712 c condor paper paid 1.75 25kx ref 96.63

sfrh6 9637 9625 p 1x2 paper paid .75 15kx ref 96.62

sfrh6 9675 9700 cs (tied 96.65 d18) paper paid 5.75 15kx

sfrh6 9637 9631 ps paper paid 1.5 100kx ref 96.62

sfrh6 9675 9662 9643 brk p tree paper paid 1.75 10kx

sfrh6 9650 9637 9631 brk p tree paper paid 2.25 10kx

sfrh6 9687 call (tied 96.61 d25) [1x] vs

0qh6 9662 put (tied 97.025 d18) [2x] paper paid 4.75 7kx +0qh6 p 2x

sfrm6 9700 9750 cs (1x) vs 0qz5 9700 9725 cs (2x) paper sold 5k @ 7 -0qz5 2x

sfrm6 9700 9800 9900 c fly paper sold 10k @ 12

sfrm6 9687 9668 p 1x2 paper sold 25k @ 4 to 3.5 -2 legs

sfru6 sfrz6 9925 9975 cs stupid paper paid 2.25 15kx

sfrh7 9750 9800 cs paper paid 10.75-11 on 50k Ref 97.095

0qz5 9706 2qz5 9693 cs paper paid .25 to .5 15kx +0qz5

0qz5 9675 9643 ps paper paid 2 to 2.25 25kx ref 97.09

0qz5 9706 9693 ps (tied 97.04 d15) paper paid 6.5 7kx

0qz5 9700 9750 9800 c fly 1x vs 0qg6 9725 9775 9825 c fly 2x paper paid 2 to 3 20k +0qg

0qz5 9800 call (tied 97.065 d05) paper paid 1 10kx

0qh6 9675 put (tied 97.045 d27) paper paid 4.5 7500x

0qh6 9650 9600 ps paper paid 3 12kx ref 97.06

0qu6 9800 call paper paid 7.5 to 8 20k ref 97.03-97.10

2qf6 9687 ^ paper sold 2k @ 32 ref 96.87

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