The FED cut the Fed Funds rate by 25bp on Wednesday (as expected), but Chairman Powell's statement on a December cut being "far from a foregone conclusion" caused a sell off in equities & fixed income products. Markets are pricing the odds of Dec cut at roughly 50% now, compared with 90% prior to Powell's comment.
Sofr Option Vols were higher for the week in WHITES & lower in REDS & MIDS (see attached spd sheet).
sfrx5 9625 9631 9643 9650 c condor paper sold 10k @ 2.25 Ref 96.255
sfrz5 9625 call (tied 96.225 d41) paper paid 6.5 10k
sfrz5 9650 9662 cs paper paid 1 25kx ref 96.375
sfrz5 9643 9637 9631 p tree paper paid 1.5 10kx +1 leg ref 96.36
sfrz5 9650 9656 cs paper paid .5 15kx ref 96.375
sfrz5 9643 9650 9656 c fy paper paid .25 20kx ref 96.375
sfrz5 9637 9643 9650 9656 c condor paper paid 1.25 10kx ref 96.355
sfrz5 9650 9637 9625 p tree paper sold 10k @ 7.5 ref 96.37
sfrz5 9625 9637 9650 9662 c condor paper sold 25k @ 5-4.5 ref 96.25
sfrz5 9618 9612 p 1x2 paper paid 1 10kx ref 96.24
sfrz5 9625 9643 9662 c fly paper paid 5.25 to 5.5 15kx ref 96.24
sfrz5 9612 9606 9600 p tree paper paid 1.25 10kx ref 96.225
sfrz5 9606 9593 ps cov 96.185 d02 paper paid .5 12500x
sfrz5 9618 9625 9631 c fly paper paid .25 to .375 20kx ref 96.23
sfrz5 9625 9631 9650 9656 c condor paper sold 20k @ 2.75
sfrz5 9625 9631 9643 9650 c condor paper sold 20k @ 2.75
sfrz5 9618 9606 p 2x3 paper sold 10k @ 8-7.75 ref 96.225
sfrf6 9625 9612 9600 9587 p condor paper paid 2.5 7500x ref 96.41
sfrg6 9725 9750 cs paper sold 50k @ .25 ref 96.42
sfrh6 9662 9675 9725 brk c tree paper paid .75 20kx +1 leg ref 96.59
sfrh6 9631 9612 ps vs 9650 9668 cs paper paid .75 10kx +ps ref 96.42
sfrm6 9687 9668 p 1x2 paper sold 10k @ 3.25 to 3 -2 legs
sfrm6 9850 c paper paid 1.25 10kx ref 96.64
sfrm6 9700 9800 9900 c fly paper paid 6.75 10kx ref 96.64
sfru6 9662p cov 96.81 d38 with sfrz6 9662p cov 96.88 d36 stupid paper paid 33.5 10kx
sfru6 9662 9625 ps (2x) vs 0qu6 9662 put (1x) paper paid 1.25 to 1.5 15kx +sfru6 ps 2x
0qz5 9700 9712 9737 9750 c condor (tied 96.885 d10) paper paid 2.5 8kx
0qz5 9700 9750 9800 c fly 1x vs 0qg6 9725 9775 9825 c fly 2x paper paid 2.5 5kx +0qg6
0qz5 9712 9725 cs paper sold 12k @ 6.5 ref 96.99
0qz5 9706 2qz5 9693 cs paper paid .5 10kx +0qz5
0qz5 9700 9725 cs paper paid 4.5 to 5 65kx
0qh6 9712c cov 96.995 d40 paper paid 15.5 5kx
2qh6 9800 9825 cs paper sold 30k @ .25 ref 96.88
This data, information, and associated comments are provided for information and distribution only as permitted by law. It has been prepared for Institutional Investors only and not for retail. This material is neither an offer to sell or a solicitation of an offer to buy any security. Further, all statements and expressions are the opinion of the author(s) only and are not meant to be a solicitation or recommendation to buy, hold, or sell securities. The information herein is not intended to predict actual results, which may differ substantially from those reflected in the material. The information presented herein and on any related website(s) has been obtained from sources believed to be reliable, but its accuracy is not guaranteed. Past performance is not indicative of future results.
Trading futures or related securities involves the risk of principal and could further result in losses greater than the original investment or the funds in an account. The investor is responsible for all financial risks associated with an investment. You should not engage in trading unless and until you fully understand the transaction(s) and the extent of the financial exposure to losses exceeding principal investment. You should always consult your registered investment advisor before making any investment in futures or other levered products. Futures and options trading involves substantial risk and is only appropriate for those who have the qualifications, understanding, and risk capital for such investments. Additionally, in making an investment decision, individuals should always rely on their own examination of the offering and the principals involved in the investment vehicle, including the terms of the investment agreement and the merits or risks involved in such investments.
Trean Group is a member of the NFA, registered as an Independent Introducing Broker (IIB). The third-party content contained herein is provided for informational purposes only and has not been independently verified by Trean Group for its accuracy or completeness. Additional information is available upon request.