Inflation data took center stage this week as CPI suprisingly fell to 2.7% (YOY) vs 3.1% estimates. Core CPI was 2.6% (YOY) vs 3.0% estimates. Its important to note that complete October data was missing due to the govt shutdown. The odds of a Fed cut in January remained roughly the same as last week (22% chance), however the odds of at least a 25 bp cut by March increased to 54%.
Sofr Option Vol was lower for the week (see attached spd sheet).
This week’s straddle report is a wide spreadsheet, best viewed full screen.
Open report full screen Download PDFsfrg6 sfrh6 9631 put stupid paper paid 1.75 4kx ref 96.47
sfrf6 9650 put cov 96.47 d50 paper sold 10k @ 6
sfrf6 9662 c (tied 96.475 d 16) paper sold 5k @ 1.25
sfrf6 9650 9662 cs (tied 96.50 d28) paper paid 3.25 5kx
sfrf6 9662 call paper paid 1.5 12kx
sfrf6 9637 put paper paid .5 10kx
sfrf6 9631 put paper paid .5 10kx ref 96.47
sfrf6 9637 9650 9662 c fly paper sold 5k @ 3 ref 96.47
sfrf6 9625 9637 9650 c fly (tied 96.47 d31) paper sold 5k @ 5.25
sfrf6 9631 9643 9656 c fly paper sold 7k @ 5.75 Ref 96.48
sfrf6 9650 9643 9625 brk p fly paper paid .25 5kx
sfrf6 9643 9637 p 1x2 paper paid 1.25 to 1.75 10kx
sfrf6 9650 9656 9681 brk c tree paper paper paid .75 8500x
sfrf6 9662 9675 9700 fly 2x3x1 paper sold 5k at .75
sfrg6 9637 9631 ps paper paid 1.25 5kx ref 96.47
sfrh6 9643 9656 9668 c fly paper paid 2.75 on 5k Ref 96.47
sfrh6 9650 9643 9637 9625 brk p condor paper paid 1.25 2500x ref 96.47
sfrh6 9650 9643 9637 9631 p condor paper paid 1.5 10kx ref 96.47
sfrh6 9643 9650 9668 9675 c condor paper paid 1.75 5kx ref 96.47
sfrh6 9643 9656 9668 9681 c condor paper paid 3.25 5kx ref 96.48
sfrh6 9650 9643 9637 p tree paper paid .5 5kx ref 96.48
sfrh6 9637 9650 9668 9681 c condor (tied 96.47 d18) paper paid 3.75 7500x ref 96.48
sfrh6 9631 9618 ps paper paid .25 15kx ref 96.49
sfrj6 9625 put paper paid .75 20kx ref 96.69
sfrm6 9643 9631 p 1x2 paper paid 1.75 10kx ref 96.685
sfrm6 9681 9656 9631 p fly paper sold 5k @ 8 ref 96.68
sfrm6 9700 9750 cs paper sold 20k @ 4 ref 96.68
sfru6 9725 9681 9637 p fly 1x3x2 paper sold 7500 at 3.25 to 3 - body
sfru6 9643 9631 p 1x2 paper sold 10k @ .25 -2 legs ref 96.845
SFRU6 9687 9712 cs vs
0qu6 9712/9737 cs paper paid 1.25 4kx +sfru6
sfrz6 9712 9675 9612 p fly paper paid 7.5 7kx ref 96.90
sfrz6 9800 0qz6 9787 cs paper paid .5 7kx +sfrz6
sfrz6 9700 9800 cs cov 96.87 d32 paper paid 16.75 10kx
sfrz7 9675 ^ paper sold 5k at 37.7 to 36
0qf6 9700 c (tied 96.885 d 30) paper sold 8k @ 4.5
0qh6 9700 9675 ps vs 3qh6 9675 9650 ps paper paid 3 5kx +3qh6
0qh6 9750 9800 cs paper paid 1.5 on 3k Ref 96.905
0qu6 9675 9725 9750 9800 c condor paper sold 10k at 13.25 ref 96.82
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