Lite data/ shortened trading week as 3Q revised GDP came in @ +4.4% (slightly higher than expected), while Oct & Nov PCE data was in line with expecations. The odds of a 25 bp cut in rates in Jan has fallen to 2.8% and in Mar to 15.8%.
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 9637 9643 strangle paper sold 5k @ 4 ref 96.375
sfrg6 9637 9650 strangle paper sold 5k @ 3 ref 96.375
sfrh6 9637 9643 9650 c fly and p fly paper paid .25-.375 50kx
sfrh6 9650 ^ (tied 96.395 d54) vs
0qh6 9662 9725 strangle paper paid 9.5-10.25 10kx +sfrh6
sfrh6 9637 9643 cs vs sfrm6 9650 9656 cs sprd paper paid 1.75 50kx +sfrm6
sfrh6 9637 ^ paper sold 7500 at 8-7.75 ref 96.38
sfrh6 9643 9656 cs paper paid 2 100kx ref 96.375
sfrj6 9637 put (tied 96.51-96.53 d10) paper paid .75 25kx
sfrm6 9656 9643 9631 p tree paper paid 6.70-6.75 75kx ref 96.555
sfrm6 9650 9656 9668 9675 c condor paper paid 1.75-2 75kx ref 96.54
sfru6 0qm6 9668 ^ stupid paper sold 3k @ 65.5-65
sfru6 9675 9700 9725 9750 c condor paper paid 4.75-5 40kx ref 96.67
sfrz6 9675 ^ paper sold 5k @ 43.25-42.5 ref 96.765
sfrz6 9643 9625 p 1x2 paper paid .25 10kx ref 96.755
sfrz6 9850 call paper paid 2 10kx ref 96.74
sfrh7 9625 9600 ps paper paid 3.25 15kx ref 96.75
sfrh7 9625 9587 ps paper paid 4.25 20kx ref 96.75
sfru8 9700 9750 9800 c fly paper paid 5-5.25 20kx ref 96.45
sfrh8 9550 9750 strangle paper sold 3k @ 24-23.5
0qg6 9875 9675 ps paper sold 10k @ 8 to 7.75 ref 96.77
0qh6 2qh6 9650 9625 ps sprd paper sold 15k at 5 to 4.75 -2qh6
0qm6 9675 ^ paper sold 5k @ 36.5 ref 96.715
0qu6 9637 put (tied 96.69 d28) paper sold 20k @ 10.5
0qz6 9687 9700 cs 3x vs 0qu6 9750 c 2x paper sold 10k at .00 -0qz6 (-30k 0qz6/+20k 0qu6)
2qm6 9625 9600 p 1x2 paper paid 1 10kx +1 leg ref 96.51
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