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SOFR Option Weekly Commentary 1/30/26

Durable Goods orders came in significantly higher [+5.3%] vs expectations [+4.0%] this week. PPI (MoM) 0.5% and (YoY) 3.0% came in higher than expected as well.

The FOMC voted to hold rates steady at Wednesday's meeting. The current odds of a cut by March are 15.4%, by April 31.1% and by June 68.2%.

President Trumps nomination of Kevin Warsh for Fed Chair today pushed the Dollar higher & led to a selloff in precious metals. Stocks were lower and Bonds were mixed.

Vols were mixed this week, with most months trending lower (see attached spd sheet).

SOFR OPTION PLAYERS to NOTE THIS WEEK:

sfrg6 9637 9650 9662 call fly paper sold 10k @ 1 ref 96.37

sfrg6 9637 9643 call spread paper sold 10k @ .75 ref 96.37

sfrh6 9643 9656 cs (tied 96.335 d05) paper sold 20k @ 1

sfrh6 9650 9662 9675 9687 c cond vs sfrh6 9637 9625 ps paper paid 3.5 10kx +ps ref 96.37

sfrh6 9643^ vs 9656 call (tied 96.375 d50) paper paid 10.5 5kx

sfrj6 9650 9656 sfrm6 9643 9650 cs sprd paper paid .75 30kx +m ref 95.535

sfrj6 9725 call paper paid 1 20kx ref 96.525

sfrj6 9643 9631 p 1x2 paper paid 1.75 5kx +1 leg ref 96.545

sfrj6 9675 9687 cs paper paid 1-1.25 50kx ref 96.535

sfrk6 9700 call (tied 96.56 d14) vs

0qk6 9625 put (tied 96.76 d4) paper paid 1.25 6kx +sfrk6 call

sfrm6 9643 9662 9675 c tree paper paid 3.25-3.5 15kx +1 leg

sfrm6 9662 9675 9687 c tree 2x2x1 paper paid .75-1 15k +66 ref 96.555

sfrm6 9637 9631 ps paper paid 1.25 15kx ref 96.53

sfrm6 9643 9631 put spread paper paid 3.5 10kx ref 96.57

sfrm6 9656 9643 9631 p tree paper sold 30k @ 6.5-6.25 ref 96.525

sfrm6 9637 9625 9618 put fly 1x3x2 paper sold 7500 @ 1.25

sfrm6 9650 9643 9637 put tree paper paid 1.75 7500x ref 96.555

sfrm6 9643 9662 9675 c tree paper paid 3.5 7kx ref 96.56

sfrm6 2qm6 9675 9725 call spread spread paper paid 3.75 5kx +2qm6

sfrm6 sfrz6 9650 9643 ps sprd paper paid 1 12k +sfrm6

sfrn6 sfru6 9650 9643 9637 p tree stupid paper paid 1.5-1.75 15kx ref 96.71

sfru6 sfrz6 9643 9631 ps sprd paper sold 25k @ .00 -sfrz6

sfru6 9643 9631 9618 p tree paper paid 2.5-2.75 10kx ref 96.685

sfru6 9675 ^ (tied 96.69 d14) paper paid 3k @ 32.75

sfru6 9662 9675 9700 9712 c condor vs 9643 put paper paid .75 to 1 40kx + condor

sfrz6 9750 9850 cs paper paid 3.5 50kx ref 96.745

sfrz6 9650 9625 9600 p fly paper paid 4.25 10kx ref 96.805

sfrz6 9687 9700 9712 9725 c condor paper paid 1.5-1.75 10kx

sfrz6 2qz6 9687 9700 cs paper paid 1-1.5 10kx +sfrz6

sfrz6 9737 9800 call spread paper paid 3.75 10kx ref 96.76

sfrz6 9900 10000 10100 c fly paper paid 1 6kx ref 96.75

sfrz6 9800 9900 call spread paper paid 1.75 10kx

sfru7 9750 9662 p 1x3 paper paid -2 to +2.5 10kx +1 leg ref 96.695

sfrh8 9550 9750 strangle paper sold 5k @ 22-21.5 ref 96.555

sfru8 9700 9750 9800 c fly paper paid 5.75 10kx ref 96.45

0qh6 9687 9700 9706 brk c fly paper paid 1.5-1.75 10kx

0qj6 9650 9700 squash (tied 96.745 d40) paper paid 2 15kx +c (ppr -5k also)

0qj6 9625 put paper paid 1 40kx ref 96.72

0qm6 9668 ^ paper sold 4k @ 33 ref 96.70

0qn6 9650 put (tied 96.71 d30) paper sold 12k @ 9.5

0qu6 9750 call paper sold 35k @ 5 ref 96.73

0qu6 9687 9725 9750 brk c fly paper paid 5.25 15kx ref 96.665

0qz6 9700 call (tied 96.645 d10) paper paid 14 10kx

0qz6 9750 call paper paid 6-6.5 40kx

2qj6 9675 call (tied 96.56 d22) paper paid 3.75 5kx

2qm6 9625 9600 p 2x3 paper sold 5k @ 5.5 ref 96.50

2qm6 9650^ paper paid 36 2kx ref 96.56

3qj6 9625 9612 9600 put tree (tied 96.27 d5) paper sold 5k @ .5

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