Today's higher than expected PPI data was outweighed by AI & Iran fears. 10Yrs are under currently trading @ 3.96% The odds of a 25 bp cut by the FED's June 17th meeting are now 56.6% (up from 52.1% at the end of last week).
Sofr Option Vols were higher today & across the board for the week (see attached spreadsheet).
sfrh6 9643 9631 9625 brk p tree paper sold 8k @ 10
sfrh6 9643 9650 call spread paper paid .25 35kx ref 96.3375
sfrj6 9643 9637 ps vs 9656 9681 cs paper sold 15k @ 1-.75 -cs ref 96.495
sfrj6 9637 9643 9656 9662 c condor paper paid 3.5 10k
sfrk6 9700 call paper paid 1.75 10kx ref 96.495
sfrk6 9643 9637 p 1x2 paper paid 2-2.25 40kx ref 96.495
sfrm6 9650^ paper paid 17.5 on 3k ref 96.495
sfrm6 9650 9668 9681 c fly 1x3x2 paper paid 2-2.25 20kx ref 96.49
sfrm6 9650 9637 put spread (tied 96.475 d34) paper sold 10k @ 8
sfrm6 9650 9662 9681 call tree paper paid .25 10kx +65 call ref 96.485
sfrm6 9643 9656 9675 brk c tree paper paid .5 10kx +1 leg
sfrm6 9643 9631 ps paper paid 5.25 10k ref 96.49
sfrm6 9656 9650 9643 9637 p condor paper paid .75-.875 15kx ref 96.495
sfrn6 sfrq6 sfru6 9656 9643 9631 put fly strip
with sfrm6 9643 9637 9631 put fly paper paid 10.25 6kx
sfru6 9637 9612 p 1x2 paper paid .75 10kx ref 96.71
sfru6 9650 9643 9637 9625 put condor paper paid 1.25 10Kx
sfru6 9900 call paper paid 1.25 50kx ref 96.72
sfru6 9675 9662 9650 p tree paper paid 2-2.25 25kx ref 96.765
sfru6 9675^ paper sold 8k @ 36.5-35.75 ref 96.73
sfru6 9700 9750 9800 call tree 2x2x3 paper paid .00-.75 12kx ref 96.72
sfru6 sfrz6 9750 call stupid paper paid 14.5-14.75 10kx ref 96.725/96.87
sfru6 9675 9700 9725 call fly paper sold 10k @ 3.5 ref 96.745
sfrz6 9762 9800 9825 c fly 1x3x2 paper paid .75 10kx
sfrz6 9681^ paper paid 47.5-48 6kx ref 96.875
sfrz6 9750 call (tied 96.87-96.86 d20) vs
0qz6 9650 put (tied 96.95 d24) paper sold 20k @ .5 - put
sfrz6 9750 9850 cs paper sold 30k @ 6.75-6.25 ref 96.87
sfrh7 9687^ paper paid 58 to 55.5 7kx ref 96.945
sfrm8 9700 9750 9775 c fly vs
9650 9625 ps (tied 96.89 d 14) paper paid 5 10kx +c fly
0qj6 9718 9731 call spread (tied 96.98 d10) paper sold 10k @ 1.75
0qj6 9700 9750 call spread paper paid 10.5-11 15kx ref 97.03
0qk6 9681 9668 9650 put tree 2x2x1 paper paid 7 3kx +9681 put ref 96.955
0qm6 0qz6 9750 9800 call spread spread paper paid 3.25-3.75 30kx ref 96.945/96.915
0qm6 9800 call paper paid 3 85kx
0qu6 9712 9750 9787 call fly (tied 96.95 d8) paper paid 4 5kx
0qz6 9825 call paper paid 5.5 25kx ref 96.91
0qz6 9900 9950 c 1x2 paper paid .00-.25 10kx +1 leg ref 96.92
2qh6 9700 9718 cs paper paid 3.25 17kx
2qz6 9687 9725 cs vs 9662 9637 ps (tied 96.745 d32) paper paid 1.5 7500x +cs
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