US stocks rebounded today, after being lower on wednesday's weak private sector employment data (ADP report showing only 22K private sector jobs created in Jan) & a tech selloff based on fears of AI cannibalizing the software industry. Odds of a Fed Funds 25 bp cut by June raised to 71%.
Sofr Option Vols were mixed, but mostly higher this week (see attached spd sheet).
This week’s straddle report is a wide spreadsheet, best viewed full screen.
Open report full screen Download PDFsfrg6 9662 9650 9631 put fly paper paid .00 10kx +body ref 96.385
sfrh6 9643 call (tied 96.385 d33) paper paid 3 25kx
sfrh6 9637 9643 9650 call fly paper paid .25 10kx
sfrh6 9637 9650 9662 call tree paper paid 1 15kx ref 96.385
sfrj6 9656 9650 p 1x2 paper paid .25 15kx
sfrj6 9675 9687 cs paper paid 1.25-1.5 15kx
sfrj6 9643 9656 9668 c fly (tied 96.535 d10) paid 3.25 10kx
sfrk6 9725 call (tied 96.565 d05) paper paid 1.75 10kx
sfrm6 sfru6 9637 9631 9625 p fly stupid paper paid 2.5 5kx
sfrm6 9631 put paper paid .5 30k ref 96.54
sfrm6 9637 9700 squash (tied 96.525 d37) paper paid 1 8kx +c
sfrm6 9643 9656 9662 9675 c condor paper paid 4 10kx ref 96.525
sfrm6 9643 9662 9675 c tree paper paid 3.5 20kx ref 96.56
sfrm6 9643 9637 p 1x2 paper paid 1 10kx +1 leg
sfrm6 9675 9700 cs paper paid 2.25-2.5 20kxsfrm6 9700 c (tied 96.565 d14) paper paid 3 20kx
sfrm6 9668 9681 9693 9706 c condor vs
9643 9637 put spread paper sold 8k @ .25 -ps ref 96.615
sfrn6 9650 9631 put spread paper paid 3-3.25 8kx ref 96.81
sfrm7 sfru7 9600 put stupid
(tied 96.725 d12/tied 96.69 d16) paper paid 19.5 4kx
sfru6 9900 10000 10100 c fly paper paid .75 7500x
sfru6 sfrz6 9643 9631 ps sprd paper paid .00 8kx +sfru6
sfru6 9675 9700 9725 9750 c condor (tied 96.70 d14) paper paid 5.5 25kx
sfru6 9675 9687 9712 9737 brk c condor paper paid 2.25 25kx
sfrz6 9687 9700 cs (tied 96.775 d08) paper paid 4 10kx
sfrz6 9687 9700 cs [3x] vs 2qz6 9687 call [1x] paper sold 10k @ .5 -2qz6 1x
sfrh7 9625 9600 ps paper paid 2.5-3.25 25kx
sfrz7/sfrh8 9725 c stupid
(tied z7 96.71 /h8 96.65 (d 28 each) paper paid 41.5 on 2k
sfrh7 sfrm7 9725 9750 9775 c fly stupid paper paid 3 5kx
0qg6 9681 9675 p 2x1 (tied 96.745 d90) paper paid 13.5 5kx +2 9681 p
0qh6 9675 put (tied 96.805 d40) vs
3qh6 9637 put (tied 96.405 d45) paper sold 5k @ 1 -3qh6
0qh6 9668 put (tied 96.805 d22) vs
3qh6 9625 put (tied 96.405 d22) paper paid 1 5850x +0qh6
0qz6 9675^ paper sold 3k @ 58-57.5 ref 96.76
2qg6 9650 9643 ps (tied 96.56 d13) paper paid 1.5 50kx
2qh6 9650 9637 ps (tied 96.60-96.605 d10) paper paid 3 10kx
2qh6 9662 9643 9625 p tree paper sold 30k @ 6.75-6.5 ref 96.59
2qk6 9650 9637 9612 brk p fly 2x3x1 paper paid 4-5 5kx
2qu6 9700 9750 9800 c fly paper paid 4.5 6750x
2qz6 9637 9612 p 1x2 paper paid 7 5kx +2 legs ref 96.48
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