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SOFR Option Weekly Commentary 3/6/26

Treasuries rallied on today's weak jobs report (NFP -92K) but were still lower for the week. The 10Yr is currently trading @ 4.11% Inflation fears weighed on markets as WTI Crude futures traded above $90. As of this writing, the odds of a 25 bp cut by the FED's June 17th meeting are now 49% (down from 56.6% at the end of last week). The odds of one 25 bp cut by the FED's Dec 9th meeting are currently 88.5%, two cuts 58.2% & three cuts 25.5%.

Sofr Option Vols were higher across the board this week (see attached spreadsheet).

SOFR OPTION TRADES to NOTE this WEEK:

sfrh6 9650 9662 cs paper paid .25 20kx ref 96.3325

sfrj6 9656 9681 call spread paper paid 2.75 10kx ref 96.495

sfrj6 9762 9837 call stupid paper paid .75 20kx ref 96.485

sfrj6 9631 9712^^ paper sold 20k @ 1-.75 ref 96.48

sfrj6 9631 put paper paid .75-1 100kx

sfrj6 9637 9631 p 1x2 paper paid .00-.25 25kx +1 leg

sfrj6 9650 9662 cs paper paid 1.5-2.75 30kx

sfrm6 9675 9700 cs paper paid 1 15kx

sfrm6 9631 9625 ps paper sold 25k @ .75

sfrm6 9631 9637 9643 9650 call/put condor paper paid 2.75 40kx ref 96.46

sfrm6 9643 9637 ps paper sold 10k @ 4 ref 96.48

sfrm6 9668 9656 p 1x2 paper sold 7500 @ 4.5 -2 legs ref 96.485

sfrm6 9650 9643 9637 p tree paper paid 2.5-2.75 30kx

sfrm6 9643 9656 9668 c fly paper paid 1.5 15Kx

sfrn6 9631 9618 ps paper paid .5 30kx ref 96.645

sfrn6 9631 9618 ps paper sold 20k @ 1 ref 96.645

sfrn6 9662 9675 9687 9700 call condor vs

sfrn6 9643 9625 put spread paper paid .5-.75 8kx +condor ref 96.69

sfru6 9656 9637 put spread paper sold 20k @ 9 ref 96.66

sfru6 9650 9687 9725 c fly paper paid 8.5 30kx ref 96.66

sfru6 sfrz6 9643 9631 9618 put fly stupid paper sold 15k @ 5.25-5

sfru6 9675 9662 9643 9625 brk p condor paper paid 3.5 35kx ref 96.62

sfru6 9656^ paper sold 4k @ 32.75-32.5 ref 96.58

sfru6 9643 9631 9618 p tree paper sold 15k @ 1.5-1.25 - 1 leg

sfru6 9675 9662 9650 9637 p cond 2x2x1x1 paper sold 15k @ 10.25 ref 96.64

sfrz6 9650 9643 9637 put tree paper paid 1.25 10kx ref 96.865

sfrz6 9700 9650 p 1x2 paper sold 14,647 @ 16 -1 leg

sfrz6 9700 9775 call spread paper paid 9.5 10kx ref 96.67

sfrz6 9643 9625 put spread paper sold 10k @ 5 ref 96.72

sfrz6 9650 9637 p stupid paper sold 10k @ 30 Ref 96.71

sfrh7 9662 put (tied 96.765 d44) paper paid 22.5 16kx

sfrh7 9650 put (tied 96.715 d40) paper paid 23 5kx

sfrh7 9662 put (tied 96.705 d43) paper sold 10k @ 28.5-29

sfru7 9662 put paper paid 36-39 25kx ref 96.76

 

0qh6 9687 9700 cs paper paid 3.25-3.5 40kx Ref 96.85

0qj6 9675 9656 put spread vs 9700 call paper paid 2-2.25 20kx +ps ref 96.765

0qj6 9650 put (tied 96.86 d10) paper paid 2 25kx

0qz6 9750 9800 call spread paper paid 5.75 20kx ref 96.78

0qh7 mullet 9900 9975 cs paper paid 2.5 10kx

2qm6 9725 9750 call spread paper paid 3 10kx ref 96.825

2qz6 9687 9725 cs paper paid 10.75 10kx ref 96.735

3qm6 9662^ paper sold 2k @ 33 ref 96.64

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