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SOFR Option Weekly Commentary 3/13/26

The War with Iran took center stage this week as equities sold off and Brent Crude topped $100 a barrel sparking inflation fears even as PCE (YoY) came in lower @ 2.8%. The 10Yr is currently trading @ 4.28%. Markets are pricing 99% chance that FED does not move rates next week. As of this writing, the odds of a 25 bp cut by the FED's June 17th meeting are now 25% (significantly lower from the end of last week). The odds of one 25 bp cut by the FED's Dec 9th meeting are currently 61.9% (down from 88.5% last week), two cuts 21.4% (down from 58.2%) & three cuts 4.1% (down from 25.5%).

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

SOFR OPTION TRADES to NOTE this WEEK:

sfrj6 9631 9725 RR paper sold 5k @ 0.25 (-p) Ref 96.42

sfrj6 9650 9662 9675 c fly paper paid 1.25 10kx ref 96.42

sfrj6 9625 9631 9643 9650 call condor paper paid 4 15kx ref 96.41

sfrj6 9637 9631 9625 p fly paper sold 20k @ 1.5

sfrj6 9800 call paper paid .5 40kx

sfrj6 9650 9656 9662 9668 c condor paper paid .75 10kx

sfrk6 9668 9681 call spread paper paid .75 20kx ref 96.42

sfrm6 9700 9850 cs paper paid 1.5 20kx

sfrm6 9650 9656 cs paper sold 50k @ 1.5 Ref 96.43

sfrm6 9606 9631 9637 9662 c condor paper paid 15-15.25 20kx

Sfrm6 9643 9650 call spread 2x vs 2qm6 9737 call 1x paper paid .75-1.25 40k +cs

sfrm6 9675 call (tied 96.39 d11) paper paid 2.5 10kx

sfrm6 9650 9675 call 1x2 paper paid 1.25 10kx

sfrn6 9612 put (tied 96.54-96.535 d13) paper paid 2.75 10kx

sfru6 9606 9550 put 1x2 paper sold 10k @ 2-1.5

sfru6 9675 9687 9693 brk c fly paper paid 2-2.25 10kx

sfru6 9675 9687 cs vs 9625 9600 ps (tied 96.585 d18) paper paid 1 20kx +cs

sfru6 9637 sfrz6 9625 put spread paper sold 5k @ .75 -z6

sfru6 9668 9681 9693 call fly paper paid 1.25 10kx ref 96.535

sfru6 9675 9700 9725 call fly paper sold 40k @ 2-1.75 ref 96.535

sfru6 9700 9750 9775 call fly paper sold 10k @ 2.5 ref 96.54

sfru6 9612 9600 ps paper paid 1.25 20kx ref 96.585

sfru6 9643 9631 9618 put tree paper sold 20k @ .5 -1 leg ref 96.535

sfrz6 9650 9675 9700 9725 c condor paper paid 6 10k Ref 96.515

sfrz6 9700 9775 call spread (tied 96.595 d20) paper paid 8.25-8.5 15kx

sfrz6 9637 9612 ps paper sold 40k @ 7.75-7.5

sfrz6 9717 9675 9612 brk p fly paper paid 1.75 15kx

0qj6 9675 9687 strangle paper sold 8k at 17.5

0qu6 9700 9750 cs (tied 96.755 d18) paper sold 50k @ 11.5

0qu6 0qz6 9700 9750 call spread stupid (tied 96.75 d20 96.75 d20) paper sold 10k @ 23.5

0qz6 9750 9800 call spread paper paid 7 25kx ref 96.795

2qm6 9662 9650 9637 p tree paper sold 5k @ 3 - 2 legs

2qm6 9725 9750 cs paper paid 2.25 20kx

2qq6 9662 9643 9625 put tree paper paid 2.5 5kx +2 leg ref 96.67

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