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SOFR Option Weekly Commentary 3/20/26

The War with Iran took center stage again this week. Fed Governor Christopher Waller said he’s cautious about how elevated oil prices will impact inflation, though jobs weakness may still warrant rate cuts. Fed Vice Chair for Supervision Michelle Bowman told Fox Business she supports three reductions in 2026 and expects strong growth, but is keeping an eye on the war. The 10yr is currently trading @ 4.37%. As of this writing, the odds of a 25 bp HIKE by the FED’s June 17th meeting are now 15.6% (up from 0% last week). The odds of one 25 bp cut by the FED’s Dec 9th meeting are currently 5.6% (down from 61.9% last week) while the odds of a 25 bp HIKE have risen to 33.6% - up from 0% last week.

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

SOFR OPTION TRADES to NOTE this WEEK:

sfrj6 9662 9675 cs paper paid .25 to .375 25k ref 96.38

sfrj6 9643 9650 cs paper paid 1 20k ref 96.37

sfrj6 9668 9687 cs paper paid .25 20k ref 96.36

sfrj6 9725 9775 sfrk6 9700 9750 cs sprd paper paid .25 10k +may ref 96.36

sfrj6 9631 9618 p 2x3 paper paid 2.75 10k & 3.25 5k ref 96.28

sfrk6 9643 9631 put spread paper sold 10k @ 9.5 ref 96.26

sfrk6 9668 9687 cs paper paid .5 25k ref 96.36

sfrm6 9643 9650 cs 2x vs 2qm6 9737 c 1x paper paid 1 10k +sfrm6 2x

sfrm6 9637 9631 p 1x2 paper paid 1 10k +1 leg ref 96.38

sfrm6 9637 9631 p 1x2 (tied 96.26 d40) paper paid 12 10k +2 legs

sfrm6 9650 9643 9637 9631 p condor paper paid 1.25 30k ref 96.37

sfrm6 9600 9625 9637 9662 call condor paper paid 15 15kx ref 96.25

sfrm6 9650 9637 9631 9618 put condor paper sold 20k @ 6.25 to 5.75 ref 96.26

sfrn6 9662 9675 cs 3x vs 9631 p paper paid 1-1.5 10k +cs ref 96.475

sfru6 9650 9637 9631 9618 p condor paper paid 5.25-5.5 10k ref 96.47

sfru6 9725 9850 cs paper sold 40k @ 2.5 ref 96.44

sfru6 9750 9850 cs paper sold 10k @ 1.5 ref 96.26

sfru6 9625 9600 ps paper paid 6.75 10k ref 96.31

sfru6 9631 ^ paper sold 25k 45.5 to 43.5 ref 9627

sfru6 9500 put (tied 96.16 d10) paper paid 6.5 to 6.75 10kx

sfru6 sfrz6 9631 9618 ps stupid paper paid 9.25 10kx ref 96.30/96.33

sfru6 9650 9675 cs vs 9600 9575 put spread paper paid 2-2.5 8kx +ps

sfrz6 9700 9650 ps (tied 96.525 d23) paper sold 15k @ 33.5

sfrz6 9662 9600 ps (tied 96.55 d30) paper sold 10k @ 23

sfrz6 9662 9600 put 2x3 (tied 96.565 d24) paper sold 6k @ 36.5 to 36 -2 leg

sfrz6 9650 9675 c 2x3 vs sfrz6 9587 put (2x) paper sold 15k @ 13 -12.5 -2x puts ref 96.57

sfrz6 2qz6 9712 9762 cs sprd paper paid 3.5 10k +2qz6

sfrz6 9700 9662 p 1x2 paper sold 20k @ 5 to 4.5 - 2leg ref 96.51

sfrz6 9650 9675 9712 9737 c condor paper sold 10k @ 6.25 ref 96.51

sfrz6 9650 9600 9550 p fly paper paid 12 to 13 10kx ref 96.33

sfrz6 9737 9712 9681 brk p tree paper paid 47 10kx +2 leg ref 96.32

sfrz6 9662 call (tied 96.56 d46) paper paid 23.75 5kx

sfrz6 9656 sfrh7 9662^ stupid paper paid 120.5-121.5 2kx

sfrz6 9737 9700 9637 brk p fly paper paid 12.25 to 14 10kx body over

sfrz6 9650 96775 9700 9725 call condor paper paid 3.75 10kx ref 96.215

sfrz6 9681^ (tied 96.245 d46) paper paid 86.5 to 88 5kx

sfrz6 9668 9681 cs paper paid 2.5 20kx ref 96.19

sfrm7 9637 straddle paper sold 3k @ 101 ref 9633

sfrz7 9800 9900 call spread paper sold 10k @ 10 ref 96.565

week 3 short march 9650 9637 ps paper paid 1.75 15k ref m7 96.61

0qj6 9612 9600 put spread (tied 96.35 d9) paper paid 3 50kx & paid 3.25 7500x

0qm6 9668 9693 cs vs 9625 9600 ps (tied 96.625 d28) paper sold 5k @ 4.5 -cs

0qm6 9612 9550 ps (tied 9627-26.5 d24) paper sells 10k @ 15

0qm6 9625 9562 ps (tied 9630 d28) paper sells 10k @ 17.5

0qn6 9675 9700 9718 brk c tree paper paid 1 to 1.25 10k ref 96.705

0qu6 9587 put (tied 96.68 d19) paper sold 40k @ 7.5 (tied 96.66 d19) paper sold 20k @ 8.5

0qz6 9650 9675 9700 9725 c condor paper paid 5 to 5.5 40kx

0qz6 9650 9700 call spread paper paid 20.5 5kx ref 96.53

2qm6 9662 9650 9637 p-tree paper paid 11 5k (+2 legs) ref 9653

2qm6 9600 put (tied 96.54 to 96.52 d20) paper sold 15k @ 7.5

2qn6 9656 9637 9625 p-tree (tied 9654 d20) paper paid 6.5 to 9 20k (+2 legs) ref 9653

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