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SOFR Option Weekly Commentary 3/27/26

Oil sold off on Monday, but proceeded to rally back thru Friday as getting tankers thru the Straits of Hormuz has been difficult. The 10yr is currently trading @ 4.43%. As of this writing, the odds of a 25 bp HIKE by the FED’s June 17th meeting are now 7.8% (down from 15.6% last week). The odds of one 25 bp cut by the FED’s Dec 9th meeting are currently 3.7% (down from 61.9% two weeks ago) while the odds of a 25 bp HIKE are currently 25% - down from 33.6% last week.

Roller coaster week as Vols were lower but are still higher over the past 2 week horizon (see attached vol spd sheet).

SOFR OPTION TRADES to NOTE this WEEK:

sfrj6 9625 sfrm6 9612 sfrz6 9600 p fly paper slod 5k @ 15 (-wings)

sfrm6 9620 9600 9575 p tree paper sold 20k @ .25 to .00 - 2 legs ref 96.26

sfrm6 9612 9600 9587 p fly paper pays .75 10kx ref 96.265

sfrm6 9643 9631 9618 p fly paper paid 7 30kx ref 96.28

sfrm6 9631 9637 9643 9650 c condor paper paid .75-1 30kx ref 96.25

sfrm6 9656 9631 9606 p fly paper paid 16 7500x ref 96.25

sfrm6 9625 ^ paper paid 23 to 24 4kx ref 96.26

sfrm6 9643 9643 sfru6 9656 9650 ps sprd paper sold 10k @ .75 -m6

sfrn6 9656 9700 cs w/ 9681 9743 cs stupid (tied 96.16 d21) paper paid 7.25 20kx

sfru6 9662 9637 9612 p fly 1x3x2 paper paid 3.75 10kx +body ref 96.23

sfru6 9637 9650 9662 9675 c condor paper paid 1.5 10kx ref 96.20

sfru6 9631 9643 9656 c fly paper paid .725 25kx ref 96.20

sfru6 9618 ^ paper sold 4k @ 50 ref 96.20

sfru6 9625 ^ paper sold 20k @ 50-49 ref 96.22

sfru6 sfrz6 sfrh7 9643 9631 ps fly paper sells 12k @ even (-wings)

sfru6 sfrz6 9643 9631 ps sprd paper sold 10k @ 1 -sfru6

sfru6 9600 9650^^ paper paid 33 4kx

sfru6 9637 9656 cs vs 9606 9575 ps spread paper paid -.25 to +.25 15kx ref 96.22

sfrz6 9650 9700 cs vs 9575 9512 ps paper paid .00-.5 25kx +cs ref 96.20

sfrz6 9650 9675 9700 9725 c condor paper paid 5.5 10kx

sfrz6 9650 9687 9725 9762 c condor paper paid 8.25 to 7.5 40kx ref 96.18

sfrz6 9800 9900 cs paper paid 2.75 12kx ref 96.25

sfrz6 9668 9681 9693 c fly paper paid 1 10kx ref 96.25

sfrz6 9800 9850 0qn6 9800 9850 cs sprd paper paid 1 10kx +sfrz6

sfrz6 9687 9712 2qz6 9675 9700 cs sprd paper paid 4 to 4.25 15kx +2qz6

sfrz6 9600 9525 put spread paper sold 25k @ 19.5-17 ref 96.205

sfrm7 9700 9750 cs paper paid 10 on 10k

sfrm7 9700 9775 call spread paper paid 13.5 10kx

0qj6 9612 9600 ps (tied 96.395 d08) paper sold 70k @ 2-1.75 (monday)

0qj6 9612 9600 ps (tied 96.29 d10) paper paid 3.5 40kx (thurs)

0qk6 9625 put (96.38 d33) paper paid 16-16.5 8kx

0qk6 9662 9687 9700 brk c fly paper paid 4.25 10kx ref 96.31

0qm6 9600 put (tied 96.315 d30) paper sold 10k @ 15

0qm6 9600 put (tied 96.325 d30) paper sold 15k @ 14

0qm6 9687 put (tied 96.41 d75) paper paid 54.5 10kx

0qn6 9631 9700^^ paper sold 5k @ 29.5-28.5

0qq6 9662 9643 ps paper paid 10 10kx ref 96.42

0qu6 2qu6 9650 9612 ps spread paper sold 5k @ 1 to 1.5 -0qu6

0qz6 0qh7 9800 cs paper paid 2.5 10kx

2qm6 9725 9750 cs paper sold 25k @ 1.5 ref 96.54

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