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SOFR Option Weekly Commentary 4/03/26

Strong employment data today (186K Payroll actual vs 78K expected) increased the odds of the FED on hold thru June. As of this writing the current odds of 25 bp cut by June 17th are down to 4.1% (vs 7.8% last week), but increased slightly to 13.6% by Dec 9th (up from 3.7% last week). The odds of a 25 bp hike by Dec 9th even with WTI May futures currently topping $111 a barrel - dropped to 8.8% (vs 25% last week). The 10Yr is currently trading @ 4.35%

SOFR Option Vols were lower this week (& the past two) - see attached spd sheet.

SOFR OPTION TRADES TO NOTE this WEEK:

sfrm6 9650 9662 cs paper paid 1.25 10kx ref 96.34

sfrm6 9650 9662 9675 c fly paper paid .75 10kx ref 96.24

sfrm6 9712 call (tied 96.33 d07) paper sold 5k @ 1.75

sfrm6 9650 9631 put spread paper paid 15 10kx ref 96.34

sfrm6 9600 put paper paid 2.5 5kx ref 96.33

sfrm6 9600 9587 ps paper paid 1 15kx ref 96.31

sfrm6 9650 9643 9637 9631 p condor paper sold 5k @ 1.25 ref 96.33

sfrn6 9650 0qn6 9668 cs paper paid 5.75-6 10kx

sfrn6 9625 put (tied 96.31 d40) paper paid 14 5kx

sfrn6 9587 9675^^ vs 0qu6 9662 9712 cs paper paid 2.5 5kx +cs

sfru6 9625 9550 ps (tied 96.31 d28) paper sold 5k @ 14

sfru6 9631 ^ paper paid 38.5-39 10kx

sfru6 9662 9637 9600 brk p fly paper paid 6.75-8.5 20kx ref 96.32

sfru6 9600 put (tied 96.35 d28) paper sold 5k @ 10

sfru6 9625 9600 9581 put fly (tied 96.375 d05) paper pd 2 5kx

sfru6 9575 p paper paid .75 10kx ref 96.335

sfru6 9625 sfrz6 9637 ^ stupid paper paid 101.5-102 1500x

sfrz6 9625 9600 ps paper sold 10k @ 8.5-8.25 ref 96.35

sfrz6 9637 9662 c 2x3 paper paid 2.5-3 10kx ref 96.33

sfrz6 9662 9693 c 2x3 paper paid 1.75-2 5kx +2 legs ref 96.37

sfrz6 9750 9825 c 2x3 paper paid 2 10kx ref 96.36

sfrz6 9643 9656 9668 c fly paper paid 1 5kx ref 96.29

sfrz6 9662 9687 call spread paper paid 5.5 10kx ref 96.315

sfrz6 9637 9612 ps paper sold 40k @ 9.25 ref 96.38

sfrz6 9643 9618 9600 9587 p condor 2x2x2x1 paper paid 2.5 7500x ref 96.36

sfrz6 9675 9650 9612 brk p tree paper sold 5k @ 4.25 - 2leg ref 96.38

sfrz6 9675 call (tied 96.35 d30) paper paid 16.5-17 10kx

sfrz6 9700 9800 c 2x3 paper paid 10 4kx ref 96.35

sfrh7 9625 9550 ps paper sold 7500 @ 21.5 ref 96.36

0qj6 9612 9600 ps (tied 96.395 d08) paper sold 25k @ 1.75-1.5

0qj6 9637 9650 9662 c tree paper paid 2.25 4kx ref 96.46

0qk6 9650 9662 9675 call fly paper paid 1.5 5kx ref 96.45

0qk6 0qm6 9637 9662 9687 c fly stupid paper paid 11.25 5kx

0qm6 9625 9637 9687 9700 call condor paper paid 6 5kx ref 96.445

0qn6 9625 9600 put spread vs 9700 9725 call spread paper sold 5k @ 2 -ps ref 96.525

0qu6 0qz6 9637 9687 9737 call fly stupid paper paid 23 2kx

0qu6 9650 ^ paper paid 60.5-61 4kx ref 96.52

0qz6 9637 9700 squash (tied 96.63 d74 ) paper sold 4k @ 3 -put

0qz6 9675 9700 cs vs 9625 9600 ps (tied 96.64 d16) paper paid 3 10kx +cs

0qz6 9712 9762 9812 call fly 3x with 9587 put 1x stupid paper paid 27 4kx

2qm6 9650 9662 9687 9700 c condor paper paid 4.5 10kx ref 96.56

2qm6 9725 9750 cs paper sold 20k @ .75 ref 96.54

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