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SOFR Option Weekly Commentary 4/10/26

Today's Core CPI data; 0.2% MoM (vs 0.3% expected) and 2.6% YoY (vs 2.7% expected) came in lower than market expectations while the overall 0.9% reading (including energy) was the highest in almost 4 years. US/Iran talks will continue this weekend during the ceasefire. The current odds of a 25 bp cut by Dec 9th are 22.1% (up from 13.6% last week) while the odds of a 25 bp hike lowered to 2.8% (down from 8.8% last week). The 10Yr is currently trading @ 4.31%

Vol was lower for the week - see attached spd sheet.

SOFR OPTION TRADES to NOTE this WEEK:

sfrk6 9600 9575 p stupid 2x vs sfrm6 9631 p 1x (tied 96.32 d36) paper sold 10k @ 1.5-.00 -m6 p

sfrk6 9700 9750 cs paper sold 10k @ .25 ref 96.34

sfrk6 9656 9650 9643 9637 put condor paper sold 10k @ .5 ref 9632

sfrm6 9650 9668 9681 c fly 1x3x2 (tied 96.32 d05) paper sold 15k @ .00 -wings

sfrm6 9656 9643 9637 p fly 1x3x2 (tied 96.32 d10) paper sold 12k @ 0.25 -wings

sfrm6 9550 9500 ps paper paid .75 10kx ref 96.32

sfrm6 thru sfrh7 9500 p strip paper paid 8 4kx

sfrm6 9637 put (tied 96.345 d60) vs 0qm6 9637 put (tied 96.535 d36) paper sold 10k @ 4 -0qm6

sfrm6 9650 9643 9637 9631 p condor paper sold 45k @ 1.25 ref 9632.5

sfrn6 9618 9606 ps paper paid 2 8kx

sfrn6 9625 9575 ps paper sold 5k @ 9-8.75 ref 96.30

sfrn6 9650 c vs 0qn6 9662 9687 cs paper sold 5k @ .5 -n6 ref 96.29/96.46

sfrn6 9550 9525 put stupid paper paid 3.25 10kx ref 9635.5

sfru6 9631 ^ paper paid 34.75-35.5 10kx ref 96.29

sfru6 9575 put (tied 96.335 d06) paper paid 5 6kx

sfru6 9631 p paper paid 19 5kx ref 96.285

sfru6 9643 9656 9662 9675 c condor paper paid 1.5 15kx ref 96.285

sfru6 9625 9637 9662 c tree paper sold 6k @ .75 (-2 legs) ref 9637

sfru6 9637 9662 cs (tied 96.335 d20) paper paid 5.5 20kx

sfru6 9650 9681 9712 c fly paper paid 2.75 7500x ref 96.335

sfru6 9700 9750 cs paper sold 5k @ 1.75 ref 96.335

sfrz6 9668 9681 cs paper paid 2.75-3 15kx ref 96.34

sfrz6 9687 9700 9712 9725 c condor vs 9637 9625 ps paper paid 5.75 8kx +ps ref 96.30

sfrz6 9700 9800 c 2x3 paper paid 8.75-9 7500x ref 96.30

sfrz6 9587 9687 squash (tied 96.37 d50) paper sold 5k @ .00 -puts

sfrz6 9637 straddle vs 9662 call paper sold 5k @ 30 ref 9644

sfrz6 9800 9900 cs paper sold 15k @ 2.25-2 ref 96.43

sfrz6 9550 put paper sold 7k @ 5.5 ref 96.38

sfrz6 9625 9600 9575 p fly paper paid 2 5kx ref 96.39

sfrz6 9725 9662 9631 brk p fly paper sold 5k @ 34.25 ref 96.37

sfrh7 9725 9825 c 2x3 paper paid 9.5 3750x

0qm6 9631 9587 ps paper paid 11.5 8kx ref 96.37

0qu6 9662 9650 ps paper paid 7 15kx ref 96.46

0qu6 0qz6 9637 9687 9737 c fly stupid paper paid 23-24 10kx ref 96.49/96.55

0qu6 sfru7 9637 straddle sprd paper sold 2k @ 31

0qz6 9625 put (tied 96.63 d30) paper paid 18 8kx

0qz6 9650 9675 9700 9725 call condor paper sold 10k @ 6.5 ref 96.63

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