The S&P 500 hit all time highs with Gold & Fixed income futures rallying as the Straits of Hormuz opened & hopes for a peace deal between the US & Iran came closer to reality. The current odds of a 25 bp cut by Dec 9th are 50.21% (up from 22.1% last week) while the odds of two 25 bp cuts are up to 12.7% (from roughly nil last week). The 10Yr is currently trading @ 4.24%.
SOFR Option Vols were lower for the week (see attached spreadsheet).
This week’s straddle report is a wide spreadsheet, best viewed full screen.
Open report full screen Download PDFsfrk6 9625 9637 strangle paper sold 5k @ 3 to 2.75 ref 96.32
sfrk6 9631 put paper paid 2 5kx ref 96.33
sfrk6 9643 9656 cs paper sold 10k @ .5 ref 96.35
sfrm6 9631 9637 9643 9650 c condor paper paid 1.5 5kx ref 96.325
sfrm6 9637 ^ paper paid 9 5kx ref 96.355
sfrm6 9612 9600 ps paper paid .75 15kx ref 96.32
sfrm6 9650 call (tied 96.325 d15) paper sold 10k @ 1.5
sfrm6 9662 9675 cs paper paid 2.25 8kx ref 96.33
sfrm6 9631 9643 9656 c fly paper sold 5k @ 2.5 ref 96.35
sfrn6 9637 9650 9662 call fly paper paid 1.75 6kx ref 96.405
sfrn6 sfrq6 sfru6 9656 9643 9631 put fly strip paper sold 5k @ 5 ref 96.35
sfrn6 9700 call paper paid 2.75 7500x ref 96.33
sfrn6 0qn6 9612 ps paper paid .5 5kx +0qn6
sfru6 9650 9681 9712 c fly paper paid 4 5kx ref 96.42
sfru6 9600 9587 ps (tied 96.33 d05) paper paid 1.25 20kx
sfru6 9618 9631 9643 9656 call condor paper paid 7.5 10kx ref 96.42
sfru6 9643 9650 9656 c fly paper paid .25 10kx ref 96.36
sfru6 9650 9656 cs paper paid 1.5 20kx ref 96.36
sfru6 9625 put paper paid 9 5kx ref 96.35
sfrv6 9650 9625 p 1x2 paper sold 5k @ 1.5 to .75 -2 leg ref 96.39
sfrz6 9650 9675 cs 2x vs 9631 put paper paid 3.25 to 3.5 10kx +put ref 96.41
sfrz6 9650 9675 cs 2x vs 9631 put paper sold 15k @ 3 to 2.75 -cs 2x ref 96.48
sfrz6 9637 ^ 1x vs 9600 p 4x (tied 96.41 d95) paper paid 4 3kx
sfrz6 9650 9637 ps (tied 96.405 d10) paper paid 7.25 20kx
sfrz6 9643 9631 9618 p fly paper sold 6k @ 3 ref 96.46
sfrz6 9825 call paper paid 2.25 10kx ref 96.47
sfrm7 0qm6 9662 straddle spread paper sold 3k @ 40 ref 96.47
0qk6 9650 9662 9675 c tree paper paid 1.5 to 1.75 10kx ref 96.46
0qk6 9656 9668 9681 c tree paper paid 1.75 8kx ref 96.46
0qk6 9662 9650 9625 brk p tree paper sold 7500 @ 5 -1 ref 96.47
0qm6 9650 9675 9700 c fly paper sold 5k @ 5 ref 96.46
0qm6 0qu6 9650 ps paper paid 5 10kx
0qn6 9625 9600 ps paper paid 4.5 20kx ref 96.51
0qu6 9650 put (tied 96.615 d38) paper sold 10k @ 17
0qz6 9650 9675 9700 9725 c condor paper sold 20k @ 7.25 to 7 ref 96.62
0qz6 9600 9650 9700 iron fly paper sold 5k @ 33.5 ref 96.61
2qm6 9662 9643 9631 put tree paper sold 15k @ 2 ref 96.61 (-1 leg)
2qm6 9675 call (tied 96.645 d36) paper sold 7500 @ 7
3qh7 9625 9550 p 2x3 (tied 96.29 d42) paper paid 31-31.5 3kx
3qh7 9637 9562 p 2x3 (tied 96.33 d50) paper paid 36.5 2500x
3qm6 9612 9687 squash (tied 9650 d24) paper sold 5k @ .5 (-puts)
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