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SOFR Option Weekly Commentary 5/8/26

Today's Payroll numbers (Nonfarm & Private) came in stronger than expected. The US economy continues to be resilient, even with the Iran War unresolved & Oil prices elevated. Stocks resumed their rally based on strong earnings with the S&P 500 at New All-time highs again this week.

The current odds of a 25 bp cut by the FOMC's Dec 9th meeting are 10.7% (down from 14.9% last week) and the odds of a 25 bp hike are 15% (up from 10.7% last week & nil 2 weeks ago). The 10Yr is currently trading @ 4.36%.

SOFR Option Vols were lower across the board this week (see attached spreadsheet).

SOFR Option Trades to Note this Week

Scroll or swipe horizontally to see all columns →

Trade Action Ref
sfrk6 9643 callpaper sold 7k @ .2596.36
sfrm6 9631 9637 9643 9650 c condorpaper sold 10k @ 2.2596.36
sfrm6 9631 9625 pspaper paid .25 50kx96.36
sfrn6 9612 put vs 0qv6 9631 9606 pspaper paid 4 10kx +0qv696.33/96.36
sfrn6 9643 9656 9668 c flypaper sold 5k @ .7596.33
sfrn6 9668 9656 pspaper sold 10k @ 11.2596.36
sfrq6 9700 callpaper paid 2 5kx96.35
sfru6 9631 9637 9643 c flypaper paid 1 7500x96.32
sfru6 9631 9643 9656 c flypaper paid 1.25 15kx96.33
sfru6 sfrz6 9643 9631 ps sprdpaper sold 7500 @ .75 -sfru6
sfru6 9612 9625 9637 9650 c condor vs sfru6 9618 9631 9643 9656 c condorpaper paid .75 to 1 15kx +1/2/3/5 condor
sfru6 9612 9625 9637 9650 c condorpaper paid 8 7500x96.34
sfru6 9643 9637 9618 9600 broken put condorpaper paid 3 4kx96.35
sfru6 9600 9587 ps (tied 96.33 d05)paper paid 1 10kx
sfru6 9600 putpaper sold 7500 @ 2.7596.35
sfru6 9637^paper paid 21 to 21.25 3500x
sfrv6 9631 9643 9656 c flypaper paid 1.25 5kx96.24
sfrz6 9650 9675 cs vs 9600 9575 pspaper paid 1.625 10k +cs96.32
sfrz6 9606 9631 9656 c flypaper paid 8.5 10kx96.26
sfrz6 9618 9606 9593 p flypaper paid .75 10kx96.26
sfrz6 9625 9612 9600 9587 p condorpaper paid 1 5kx96.27
sfrz6 9637 9612 pspaper paid 11.75 20kx ref 96.17 (tied 96.245-96.255 d15) paper paid 10.5 30kx
sfrz6 9650 9687 cspaper sold 20k @ 6.596.18
sfrz6 9650 9662 cspaper paid 3.25 5kx96.275
sfrz6 9706 call (tied 9630.5 d8)paper sold 15k @ 5.75
sfrz6 9631^ vs 0qz6 9600 9700^^paper paid 15.5 5kx +z6^
sfrz6 9606 put (tied 96.30 d36)paper sold 5k @ 13
sfrh7 9625 ^paper paid 66 to 66.75 3kx96.25
sfrh7 9587 put vs sfrm7 9650 callpaper paid 1 to 1.5 10kx +p96.125/96.14
sfrh7 9625 9612 pspaper sold 20k @ 5.5 to 4.7596.11
sfrh7 9687 9787 call spread (tied 96.27 d14)paper paid 7.5 6kx
sfrh7 9525 9725^^paper sold 2k @ 1696.31
sfrm7 9700 9800 cs (tied 96.24 d15)paper paid 10 10kx
sfrm7 9750 callpaper paid 8 5kx96.26
sfrh8 9550 put (tied 96.355 d25)paper sold 6k @ 28.5
0qk6 9637 9662 9687 c flypaper sold 10K @ 3.7596.33
0qm6 9625 straddle vs 0qn6 9612 9650 stranglepaper sold 8k @ 7 to 6.75 -0qm6
0qn6 9625 9600 pspaper paid 9.5 10kx96.21
0qn6 9618 9593 pspaper sold 15k @ 5.7596.35
0qn6 9625 9600 pspaper sold 25k @ 796.325
0qv6 9618 9587 pspaper paid 8.25 15kx96.41
0qv6 0qz6 9650 9600 9550 put fly stupidpaper paid 23.5 8kx96.37
0qu6 3qu6 9612 pspaper paid 6.5-6.75 6kx +0qu6
0qu6 9600 9575 pspaper paid 5.5 7500x96.30
0qu6 9600 9675 squash (tied 96.375 d48)paper paid 1 10kx +put
0qz6 9750 9800 cspaper sold 150k @ 2.75 to 2.25
0qz6 9675 call (tied 96.365 d30)paper sold 5k @ 15

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