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SOFR Option Weekly Commentary 5/15/26

Inflation fears took center stage this week as CPI, PPI & Retail Sales numbers all came in higher than expected and a peace deal in the US vs Iran War has not come to fruition. Traders have shifted gears & now see the FED's next move as a hike as opposed to a cut.

The current odds of a 25 bp cut by the FOMC's Dec 9th meeting are 0.4% (down from 10.7% last week), while the odds of a 25 bp hike are now 49.7% (up from 15% last week & nil 3 weeks ago). The 10Yr is currently trading @ 4.58%.

SOFR Option Vols (see attached spreadsheet).

SOFR Option Trades to Note this Week

Scroll or swipe horizontally to see all columns →

Trade Action Ref
sfrm6 9618 9662 stranglepaper sold 10k @ .7596.34
sfrm6 9625 putpaper paid 1 20k96.34
sfrm6 9631 9637 9643 c flypaper paid 2.75-3 45k96.34
sfrm6 9631^ vs sfrn6 9625 9637 ^^paper sold 3k @ 3.25 (-sfrn6)96.35/96.29
sfrn6 9643 9625 put spread (tied 96.265 d30)paper paid 12.75 12kx
sfru6/sfrz6 9643 9631 put spread spreadpaper sold 5k @ .75 (-sfru6)96.32/96.27
sfru6 9600 putpaper paid 3.75 10k96.29
sfru6 9618 9550 pspaper paid 5.5 10k96.285
sfru6 9618 9600 pspaper paid 2.75 10k96.29
sfru6 9643 9656 9668 c flypaper paid .75 5k96.29
sfru6 9668 9643 ps w/ 9706 9731 cs (tied 9628.5 d12)paper paid 23 6.5k
sfrv6 9618 9581 pspaper paid 10.5 10k96.20
sfrv6 9612 9650 9687 c flypaper paid 10.75 5k96.20
sfrz6 9643 9618 9581 put flypaper paid 4 7k96.27
sfrz6 9662 9675 9687 9725 brk call condorpaper paid even 10k +wings96.28
sfrz6 9600 put (tied 96.225 d34)paper paid 13 5k
sfrz6 9625 9575 p 1x2paper sold 10k @ 5.5 to 5.2596.21
sfrz6 9662 9687 call spreadpaper paid 2.75 15k96.21
sfrh7 9593 9581 9531 9518 put condorpaper paid 2.5 8k96.14
sfrm7 9700 9800 cs (tied 96.135 d12)paper paid 7.5 10k
sfrh8 9550 put (tied 96.26 d30)paper sold 5k @ 25.5
0qm6 9575 9537 put 1x2paper paid 1.75 5kx +1 leg96.02
0qm6 9625 9575 ps vs 2qm6 9637 9587 pspaper sold 4k @ 2 (-0qm6)96.12/96.26
0qm6 9662 9650 9637 9618 p-condorpaper paid 1.5 6k96.11
0qm6 9650 9662 c 1x2 (tied 96.06 d05)paper paid 1 10kx +2 legs
0qn6 9606 9593 9568 9562 brk p condorpaper paid 3.5 50kx96.17
0qu6 9575 putpaper sold 10k @ 796.275
0qu6 9550 9525 put spreadpaper paid 2 10kx96.195
0qu6 9600 9575 pspaper paid 7.5 15k96.16
0qv6 9631 9606 pspaper paid 10 10kx96.32
0qz6 9750 9800 cspaper sold 10k @ 1.7596.25
0qz6 9537 9587 9637 Iron fly (tied 96.205 d12)paper paid 26.5 5K96.22
0qz6 9637 9687 9737 c flypaper paid 8 10kx96.125
2qm6 9625 9606 9593 p-fly (tied 9633.5-34 d12)paper paid 3 750096.345
2qm6 9681 9668 9656 9631 put condorPaper paid 6 10k (+body)96.27
2qm6 9587 put (tied 96.115 d22)paper paid 4.5 5kx
2qu6 9562 put (tied 96.115 d20)paper paid 8 5kx
3qm6 9600 9650 squash (tied 96.215 d28)paper sold 10k @ 1.5 (-put)
3qm6 9637 9650 9662 c-tree (tied 96.165 d5)paper paid 1 5k96.195
3qn6 9612 9637 9662 c fly1x3x2paper paid 3 to 3.25 7500x96.055

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