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SOFR Option Weekly Commentary 5/22/26

FOMC Minutes took center stage this week as a majority of Fed Governors, including dove Christopher Waller, supported eliminating the Fed's easing bias. Waller stated that future hikes/cuts were currently a 50/50 bet in his view. University of Michigan sentiment numbers came in much lower than expected. The current odds of a 25 bp cut by the FOMC's Dec 9th meeting are nil (down from 50.21% a month ago), while the odds of a 25 bp hike are now 70.2% (up from nil a month ago). The 10Yr is currently trading @ 4.57%.

Kevin Warsh was sworn in today as the new Fed Chairman.

SOFR Option Vols were mixed this week, but are higher over the past 2 weeks (see attached spreadsheet).

SOFR Option Trades to Note this Week

Scroll or swipe horizontally to see all columns →

Trade Action Ref
sfrm6 9631 9637 c 1x2paper paid 2.5 to 2.75 20kx96.34
sfrm6 9631 9637 9643 c flypaper paid 2.5-3 20kx96.34
sfrn6 9631 9637 9643 call flypaper paid 1 5kx96.18
sfrn6 9650 9643 9637 9625 brk p condor (tied 96.23 d26)paper paid 2 5kx +body
sfrn6 sfru6 9618 put spreadpaper paid 2.75 5kx96.215
sfrq6 9675 callpaper paid 2 to 2.25 8kx96.23
sfrq6 9618 9612 9606 9600 p condorpaper paid 1 10kx96.21
sfrq6 9606 putpaper paid 8 5kx96.21
sfru6 9593 9568 9543 p flypaper paid 1.25 30kx96.21
sfru6 9612 9625 9637 9650 c condorpaper paid 7.5 10kx96.24
sfru6 9625 9618 ps (tied 96.255 d08)paper paid 2 8kx96.25
sfru6 9625 put (tied 96.24-96.23 d52) [2x] vs 0qu6 9625 9575 p 2x3 (tied 95.97 to 95.93 d26)paper sold 10kx @ 4.5 to 4 - 2x3
sfru6 9612 9606 put spreadpaper sold 10k @ 1.7596.185
sfru6 9631 9643 cspaper paid 2.5 10kx96.22
sfru6 9618 9612 9606 9600 p condorpaper paid .75 30kx96.21
sfru6 9637 9643 9650 9656 c condorpaper paid .25 10kx96.20
sfrx6 9575 9550 ps vs 0qx6 9562 9537 pspaper paid 1.25-2.25 10kx +0qx6
sfrz6 9750 callpaper paid 3 20kx96.04
sfrz6 9600 9512 pspaper sold 10k @ 14.596.095
sfrz6 9600 9525 ps (tied 96.11 d28)paper paid 13 20kx
sfrz6 9625 9550 ps (tied 96.115 d38)paper paid 21 20kx
sfrz6 9643 9618 9581 p flypaper paid 3.5 10kx96.145
sfrz6 9562 putpaper paid 9.5 20kx96.15
sfrz6 9587 putpaper paid 14.25 10kx96.15
sfrz6 9612 9631 9650 c flypaper paid 5.75 7500x96.13
sfrm7 9600^paper sold 2k @ 79.596.03
sfrh7 9700 9725 cs (tied 96.005-96.02 d04)paper paid 1.75 10kx
sfrm7 sfrz7 9650 9725 9800 c fly stupidpaper paid 17 5kx95.98/96.03
sfrz7 9750 9800 cspaper paid 4 8kx96.03
sfrh8 9550 9662 squash (tied 96.10 d60)paper paid 2 4kx +p
sfrh8 9550 9700 squash (tied 96.12 d48)paper sold 5k @ 10 -p
sfrh8 100.00 callpaper paid 1 12kx96.09
0qm6 9618 9631 call spreadpaper paid 2.5 5kx96.02
0qm6 9600 put (tied 96.035 d46) vs 2qu6 9600 put (tied 96.11-96.115 d40)paper paid 7 7500x +2qu6
0qm6 9600 put (tied 96.03 d44) vs 2qu6 9537 put (tied 96.115 d14)paper sold 10k @ 5.25 -0qm6
0qm6 9606 9625 9656 brk c flypaper paid 3.5 10kx96.02
0qm6 9618 9600 9581 p flypaper sold 7500 @ 4.596.01
0qn6 9600 9575 pspaper paid 10.25 10kx95.93
0qn6 9600 9581 pspaper sold 8k @ 7.595.97
0qu6 9637 9662 9687 c fly 1x3x2paper paid .25 5kx96.01
0qu6 9612 9637 9662 9700 c condorpaper paid 5.5 10kx95.96
0qz6 9687 9737 cspaper paid 3.75 to 4 25kx96.00
0qz6 9637 9687 cspaper sold 25k @ 1296.10
0qz6 9600 9612 stranglepaper sold 4k @ 59.596.05

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