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SOFR Option Weekly Commentary 5/29/26

PCE numbers released on Thursday were the highest since 2023; however, oil fell this week as the ceasefire with Iran continues to hold and optimism regarding a peace deal grows. Durable goods orders came in much higher than expected as the US economy and consumer spending both continue to be strong.

The current odds of the Fed on Hold through the FOMC's Dec 9th meeting are 55%, while the odds of at least one 25 bp hike are now 45% (down from 70.2% last week). The 10Yr is currently trading @ 4.44%.

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

SOFR Option Trades to Note this Week

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Trade Action Ref
sfrm6 9631 9625 pspaper paid .75 5kx96.3275
sfrm6 9625 9612 p stupidpaper paid .5 10kx96.335
sfrq6 9643 9637 9631 9625 put condorpaper sold 15k @ 396.23
sfrq6 9631 9637 9643 c flypaper paid 1.5 5,165x96.225
sfrq6 9700 callpaper paid 1.5 10kx96.26
sfrm6 9637 9631 put spreadpaper paid 3.5 7kx96.3325
sfrn6 9650 9631 put spreadpaper paid 16.5 10kx96.245
sfrn6 9625^paper sold 4k @ 13.7596.27
sfrn6 9606 9600 put stupid (tied 96.23 d43)paper paid 6.75 5kx
sfru6 9656 9643 9631 put flypaper sold 6500 @ 1.596.24
sfru6 9612 9618 9625 call treepaper sold 3500 @ 4.5 -2 leg96.22
sfru6 9656 9643 9631 put treepaper paid 1.75 6kx +2 legs96.24
sfru6 9600 putpaper sold 10k @ 5.596.225
sfru6 9625 ^paper sold 5k @ 1996.255
sfru6 9631 9637 9643 9662 c condorpaper paid 1 5kx96.245
sfru6 9618 9593 9568 put flypaper paid 2.5 to 2.75 20kx96.245
sfru6 9618 9625 9631 9637 call condorpaper paid 2.5 5kx96.255
sfru6 9643 9656 9668 c flypaper paid .5 8kx96.25
sfru6 9650 call vs sfrz6 9600 9575 put spreadpaper paid 2.75 5kx +z696.25/96.17
sfru6 9650 9637 9631 brk p tree (tied 96.25 d50)paper paid 1 30kx +2 legs
sfrv6 9606 9618 9631 call flypaper paid 1.25 3kx96.17
sfrz6 9631 9637 9643 c flypaper paid .5 to .75 85kx96.12
sfrz6 9575 putpaper paid 10.5 10kx96.16
sfrz6 9562 9612 9662 iron flypaper sold 15k @ 28.2596.16
sfrz6 9675 call (tied 96.155 d15)paper paid 5.25 7500x
sfrz6 9643 9631paper sold 10k @ 996.155
sfrz6 9612 9600 9575 9562 put condor 1x1x2x2paper paid .75 20kx96.14
sfrz6 9600 9575 9550 p flypaper paid 2.25 to 2.5 25kx96.15
sfrh7 9625 put (tied 96.07 d58)paper paid 40.5 8kx
sfrh7 9625 put (tied 96.10 d58)paper paid 38.25 5kx
sfrh7 9550 9525 pspaper paid 4.5 10kx96.025
sfrh7 9600 9550 ps (tied 96.04 d20)paper paid 14.75 5kx
sfrm7 9850 callpaper paid 3 10k96.085
sfrm7 9600 9550 9475 brk p treepaper paid 5 4500x96.07
sfrm7 9637 call (tied 96.025 d36)paper sold 5k @ 23.5
sfrm7 9725 9875 cs 2x3paper paid 9 6kx96.09
sfrm7 sfrz7 9612^ sppaper paid 18.5 2500x
sfrz7 9500 9450 ps vs 9700 9750 cspaper paid 2 5kx +cs96.16
0qm6 9600^paper sold 2500 @ 1996.08
0qm6 9625 9637 call spreadpaper paid 1.25 15k96.025
0qm6 9625 call (tied 96.04 d18)paper paid 2.5 8kx
0qm6 9600 put (tied 96.035 d46) vs 3qu6 9550 put (tied 96.17 d16)paper sold 15k @ 3 -0qm
0qn6 9612^paper paid 29.5 2500x96.12
0qn6 9606 9593 9668 9562 put condor (tied 96.045-96.036 d09)paper sold 15k @ 4
0qu6 9725 9775 cs w/ 0qz6 9700 9750 cs as a stupidpaper sold 4k @ 3.5
0qu6 9600 9562 p 1x2paper paid 1.5 10kx96.10
0qz6 9637 9687 call spreadpaper sold 10k @ 12.25 & 20k @ 12.7596.155/96.19

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