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SOFR Option Weekly Commentary 6/5/26

Today's Nonfarm Payrolls (172K vs 88K expected) and higher revisions, along with higher than expected Private & Manufacturing payroll numbers, led to a selloff in SOFR futures as traders saw increased odds of a Fed hike.

The current odds of the Fed on Hold through the FOMC's Dec 9th meeting are 28.2% (down from 55% last week), while the odds of at least one 25 bp hike are now 70.8% (up from 45% last week). The 10Yr is currently trading @ 4.54%.

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

SOFR Option Trades to Note this Week

Scroll or swipe horizontally to see all columns →

Trade Action Ref
sfrm6 9625 9643 squash (tied 96.3375 d06)trades .00 8Kx ppr to ppr
sfrm6 9631 cpaper sold 10k @ 3.596.3475
sfrm6 9631 9618 pspaper paid .25 10kx96.335
sfrn6 9687 9712 cspaper paid .25 35kx96.26
sfrn6 9612 sfru6 9600 pspaper paid .75 5kx +u96.24
sfrn6 9612 9600 ps (tied 96.23 d05)paper paid 1.5 7500x96.25
sfrn6 9618 9606 ps (tied 96.265 d20)paper paid 2 10kx96.26
sfrn6 9625 ^paper sold 2500 @ 1296.26
sfru6 9631 9643 9656 call flypaper sold 10k @ 1-.7596.20
sfru6 9606 9643 stranglepaper sold 4k @ 8 to 7.7596.25
sfru6 9687 9862 cspaper paid 1.25 50kx96.25
sfru6 9675 9725 cspaper paid .75 5kx96.25
sfru6 9625 9606 pspaper paid 4.75 10kx96.25
sfru6 9618 9593 9568 p flypaper paid 2.75 5kx96.26
sfru6 9637 9650 9662 c flypaper paid .5 20kx96.24
sfru6 9612 9600 9593 brk p flypaper paid 2.5 10kx96.20
sfru6 9650 9631 ps (tied 96.25 d24)paper sold 10k @ 15.5
sfru6 9612 9600 9587 put flypaper paid 1.5 8kx96.205
sfru6 9625^ vs sfru6 9650 callpaper paid 15.5 5kx96.265
sfrv6 9631 9643 cs vs sfrh7 9562 9550 pspaper sold 25k @ .25 to .00 -sfrv6
sfrz6 9600 9575 ps vs 9650 9675 cs (tied 96.10 d20)paper paid 4.25 10kx +ps
sfrz6 9650 9687 cspaper sold 40k @ 3.2596.11
sfrz6 9650 9700 9750 call treepaper paid .751 15kx +1 leg96.085
sfrz6 9637 9643 9650 9656 c condorpaper paid .25 15kx96.15
sfrz6 9581 9656 stranglepaper sold 5k @ 19 to 18.596.13
sfrz6 9650 9662 9675 9687 c condorpaper paid 1.25 7kx96.15
sfrz6 sfrm7 9700 9800 cs sprdpaper paid 4.5 25kx96.10/95.98
sfrz6 9537 0qn6 9518 pspaper paid 4.25 to 4.5 7500x96.16/96.10
sfrz6 9587 9612 9637 iron flypaper sold 4k @ 19.2596.15
sfrz6 9631 9643 9656 c flypaper paid 1 20kx96.14
sfrz6 9700 9762 c 1x2paper sold 30k @ 1 - 2 legs96.12
sfrz6 9725 c (tied 96.10 d10)paper sold 10k @ 3
sfrz6 9700 p (tied 96.15 d90)paper sold 6k @ 88.25
sfrz6 9800 cpaper paid 2 40kx96.11
sfrz6 9656 9681 9750 call treepaper paid 1 5kx +1 leg96.035
sfrz6 9612 9600 9537 put treepaper sold 20k @ .5 to .00 -2 legs96.04
sfrz6 9612 9600 9575 9562 put condor 1x1x2x2paper sold 15k @ .596.05
sfrz6 9612 9606 9556 9550 p condorpaper paid 2 8500x96.105
sfrz6 9650 9700 call 2x3 vs sfrz6 9637 9587 put spread 2x (tied 96.115 d100)paper paid 40 2kx
sfrz6 9606 9550 put 1x2paper paid 6.75-7 10kx +1 leg96.055
sfrh7 9625 c (tied 96.07 d40)paper paid 22 5kx
sfrh7 9725 callpaper sold 10k @ 595.93
sfrh7 9700 9725 cspaper paid 1.5 5kx96.00
sfru7 9600 ^paper sold 2k @ 86.596.01
sfru7 9600 9500 ps (tied 96.06 d26)paper paid 25 5kx
sfrz7 9675 9775 cspaper paid 13.5 20kx95.97
sfrz7 9700 9750 cs vs 9500 9450 pspaper paid 2 7kx cs over96.135
sfrz8 9737 9800 cspaper paid 9 10kx96.18
0qm6 9587 9600 9612 iron flypaper sold 10k @ 9 to 8.7596.04
0qm6 9612 c vs 9593 9581 pspaper paid 1 5kx +ps95.99
0qm6 9612 9625 9637 c fly vs 2qm6 9625 9631 cspaper paid .5 7500x +0qm695.98/96.12
0qn6 9575 putpaper paid 6.5 15kx96.01
0qu6 9600 9625 9637 9662 call condor 1x1x2x2paper paid 2.75 8kx95.91
0qu6 9600 9575 ps (tied 96.055 d18)paper paid 8.5 5kx
0qu6 9606 3qu6 9612 ^ sprdpaper sold 2k @ 9.5 -0qu696.08/96.15
0qu6 9625 9637 9650 c fly (tied 96.105 d05)paper paid 1.5 7kx96.05
0qz6 9600 9550 ps (tied 96.11 d20)paper paid 14 5kx
2qm6 9606 9587 ps (tied 96.125 d25)paper paid 3.5 550096.125
2qm6 9625 c (tied 96.13 d20)paper sold 5k @ 2
2qz6 9637 ^ (tied 96.185 d22)paper sold 2k @ 54
3qz6 3qh7 9612 ^ stupidpaper paid 109.5 1kx

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