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SOFR Option Weekly Commentary 6/12/26

Inflation fears stemming from high CPI & PPI numbers this week were quelled somewhat on Friday with reports of a US/Iran peace deal very close to being finalized. WTI futures fell below $85 today. Univ of Mich Sentiment numbers came in higher than expected. SpaceX IPO shares took center stage in equity markets as Elon Musk became the World's first Trillionaire.

The current odds of the Fed on Hold through the FOMC's Dec 9th meeting are 41.8% (down from 55% last week), while the odds of at least one 25 bp hike are now 57.7% (up from 45% last week). The 10Yr is currently trading @ 4.47%.

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

SOFR Option Trades to Note this Week

Scroll or swipe horizontally to see all columns →

Trade Action Ref
sfrn6 9612 9600 put spreadpaper paid 2.25 4kx96.19
sfrn6 9618^paper paid 13 4kx all day96.19
sfru6 9631 9625 9612 9606 put condorpaper paid 1.5 8kx96.185
sfru6 9618 9625 9637 brk c treepaper paid .5 10kx96.18
sfru6 9625 9631 9637 c treepaper paid .00 5kx96.195
sfru6 sfrz6 9643 9631 ps sprdpaper sold 10k @ .5 to .25 -sfru6
sfru6 9625 9650 call 1x2paper paid 2.5 10kx +1 leg96.205
sfru6 9587 9593 9631 9637 call condorpaper paid 4.5 15kx96.20
sfru6 9612 9625 9637 9650 call condorpaper sold 60k @ 6.75-6.596.20
sfru6 9643 9631 9618 9606 p condorpaper paid 6.75 35kx96.20
sfru6 9612 9600 put 1x2 with sfru6 9618 9606 put 2x3paper paid 4-4.25 15kx +2 leg both96.205
sfru6 9625^ vs sfru6 9650 callpaper paid 15.5 5kx +^96.21
sfru6 9625 9637 9675 c tree w/ 9631 9643 9681 c tree stupidpaper paid 3 10kx +1 leg both96.21
sfru6 9568 9618 9668 iron flypaper paid 16.5 5kx96.18
sfru6 9625 9637 call spread vs sfrh7 9550 9525 put spreadpaper paid 1.5 10kx +h796.185/95.93
sfru6 9625^ vs 9650 callpaper paid 15.25 5kx96.245
sfrv6 9606 9618 9631 call flypaper paid 1.5 5kx96.10
sfrx6 9606 9618 9631 call flypaper paid 1.25 5kx96.10
sfrz6 9606 9618 9631 c flypaper paid .5 12kx96.04
sfrz6 9650 9800 9900 call flypaper paid 4.75-5 5kx96.055
sfrz6 9612 9637 cs vs sfrz6 9650 9675 9700 call tree (2x 65 calls)paper paid 4 25kx96.07
sfrz6 9612 9600 9593 9581 put condorpaper paid 1.75-2 20kx96.035
sfrz6 9612 9600 9587 put flypaper paid 1.5 15kx96.05
sfrz6 9618 9606 ps (tied 96.075-96.085 d12)trades 6.25 65kx96.05
sfrz6 9637 9650 9800 call treepaper sold 8k @ .25 -2 legs96.06
sfrz6 9775 callpaper paid 2.25 20kx96.06
sfrz6 9606 9631 9656 call fly vs sfrz6 9618 9643 call spreadpaper paid .25 5kx +fly96.06
sfrz6 9643 9662 call spreadpaper paid 2 20kx96.055
sfrz6 9612 9637 9687 call treepaper paid 5 10kx +1 leg96.05
sfrz6 9631 9643 9656 c flypaper paid .75 10kx96.05
sfrh7 9625 9612 put spreadpaper paid 7.5 8kx95.945
sfrh7 9650 callpaper paid 13.5-13.75 40kx95.955
sfrz7 9700 callpaper paid 16.5-17 6kx95.98
sfrz7 9750 callpaper paid 10.5-11 8kx95.99
0qn6 9643 9668 9693 c fly (tied 95.92 d05)paper paid .5 13kx
0qu6 9575 9537 9525 brk p treepaper paid 4 10kx95.99
0qu6 9600 put vs 9597.5 d52 vs 3qu6 9600 put vs 9608 d42paper sold 20k @ 9 (-0qu6)
0qz6 9700 9725 call spreadpaper paid 1.75 10kx96.035
0qz6 3qz6 9575 put spreadpaper sold 2k @ 6.5 -0qz6
0qz6 9800 call (tied 96.09 d10)paper paid 2 5kx
2qz6 9637 9662 9687 call fly 1x3x2paper sold 10k @ .5 -body96.14

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