skip to main content

SOFR Reports & Commentary

< Back

SOFR Option Weekly Commentary 6/18/26

The Kevin Warsh era at the Fed commenced this week, with rates held unchanged at this week's FOMC meeting. Fixed income markets sold off as current inflation and Fed projections stoked fears of possible hikes this year, even though a US/Iran peace plan was announced and WTI traded under $75.

The current odds of the Fed on Hold through the FOMC's Dec 9th meeting are 15.2% (down from 41.8% last week), while the odds of at least one 25 bp hike are now 84.8% (up from 57.7% last week). The 10Yr is currently trading @ 4.44%.

SOFR Option Vols were mostly higher today, but lower for the week (see attached spreadsheet).

SOFR Option Trades to Note this Week

Scroll or swipe horizontally to see all columns →

Trade Action Ref
sfrn6 9600 putpaper paid 1 20kx96.24
sfrn6 9618 9606 put 1x2paper paid .25 5kx +1 leg96.225
sfrn6 9612 9600 9587 p flypaper paid 2 5kx96.15
sfrq6 9625^paper sold 4k @ 12.7596.255
sfru6 9631^paper paid 28.5 5kx96.07
sfru6 9637 9625 9612 put flypaper paid 2.5 15kx96.07
sfru6 9618 9631 squashpaper paid 4-4.25 6kx +put96.225
sfru6 sfrh7 9618 9606 put spread spreadpaper paid 3.75 10kx +h796.25/96.06
sfru6 9600 sfrh7 9550 put spreadpaper sold 10k @ 7.5 -h796.23/96.05
sfru6 9618 9593 9568 pf with sfrz6 9600 9575 9550 pfpaper paid 6.75 8kx96.24/96.125
sfru6 9612 9625 9637 9650 call condorpaper sold 10k @ 896.23
sfru6 9650 9637 9625 9612 p condor (tied 96.065 d18)paper sold 32k @ 496.06
sfru6 9625 9631 9637 call treepaper sold 10k @ 1.75
sfru6 9618 9606 ps (tied 96.095 d20)paper paid 6 to 6.25 36kx96.08
sfru6 9618 9631 c 1x2paper paid 2 to 2.25 10kx95.08
sfru6 9625 9631 9637 9650 c condorpaper paid 1.75 5kx96.085
sfru6 sfrh7 9618 9606 ps spreadpaper sold 10k @ .75 -h796.08/95.88
sfru6 9600 9575 ps vs 0qu6 9562 9537 pspaper paid 1.75 8kx +u696.08/95.975
sfrv6 9625 9643 9650 brk c treepaper paid .00 to .25 5kx96.13
sfrv6 9625 9637 9650 call flypaper paid 2.5 to 2.75 10kx96.115
sfrx6 9575 9550 ps vs 0qx6 9562 9537 pspaper sold 3k @ .75 -0qx696.10/96.105
sfrz6 9618 9631 9643 call fly (tied 95.88 d02)paper sold 10k @ 2.5
sfrz6 9587 9562 9550 9525 pc vs sfrz6 9600 9575 pspaper sold 6k @ 5 -ps95.92
sfrz6 9650 9700 call spread (tied 95.945 d10)paper paid 1.75 10kx
sfrz6 9600 putpaper paid 23 8kx95.93
sfrz6 9562 putpaper paid 4.5 10kx96.11
sfrz6 9600 p (tied 96.14 d18)paper paid 12.5 5kx
sfrz6 9625 9637 9662 9675 call condor (4x) vs sfrz6 9575 put (1x)paper paid 9.25 to 10 5kx +condor
sfrz6 9612 9637 9662 call treepaper paid 7 to 7.25 10kx +1 leg
sfrz6 9650 9700 9750 call treepaper paid .75 10kx +1 leg96.125
sfrz6 9631 9656 9681 c flytrades 2.25 to 2.5 10kx96.11
sfrz6 9612 9550 put 1x2 (tied 96.105 d35)paper sold 8k @ 11.5 -1 leg
sfrz6 9618 9550 p 1x2 (tied 96.095 d43)paper sold 9k @ 15 8 -1 leg96.105
sfrz6 9612 9631 9662 brk c flypaper paid 3.5 14kx95.90
sfrz6 9675 9700 cs (tied 96.12 d05) (3x) vs sfrm7 9700 call (1x) (tied 96.06 d12)paper sold 5k @ 6.5 -m7
sfrz6 9625 9575 ps w/ sfrz6 9600 9575 9550 9525 put condorpaper paid 23.25-23.5 5kx96.11
sfrz6 sfrm7 9625 9612 put spread spreadpaper paid .5 to 1 25kx +m796.11/96.06
sfrz6 9600 9581 9568 put fly (tied 96.115 to 96.105 d07)paper sold 6k @ 3.25
sfrz6 0qz6 9600 9575 put spread spread (tied sfrz6 95.925 d20, sfrz7 96.055 d14)paper paid 2.25 5kx +z6
sfrh7 9600^paper sold 6k @ 57.5 to 5796.06
sfrh7 9650 9700 cs (tied 96.06 d13)paper paid 6 10kx
sfrh7 9550 9525 9500 put treepaper sold 5k @ .75 -2 legs96.04
sfrh7 9600 9550 put 1x2paper paid 4.5 to 4.75 10kx +1 leg
0qn6 9581 9606 9631 iron flypaper sold 4k @ 15.5-14.596.07
0qu6 9587 9575 pspaper paid 3.5 14kx96.06
0qz6 2qz6 9562 put spreadpaper sold 6k @ 3 to 4 -0qz696.10/96.20
2qn6 9618^paper sold 2k @ 1796.165

This data, information, and associated comments are provided for information and distribution only as permitted by law.  It has been prepared for Institutional Investors only and not for retail.  This material is neither an offer to sell or a solicitation of an offer to buy any security.  Further, all statements and expressions are the opinion of the author(s) only and are not meant to be a solicitation or recommendation to buy, hold, or sell securities. The information herein is not intended to predict actual results, which may differ substantially from those reflected in the material.  The information presented herein and on any related website(s) has been obtained from sources believed to be reliable, but its accuracy is not guaranteed. Past performance is not indicative of future results. 

Trading futures or related securities involves the risk of principal and could further result in losses greater than the original investment or the funds in an account.  The investor is responsible for all financial risks associated with an investment.  You should not engage in trading unless and until you fully understand the transaction(s) and the extent of the financial exposure to losses exceeding principal investment.  You should always consult your registered investment advisor before making any investment in futures or other levered products.  Futures and options trading involves substantial risk and is only appropriate for those who have the qualifications, understanding, and risk capital for such investments.  Additionally, in making an investment decision, individuals should always rely on their own examination of the offering and the principals involved in the investment vehicle, including the terms of the investment agreement and the merits or risks involved in such investments. 

Trean Group is a member of the NFA, registered as an Independent Introducing Broker (IIB).  The third-party content contained herein is provided for informational purposes only and has not been independently verified by Trean Group for its accuracy or completeness.  Additional information is available upon request.