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SOFR Option Weekly Commentary 6/26/26

Personal income & spending both came in higher than expected this week as PCE met expectations @ 4.1% YoY. Inflation expectations improved with WTI trading under $70 as the US/Iran truce continues to hold.

The current odds of the Fed on Hold through the FOMC's Dec 9th meeting are 23% (up from 15.2% last week), while the odds of at least one 25 bp hike are now 77% (down from 84.8% last week). The 10Yr is currently trading @ 4.37%.

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

SOFR Option Trades to Note this Week

Scroll or swipe horizontally to see all columns →

Trade Action Ref
sfrn6 9593 9587 put spreadpaper paid 1.25 5kx96.03
sfrn6 9618 9606 ps (tied 96.065 d30)paper paid 8 8kx96.06
sfrn6 9600 putpaper sold 10k @ 296.08
sfrq6 9618 9631 call spreadpaper sold 10k @ 2.7596.075
sfrq6 9600 9575 put spreadpaper paid 6 10kx96.06
sfrq6 9625 9631 cs (tied 96.035 d06)paper paid 1 20kx
sfrq6 9600 9612 9631 brk c flytrades 1.25 5kx96.115
sfrq6 9625 9631 cspaper sold 10k @ 1.2596.11
sfru6 9662 call (tied 96.095 d10)paper sold 10k @ 1
sfru6 9618 9625 9631 c flypaper paid .75 10kx96.08
sfru6 9631^paper paid 31.5 4kx96.045
sfru6 9675 callpaper paid 1 10kx96.045
sfru6 9618 9625 9631 call flypaper paid .5 6kx96.07
sfru6 9625 9637 cspaper paid 3 10kx96.075
sfru6 9600 9581 put spread (tied 96.05 d22)paper paid 6 7kx
sfru6 9625 9637 c 1x2paper paid 1.25 5kx96.12
sfru6 9631 9625 9600 9593 put condorpaper paid 2.5 6kx96.045
sfru6 9575 putpaper paid 3.5 16kx96.035
sfru6 9612 9606 put 1x2paper paid 10.5 5kx +2 legs96.035
sfru6 9600 9587 put spreadpaper sold 7k @ 4.2596.04
sfru6 9625 9631 9637 c treepaper paid -.25 to +.25 30kx96.065/96.115
sfru6 9625 9631 9637 9643 call condorpaper paid 1.75 10kx96.11
sfru6 9637 9625 9606 9593 put condorpaper paid 5.75 20kx96.075
sfru6 9618 9625 9631 c flypaper paid 1 5kx96.115
sfrv6 9618 9625 9631 9637 call condor (tied 95.955 d05)paper paid 1.25 7kx
sfrv6 9637 9612 put spread vs 9687 callpaper sold 5k @ 16.5 -ps95.95
sfrv6 9600^paper sold 2.5k @ 35.7595.96
sfrx6 9562 put (tied 95.87 d30)paper paid 10.25 10kx
sfrz6 9625 9631 9637 c fly (tied 95.97 d04)paper paid .75 6kx
sfrz6 9650 9637 9631 9618 put condorpaper sold 10k @ 2.595.87
sfrz6 9631 9643 9662 9675 call condorpaper paid 1 to 1.5 30kx95.90
sfrz6 9606 9631 9656 call flypaper sold 5k @ 5.595.925
sfrz6 9631 9637 cspaper paid 1.25 10kx96.01
sfrz6 9593^paper sold 10k @ 41.595.925
sfrz6 9618 9606 9593 9581 put condorpaper sold 10k @ 295.925
sfrz6 9593 9581 9543 9531 put condorpaper paid 4.5 15kx95.93
sfrz6 9643 9618 9581 put flypaper paid 1 5kx +body95.945
sfrz6 0qz6 9600 call spread (tied sfrz6 95.93 d44, sfrz7 96.04 d51)paper sold 10k @ 12 -0qz6
sfrh7 9775 callpaper paid 2.75 25kx95.895
sfrh7 9587^paper sold 2k @ 58.75 all day95.945
sfrh7 9637 9662 cstrades 4.25 10kx *block*95.99
sfrm7 9725 9800 call spreadpaper sold 8k @ 2.7595.82
sfrm7 9700 9775 call spread vs sfrz7 9650 9700 9750 call flypaper paid .5 4kx +call fly95.88/96.01
sfrm7 9725 9875 c 2x3paper paid 10 10kx +2 legs96.01
sfrm8 9525 put (tied 96.15 d20) vs sfrz7 9662 call (tied 96.045 d25)paper paid 1 5kx +m8 52 put
sfrm8 9625 ^paper sold 2k @ 10496.24
sfrz8 9737 9800 call spreadpaper sold 15k @ 8.2596.21
0qu6 9600 9575 pspaper paid 9.5 15kx96.00
0qu6 9631 9637 cs (tied 95.875 d03)paper paid 1 20kx
0qu6 9600 9550 ps vs 0qv6 9575 9525 pspaper sold 10k @ 7.25 -0qu696.00/96.07
0qv6 9562 9537 put spreadpaper sold 8500 @ 2.7596.145
0qv6 9618 9587 put spreadpaper sold 20k @ 14.5-14.2596.065
0qv6 9543 9531 put spreadpaper paid 1.5 6kx96.02
0qv6 9618 9593 put spreadpaper sold 5k @ 11.596.08
0qz6 9612 9587 ps vs 0qz6 9637 callpaper sold 6k @ 1 - c96.00
2qv6 9612 straddleppr sells 2k @ 3996.12
2qm7 9550 9700 squash (tied 96.225 d 34)paper sold 5k @ 1.5 (-p)

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