SOFR Option Weekly Commentary 7/2/26
Fixed income futures rallied today as lower than expected payroll numbers drove down the odds of a Fed hike at the FOMC's next meeting, however Unemployment did lower to 4.2%. Earlier this week, ISM Prices Paid numbers came in lower than expected, falling to 73 from 82.1.
The current odds of the Fed on Hold through the FOMC's Dec 9th meeting are 22.1% (down from 23% last week), while the odds of at least one 25 bp hike are now 77.9% (up from 77% last week). The 10Yr is currently trading @ 4.47%.
SOFR Option Vols were lower on the week (see attached spreadsheet).