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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).

SOFR Option Trades to Note this Week

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Trade Action Ref
sfrn6 9612 9600 9587 put flypaper sold 10k @ 2.596.12
sfrn6 9618 9625 cspaper paid .5 20kx96.14
sfrq6 9625 callpaper paid 2.5 10kx96.10
sfrq6 9618 9625 9631 call flypaper paid 1 5kx96.075
sfrq6 9618 9612 9606 9600 put condorpaper sold 10k @ 196.10
sfru6 9612 9600 9587 put flypaper paid 2 12kx96.14
sfru6 9593 2qu6 9581 put spreadpaper sold 7k @ .5 -2qu696.14/96.165
sfru6 9625 9631 9637 c treepaper paid .25 5kx +1 leg
sfru6 9625 9637 call spread (tied 96.115 d14)paper paid 3 7500x
sfru6 9600 9562 put 1x2paper sold 10k @ 4.25 -1 leg96.12
sfru6 9618 9625 9631 call flypaper paid 1.25 5kx96.16
sfru6 9618 9593 9568 p flypaper sold 40k @ 6.25-696.115
sfru6 9625 9612 9568 9556 put condorpaper paid 7 5kx96.095
sfru6 9625 9631 9637 9643 call condorpaper paid 1.5 5kx96.08
sfru6 9587 9581 put spreadpaper paid 1.5 10kx96.065
sfru6 9600 9581 put spreadpaper sold 10k @ 4.2596.10
sfrv6 9568 9556 put spreadpaper sold 5k @ 295.99
sfrv6 9568 9550 9537 brk p flypaper paid 2.25 5kx95.98
sfrv6 9600 9637 call 1x2 (tied 95.99 d14)paper sold 10k @ 8.25 -1 leg
sfrv6 9637 9612 put spread vs sfrv6 9687 callpaper sold 5k @ 17 +ps95.955
sfrz6 9606 9631 9650 brk c treepaper paid 4.5 8kx96.00
sfrz6 9581 9631 strangleppr sells 10k @ 18.5-17.25 f=9600
sfrz6 9600 9575 9562 put tree (tied 95.955 d05)paper sold 5k @ 3 -1 leg
sfrz6 9606 9600 put spreadpaper sold 10k @ 396.00
sfrz6 9593 call (tied 95.96 d50)paper paid 20.75 5kx
sfrz6 9618 9606 9575 9562 put condorpaper paid 4.75-5.25 40kx95.99
sfrz6 9618 9606 9543 9531 put condor (tied 95.945 d05)paper paid 6.75-7 7kx
sfrz6 9650 9675 call 2x3paper paid .75 8kx +3 legs95.985
sfrh7 9600 9550 put spread (tied 95.875 d32)paper sold 5k @ 20.75
sfrh7 9600 9587 9550 9512 brk p condorpaper paid .25 5kx95.96
sfrh7 9593 9575 9550 9512 brk p condorpaper paid 2.25 5kx95.95
sfrh7 9600 9550 p 1x2paper sold 10k @ 6.5 -1 leg95.96
sfrh7 9600^paper sold 5k @ 57.5-5795.965
sfrh7 9600 9650^ spread (tied 95.95 d46)paper paid 19.75 4kx
sfrm7 9600^paper sold 4k @ 71.25-69.596.00
sfrm7 959# ^paper sold 3k @ 69.5 to 68.595.975
sfrm7 9550 9600 9650 9700 iron condorpaper paid 26.25-26.5 4kx95.935
sfru7 9600^paper sold 2k @ 82.596.005
sfrz7 9675 9775 cspaper paid 13 to 13.5 10k96.045
0qn6 9600 9593 9587 put treepaper paid .75 5kx +1 leg96.00
0qu6 9587 9537 put spread vs 3qu6 9587 putpaper sold 5k @ 5.25 -0qu696.00/96.18
0qu6 9575 2qu6 9600 pspaper paid .25 8kx +0qu6
0qu6 9600 ^paper sold 2k @ 3596.01
0qz6 9625 9650 9675 call fly vs 0qz6 9750 9800 call spread (2x)paper paid .75 5kx + fly96.14
2qn6 9612 9593 put spreadpaper paid 3.75 12kx96.16
2qq6 2qu6 9625^ spreadpaper paid 7 4kx96.225
3qq6 9637 9662 9675 call fly 1x3x2paper paid 3 5kx +wings96.25
3qn6 9637 9662 cspaper paid .5 8kx96.175

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