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SOFR Option Weekly Commentary 7/10/26

Initial Jobless Claims came in lower than expected (215K) and ISM Services Employment came in higher than expected (51.2) as the labor market remains strong. Existing home sales fell, with average US home values at all-time highs. FOMC Minutes revealed a split Fed, with half favoring unchanged rates versus raising rates by year end.

The current odds of the Fed on Hold through the FOMC's Dec 9th meeting are 18.4% (down from 22.1% last week), while the odds of at least one 25 bp hike are now 81.6% (up from 77.9% last week). The 10Yr is currently trading @ 4.55%.

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 9606 put spread (tied 96.115 d40)paper sold 10k @ 1.75
sfrn6 sfrq6 9637 9625 9618 p-tree spread (tied 9612.5 d40)paper sold 5k @ 4 (-sfrn6)
sfrq6 9625 9631 cspaper paid .75 30kx96.13
sfrq6 9600 9587 p 1x2paper paid .75 5kx96.08
sfrq6 9631 9625 pspaper sold 10k @ 5.596.125
sfru6 9618 9612 9600 9593 p condorpaper paid 1.75 5kx96.12
sfru6 9625 9631 cs (tied 96.12 d10)paper sold 10k @ 1.5
sfru6 9606 9600 9587 9581 p condorpaper paid 1.25 7500x96.13
sfrz6 9643 9656 cspaper paid .75 30kx95.98
sfrz6 9637 9650 cspaper paid .75 5kx95.96
sfrz6 9750 cpaper paid 1.75 25kx96.00
sfrz6 9618 9606 9550 9537 p condorpaper paid 6.75 10k96.00
sfrz6 9618 9637 cspaper sold 10k @ 4.5-4.2595.93
sfrz6 9575 9612 9625 iron fly (tied 95.985 d24)paper sold 8k @ 21.25
sfrz6 9675 9700 call spreadpaper paid .75 15kx95.97
sfrz6 9600 9637 call spreadpaper paid 12.5 5kx95.97
sfrz6 9581 9531 ps (tied 95.935 d30)paper paid 10 5kx
sfrz6 9600 c (tied 9592 d42)paper sold 5k @ 15.5
sfrz6 9600 ppaper sold 5k @ 20.7595.96
sfrh7 9650 9675 9700 call flypaper paid 1 3kx
sfrh6 9650 9675 cspaper paid 2.5 7500x95.92
sfrm7 9600 9550 put spread (tied 95.905 d27)paper sold 5k @ 19.5
0qn6 9593/9587/9581 p-tree vs 9595 d26ppr sells 5k @ 1
0qq6 9612 9625 9631 c-treepaper paid .5 10kx9603
0qu6 9650 9675 call spread (tied 95.93 d05)paper paid 1 10kx
0qz6 9650 9725 call spreadpaper paid 7 5kx96.045
0qz6 9650 call (tied 96.00 d23)paper sold 5k @ 8.5
0qz6 9618 9637 9656 9675 c condorpaper paid 4 5kx96.12
0qz6 9625 9650 cs vs 9550 9525 pspaper paid 4.5 5kx +cs96.10
2qz6 9637/9662 box (tied 9614 d5)paper sold 10k @ 25

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