skip to main content

SOFR Reports & Commentary

< Back

SOFR Option Weekly Commentary 7/17/26

Inflation data took center stage this week as CPI and PPI both came in lower than expected, with oil prices falling last month. Retail Sales met expectations. University of Michigan Sentiment numbers came in higher than expected, largely driven by lower gas prices.

The odds of a Fed hike at its July 29th meeting have fallen to 14.4%. Renewed US/Iran fighting this week has oil futures trading higher, with hikes still in play by the end of the year. The current odds of the Fed on Hold through the FOMC's Dec 9th meeting are 21.5% (down from 22.1% last week), while the odds of at least one 25 bp hike are now 78.5% (up from 77.9% last week). The 10Yr is currently trading @ 4.54%.

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
sfrq6 9600 9587 9581 9568 p condorpaper sold 5k @ 2.75-2.2596.08
sfrq6 9600 9587 put spread vs sfrq6 9618 callpaper paid 3.25 8kx +call96.17
sfrq6 9618 9625 call spreadpaper paid 1.5 8kx96.07
sfrq6 9618 9612 9606 9600 p condorpaper paid 1.25 8kx96.125
sfrq6 9600 9587 p 1x2paper paid 1.25-1.5 10kx96.035
sfrq6 9600 9587 ps vs 2qq6 9587 9575 ps sprdpaper paid .00 to 1.5 15kx +sfrq6
sfru6 9631 9637 ^^paper paid 17.75 5kx96.16
sfru6 9625 9637 c 2x3paper sold 10k @ 3.596.16
sfru6 9600 9575 ps (tied 96.155 d18) vs 0qu6 9562 9537 ps (tied 95.97 d10)paper paid .5 12kx +0qu6
sfru6 9650 cpaper paid .75 25kx96.165
sfru6 9600 ppaper paid 3 20kx96.165
sfru6 9562 put (tied 96.18 d05)paper sold 25k @ .25
sfru6 9625 9631 call spreadpaper paid 1.25 15kx96.075
sfru6 9593 9568 9543 p flypaper sold 20k @ 1.2596.16
sfru6 9643 9656 9681 call treepaper paid .5 6kx +2 legs96.125
sfru6 9600 9575 pspaper sold 7500 @ 5.596.07
sfru6 9600 9575 pspaper sold 10k @ 3.7596.13
sfru6 9537 putpaper paid .75 10kx96.035
sfru6 9593 put (tied 96.155 d16) vs 2qu6 9581 put (tied 96.06 d24)paper paid 3.5 10kx +2qu6
sfru6 9593 9581 9575 9562 p condorpaper sold 40k @ 1.75-196.13
sfru6 9637 put (tied 96.09 d90)paper sold 5k @ 29.5
sfru6 9612 9600 9587 put flypaper paid 2-2.5 25kx96.125
sfru6 9618 9625 9631 c flypaper paid 1.5 5kx96.16
sfrv6 9581 9600 9618 9637 call condorpaper sold 15k @ 6.7595.98
sfrv6 9575 9568 pspaper paid 2 10kx ref 95.91 and paid 1.25 10kx ref 96.02
sfrv6 9600 sfrh7 9593 ^ sprdpaper paid 23 2kx
sfrx6 9606 9618 9631 c flypaper paid 1.25-1.75 10kx95.90
sfrz6 9618 9606 9550 9537 put condorpaper sold 10k @ 5.596.05
sfrz6 9593 9575 9562 put flypaper sold 10k @ 3.62596.05
sfrz6 9600 9612^ spreadpaper paid 3.5-4 8kx
sfrz6 9631 9637 call spreadpaper paid 1.125 10kx96.04
sfrz6 9568 9556 9550 9537 put condorpaper sold 20k @ .7596.025
sfrz6 9618 9631 9643 call fly 1x3x2paper paid 2-2.25 10kx96.02
sfrz6 9581 put with 2qz6 9625 9643 cs vs 2qz6 9606 9581 pspaper sold 10k @ 5.5 -z6 put & -2qz6 cs
sfrz6 9612 ^paper sold 3k @ 3995.97
sfrz6 9581 9631^^paper sold 5k @ 19-18.595.97
sfrz6 9700 callpaper paid 2 10kx96.015
sfrz6 9575 put (tied 95.965 d32)paper paid 10 8kx
sfrz6 9600 9575 9550 p flypaper sold 15k @ 5.2595.97
sfrh7 9650 9675 call spreadpaper paid 2.75 10kx95.94
sfrm7 9600 9550 p 1x2paper paid .5 10kx +2 legs95.89
sfrm7 9725 9875 call 2x3paper paid 7.5 6kx +2 legs95.86
0qq6 0qu6 9612 ^ sprd (tied 95.985 d10)paper paid 8.5 4kx
0qu6 9562 9537 pspaper paid 4.75 10kx95.87
0qu6 9587 9568 put spread (tied 95.915 d17)paper paid 6.75 5kx
0qu6 9625 9650 cs (tied 95.92 d10)paper paid 3 4kx95.93
0qz6 3qz6 9600 ^ spreadpaper sold 5k @ 8 -0qz6
2qu6 9600 9587 9575 9562 p condorpaper paid 2.5 20kx96.075

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.