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SOFR Option Weekly Commentary 7/24/26

America's job market remained strong as Initial Jobless Claims came in lower than expected @ 187K - the lowest number of weekly filings since 1969. The US & Iran war continued to escalate & push oil futures higher while raising the odds of a 25 bp hike at the FOMC's July 29th meeting next week to 35.8% (up from 12.8% last week).

The current odds of the Fed on Hold through the FOMC's Dec 9th meeting are 8.6% (down from 21.5% last week), while the odds of at least one 25 bp hike are now 91.4% (up from 78.5% last week). The 10Yr is currently trading @ 4.68%.

SOFR Option Vols were mixed this week (see attached spreadsheet).

SOFR Option Trades to Note this Week

Scroll or swipe horizontally to see all columns →

Trade Action Ref
sfrq6 9593 9581 pspaper paid 1 7500x96.115
sfrq6 9600 9575 pspaper sold 5k @ 396.08
sfrq6 9625 9631 cspaper paid .375 40kx96.08
sfrq6 9587 9581 9575 9568 p condorpaper paid .75 5kx96.045
sfrq6 9606 9593 ps vs 9612 cpaper paid -.5 to +2 30kx +ps96.05
sfrq6 9612 9618 9625 9637 brk c condorpaper sold 10k @ 196.02
sfrq6 9612 9575 pspaper sold 5k @ 1396.10
sfru6 9625 9637 cspaper paid 1.375-1.5 80kx96.09
sfru6 9600 9581 ps vs 96.12 c (tied 96.03 d30)paper sold 5k @ .00 -c
sfru6 9618 9606 9600 9587 p condorpaper paid 3.5 20kx96.00
sfru6 9618 9637 c 1x2paper paid 2.25 10kx96.05
sfrv6 9568 9562 pspaper paid 1.25 5kx95.95
sfrv6 9650 c (tied 95.845 d10)paper paid 2 10kx95.835
sfrv6 9575 9562 pspaper paid 3.5 10kx95.87
sfrx6 9606 9618 9631 c flypaper paid 1.25 5kx95.84
sfrz6 9587 9562 ps vs 9612 9637 cspaper paid .5-.75 5kx +ps95.955
sfrz6 9700 cpaper paid 2 15kx95.97
sfrz6 9575 9562 9543 9531 p condorpaper paid 3 10kx95.84
sfrz6 9600 9575 9550 p flypaper sold 10k @ 5.595.84
sfrz6 9593 9581 pspaper paid 5.5-5.75 10kx95.93
sfrz6 9600 9606 cs vs 9556 9550 pspaper paid 1.25 10kx +cs95.88
sfrz6 9600 9618 cs (tied 95.92 d15)paper sold 30k @ 6.7595.90
sfrz6 9618 9631 9643 9656 c condorpaper paid 2.75 25kx95.87
sfrz6 9587 9562 ps 5x vs 0qz6 9587 p 2xpaper sold 3k @ .5 -0qz6 p95.91/95.93
sfrz6 9600 9593 pspaper paid 3.125 5kx95.96
sfrz6 9600 9587 9575 p flypaper paid 1.5 5kx95.93
sfrz6 9606 9618 9631 c flypaper paid .5 20kx95.92
sfrz6 9575 9562 9550 p treepaper sold 15k @ 2.5 -2 legs95.87
sfrz6 9581 put with 2qz6 9625 9643 cs vs 2qz6 9606 9581 pspaper sold 20k @ 6.5 -z6 put & -2qz6 cs95.93/96.00
sfrh7 9637 9687 c 2x3paper paid 5-5.5 30kx95.87
sfrm7 9850 cpaper paid 2 15kx95.83
sfrm7 0qm7 9562 9487 pspaper sold 5k @ 2.5 -sfrm795.80/95.96
sfrz7 0qz6 9650 cx 1x3paper sold 4k @ 1 -sfrz795.83
S05N6 9562 9600 squashpaper paid .25 10kx +p95.83
S05N6 9562 9600 squashpaper sold 10k @ 2 -p95.76
0qu6 9587 9612 c 1x2paper paid 3 7500x95.79
0qu6 9562 9537 ps (tied 95.97-95.96 d12)paper sold 12k @ 2.595.935
0qu6 9587 9575 9562 9556 p condor 2x2x2x1paper paid 3 5kx95.875
0qh7 9600 ^paper paid 61.5 2kx96.03
2qz7 9587 ^ (tied 95.91 d05)paper paid 47 2kx
2qm7 9587 ^paper sold 2k @ 6995.92

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