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SOFR Option Weekly Commentary 8/14/26

Today's Retail Sales & Univ of Michigan Sentiment numbers both came in lower than expected as consumer sales slowed last month. Coupled with CPI & PPI numbers earlier in the week which were roughly in line with expectations, traders pulled back on any imminent Fed hike thoughts. The current odds of the Fed on Hold thru the FOMC's Sep 16th meeting are 67.4% & for the Dec 9th meeting are 32.6% (up from 23% last week), while the odds of at least one 25 bp hike by year end are now 67.4% (down from 77% last week). The 10Yr is currently trading @ 4.69%

Sofr Option Vols were lower this week (see attached spread sheet).

SOFR Option Trades to Note this Week

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Trade Action Ref
sfru6 9618 9631 cstrades 3.75 10kx96.16
sfru6 9631 9637 cspaper paid .375-.5 25kx96.16
sfru6 9618 9606 9600 9587 p condorpaper sold 10k @ 496.165
sfru6 9600 9587 pspaper sold 10k @ .2596.20
sfru6 9618 9631 c 1x2paper sold 10k @ 3.596.195
sfru6 9631 9637 cspaper sold 60k @ 1.2596.19
sfru6 9575 putpaper paid .25 20kx96.21
sfru6 9600 putpaper paid .75 15kx96.21
sfru6 9612 0qu6 9587 pspaper sold 20k @ 7-6.5 -0qu696.19/95.89
sfrv6 9612 9625 9631 brk c treetrades 1.75-2.5 15kx + 1 leg96.00-96.04
sfrv6 9631 9643 cspaper paid .75 10kx96.09
sfrv6 sfrz6 9631 9643 cs sprdpaper paid 2 10kx96.04
sfrv6 9600 9568 pspaper sold 10k @ 5.5
sfrz6 9625 9650 c 1x2paper paid .75-1 15kx +1 leg95.98
sfrz6 9625 9631 cspaper paid 2 15kx96.00
sfrz6 9650 9700 cspaper paid 1 20kx96.00
sfrz6 9575 9550 ps vs 9618 9606 9600 9587 p condorpaper sold 10k @ 1 -ps96.04
sfrz6 9581 9556 pspaper sold 10k @ 496.05
sfrz6 9612 9606 9556 9550 p condorpaper sold 10k @ 2.7596.05
sfrz6 9612 9625 9637 9650 c condorpaper paid 5 10kx96.035
sfrz6 9625 9631 cspaper paid 2.375 10kx96.02
sfrz6 9600 9606 ^ sprdpaper paid 1.25 5kx96.08
sfrz6 9575 2qz6 9550 pspaper sold 10k @ .00 -2qz695.99/95.94
sfrz6 9593 9581 9575 9562 p condorpaper sold 7500 @ 2.2596.00
sfrz6 9593 9581 pspaper sold 10k @ 4.7596.00
sfrh7 9775 cpaper paid 2.25 20kx95.90
sfrh7 9625 9650 cspaper paid 4.75-5.5 15kx95.93
sfrh7 9600 9625 9643 brk c fly vs 9525 ppaper sold 15k @ .00 -put95.95
sfrm7 9875 cpaper paid 1.5 to 1.75 50kx95.99-96.03
sfru7 9725 9875 c 2x3paper paid 8.5-9 10kx95.88
sfrz7 9800 9825 cspaper paid 1 5kx95.93
sfrz7 9500 9450 ps vs 9700 9750 cspaper paid .00 5kx +cs96.025
0qx6 0qz6 9575 9600 9625 c fly stupidpaper paid 10.5-11 15kx95.95-96.02
0qz6 9600 ^ (tied 96.01 d02c)paper sold 5k @ 43.5 to 43
0qz6 9662 9687 cspaper paid 2 5kx96.00
0qz6 9675 9700 cs vs 9550 9525 9500 p fly 1x1x1 (tied 96.035 d16)paper sold 5k @ 3.25 - fly96.02
0qh7 sfrh8 9600 ^ sprdpaper sold 4k @ 3596.02
0qm7 9575 9475 ps (tied 96.01 d26)paper sold 5k @ 18
2qu6 9662 9650 p stupid (tied 95.95 d20)paper sold 5k @ 3.5
2qu6 9625 c vs 2qz6 9625 9650 cspaper paid 3.25 50kx +2qz695.99/95.98
2qz6 9625 9650 cspaper paid 5-5.5 10kx95.97
2qh7 9587 9637 cs (tied 95.925 d28)paper paid 19 5k
2qh7 9625 9650 cs with sfrh7 9562 put VS 2qh7 9625 9600 pspaper sold 10k @ 3.25 and 10k @ 1.25 (-sfrh7 put, -2qh7 c/s, +2qh7 p/s)
2qh7 9600 ^paper paid 53.25 5kx9.599

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