skip to main content

SOFR Reports & Commentary

< Back

SOFR Option Weekly Commentary 8/21/26

This week's FOMC meeting minutes indicated that some members would vote to hike if inflation did not cool. WTI & Brent Crude futures creeped higher as US/Iran peace talks stalled. Focus on US National Debt passing $40 Trillion with unlikely Sep hike by FOMC pushed the 30YR yield to 5.30% (highest since 2007). The current odds of the Fed on Hold thru the FOMC's Sep 16th meeting are 61.6% (down from 67.4% last week) while the odds of at least one 25 bp hike by the Dec 9th meeting are now 71.8% (up from 67.4% last week). The 10Yr is currently trading @ 4.73%

SOFR Option Vols were mixed this week but are lower over the past two weeks (see attached spreadsheet).

SOFR Option Trades to Note this Week

Scroll or swipe horizontally to see all columns →

Trade Action Ref
sfru6 9606 9612 9625 9631 iron condorpaper paid 2.75-3 10kx96.22
sfru6 9612 9606 9600 9593 p condor (tied 96.225 d05)paper sold 7k @ .7596.215
sfru6 9612 9618 9625 c flypaper paid .75-.875 25kx96.205
sfru6 9612 ppaper paid 2.5 15kx96.21
sfru6 9631 ctrades .75 10kx96.205
sfru6 9631 9637 c 1x2paper paid .25 20kx + 1 leg96.22
sfru6 9618 9606 pspaper paid 2.75-3 40kx96.21
sfru6 9618 ^paper sold 10k @ 10.5-10.2596.215
sfru6 9618 9612 pspaper paid 1.625-1.75 40kx96.21
sfru6 9618 9606 ps vs 9625 9631 cspaper sold 8k @ 1 -ps96.07
sfru6 9637 cpaper paid .5 25kx96.21
sfru6 9618 9631 cspaper sold 15k @ 5.7596.2175
sfru6 9625 9612 9600 p flypaper paid 2.625 5kx96.21
sfru6 9643 9618 p 1x2paper sold 20k @ 14.75-14.2596.21
sfru6 9625 9637 9650 c treepaper paid 2 5kx96.21
sfru6 9662 9637 p 1x2paper sold 15k @ 796.205
sfru6 9625 9612 9606 9593 p condor (tied 96.21 d28)paper sold 5k @ 3.5
sfrv6 sfrx6 9631 ^ sprdpaper paid 2.25 4kx96.06
sfrv6 9618 9625 9631 c flypaper paid 1 8kx96.06
sfrv6 9612 9625 9631 brk c treepaper sold 7500 @ 3.2596.08
sfrv6 sfrz6 9631 ^ sprdpaper paid 3.5-3.75 4kx96.07
sfrv6 9587 9575 9562 p flypaper sold 5k @ 196.065
sfrx6 9675 cpaper paid 1.25 10kx96.07
sfrz6 9587 9525 p 1x3paper sold 7k @ 4.2596.07
sfrz6 9618 9631 cs vs 9600 9581 pspaper sold 10k @ .375 - ps96.07
sfrz6 9600 9562 pspaper paid 9.75 5kx
sfrz6 9600 9681 pspaper sold 20k @ 6-5.7596.075-96.06
sfrz6 9612 9606 9562 brk p treepaper paid .00 10kx96.06
sfrz6 9625 9600 9575 p flypaper paid 4.75 8kx96.06
sfrz6 9562 ppaper sold 20k @ 3.2596.055
sfrz6 9600 9587 9575 p flypaper sold 5k @ 196.07
sfrz6 9618 9606 pspaper sold 5k @ 6.2596.06
sfrz6 9612 9606 9562 brk treepaper paid .00 15k +1 leg96.065
sfrz6 9637 9675 cs (tied 96.095 d10)paper paid 1.5 20kx96.07
sfrf7 sfrh7 9637 9662 cs sprdpaper paid .75 10kx96.96
sfrh7 9575 put (tied 95.965 d36)paper paid 15.5 5kx and (tied 95.975 d36) paid 15 5kx
sfrh7 9643 9656 cs (tied 95.94 d04)paper paid 1.5 5kx95.96
sfrm7 9700 9725 cspaper paid 1.5-1.625 15kx95.93
sfru7 9550 ppaper paid 22-22.5 20kx95.93
0qu6 9593 9575 ps vs 9600 cpaper sold 12k @ .25 -ps95.93
0qv6 9587 9562 pspaper paid 6.25 5kx95.98
0qv6 9631 9675 cs (tied 95.97 d14)paper paid 3.25 5kx95.98
0qx6 0qz6 9575 9600 9625 c fly stupidpaper paid 11 15kx95.95
0qz6 9550 ppaper paid 8.5 20kx95.91
0qz6 9562 2qz6 9656 pspaper paid .00 5kx +0qz695.95/95.98
0qz6 sfrz7 9600 ^ sprdpaper sold 4k @ 4095.97
0qz6 9593 put (tied 95.94 d50)paper sold 2500 @ 21.5
0qz6 3qz6 9650 cspaper paid 2.75 4kx95.94/95.85
0qh7 9600 9637 9675 c fly w 9612 9637 9662 c fly stupidpaper paid 10 5kx
0qh7 sfrh8 9600 ^ sprdpaper sold 2500 @ 3595.95

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.