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SOFR Option Weekly Commentary 9/4/26

All eyes will be on next week's inflation data (Thurs PPI/ Fri CPI), but today's stronger than expected employment data (162K nonfarm payrolls added vs 55K expected) prompted a sell off in fixed income futures & equities. The current odds of the Fed on Hold thru the FOMC's Sep 16th meeting are 41.6% (down from 42.5% last week) while the odds of at least one 25 bp hike by the Dec 9th meeting are now 85.7% (down from 89.1 last week). The 10Yr is currently trading @ 4.77%

SOFR Option Vols were lower on the week & over the past two weeks (see attached spreadsheet).

SOFR Option Trades to Note this Week

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Trade Action Ref
sfru6 9606 9612 9625 9631 iron condorpaper paid 2.875 10kx96.125
sfru6 9618 9625 cspaper paid 1.375-1.625 25kx96.125
sfru6 9625 9631 cspaper paid .25-.375 30kx96.12
sfru6 9612 9606 pspaper sold 5k @ 2.7596.12
sfru6 9606 9600 pspaper paid .5 20kx96.15
sfru6 9618 9625 cs vs 9606 p (tied 96.115 d40)paper paid .5 10kx +p
sfru6 9612 9618 9625 c flypaper paid .875-1.5 25kx
sfru6 9618 9625 c 1x2paper paid 1-1.5 20kx96.12
sfru6 9612 ^paper sold 10k @ 7.5-696.12
sfrv6 9612 c (tied 95.97 d24)paper paid 3.25 10kx
sfrv6 9618 c vs sfrz6 9618 9631 cspaper paid 1 10kx +sfrz695.90
sfrv6 9600 9606 9612 9618 c condorpaper paid 1.5 10kx95.96
sfrv6 9606 9612 9625 brk c treepaper paid .875-1 20kx syn95.915
sfrv6 9612 9631 9637 brk c treepaper paid 1.25 5kx95.915
sfrv6 9600 9587 9575 p tree (tied 95.91 d10)paper paid 2.75 5kx95.92
sfrx6 9625 9618 9606 9600 p condorpaper paid 1.70 syn 10kx95.97
sfrz6 9562 9612 squash (tied 95.91 d48)paper paid 1.25 5kx +c
sfrz6 9568 9612 squash (tied 95.905 d52)paper paid .00 5kx +p
sfrz6 9593 p (tied 95.92 d52)paper sold 25k @ 15.25
sfrz6 9593 ^paper paid 28.5 2500x95.96
sfrz6 9600 ppaper paid 16.25 7500x95.96
sfrz6 9625 9631 cspaper paid 1.5 8kx95.97
sfrz6 9625 9675 c 1x2paper sold 10k @ 1.595.95
sfrz6 9643 9656 c 2x3paper paid .75 7500x +3 legs95.96
sfrz6 9587 p (tied 95.90 d47)paper sold 20k @ 13.25
sfrz6 9650 9631 9612 p flypaper sold 10k @ 3.2595.915
sfrz6 9600 9575 pspaper paid 11.5-12.5 25kx95.91
sfrz6 9631 c (tied 95.92 d15) 4x vs sfrh7 9587 ^paper sold 3k @ 38
sfrz6 9631 c (tied 95.925 d15)paper paid 2.5 10kx
sfrz6 9637 9650 cspaper paid .25 25kx95.92
sfrz6 9650 c (tied 95.95 d10)paper paid 1.5 15kx
sfrz6 9593 9606 9618 c flypaper paid 2.25 15kx95.93
sfrf7 9575 9600 stranglepaper sold 2k @ 29.7595.83
sfrh7 9581 ^paper paid 47 2kx95.97
sfrh7 9587 ^paper paid 47 4kx95.83
sfrh7 9600 9625 9643 brk c flypaper paid 4 21kx *block/scrn
sfrh7 9575 sfrm7 9575 ^ stupidpaper paid 108.75-109.5 3kx95.77/9569
sfrm7 9575 ^paper paid 62.75 4kx95.76
sfrm7 9600 9675 c 5x4paper sold 2500 @ 72.595.735
sfru7 9675 c (tied 95.725 d10)paper paid 9.5 5kx
sfru7 9500 9700 stranglepaper sold 2250 at 23 & 2500 at 23.7595.72
sfru7 9500 9650 stranglepaper sold 10k @ 29.75-29.595.68
sfru7 9600 9637 9675 c flypaper paid 5 20kx95.685
sfrz7 9625 9675 9725 c treepaper paid 2 6kx95.71
0qu6 9562 9550 p 1x2paper paid 1.25 10kx95.68
0qv6 9631 9606 ps w/ 0qh7 9600 9625 cs stupidpaper sold 10k @ 29.595.78/95.81
0qx6 0qz6 9575 9600 9625 c fly stupidpaper paid 10.75 4kx95.79
0qz6 9600 9650 cspaper paid 7.5 10kx95.72
0qh7 9587 9625 9662 c flypaper paid 7 5kx95.81
sfrh7 9562 p 1x vs 0qh7 9575 9537 9500 p fly 3xpaper paid 3.5 10kx +30k 0qh7 -10k h6
0qh7 9575 9537 9500 p flypaper paid 6.75 20kx95.78
0qh7 9600 9625 cspaper sold 10k @ 795.78
0qm7 9675 ^paper paid 67.5 2kx95.79
2qu6 9600 9587 p 4x5paper sold 2500 @ 30.595.78

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