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SOFR Option Weekly Commentary 9/11/26

SOFR futures sold off today as higher Core CPI (MoM) +0.3% vs +0.2% expected, increased the odds of the FED hiking rates 25 bp next week (Wed Sep 16th) to 86.3%. It is important to note, however, that Core CPI (YoY) 2.4% is the lowest since the Spring of 2021. WTI & Brent crude futures both traded over $100 a barrel this week but were lower today. The 10Yr is currently trading @ 4.96%.

SOFR Option vols were lower today but mixed over the past week (see attached spreadsheet).

SOFR Option Trades to Note this Week

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Trade Action Ref
sfrv6 9550 9537 spaper paid .25 7500x95.95
sfrv6 9606 9612 9618 9625 c condorpaper sold 10k @ 1.37595.95
sfrv6 9562 p (tied 95.825 d22)paper paid 4 10kx
sfrv6 9618 c (tied 95.83 d 05)paper paid 0.75 10kx
sfrv6 9587 9568 pspaper sold 5k @ 8.2595.81
sfrx6 9593 9606 squash (tied 95.96 d84)paper paid 4 5kx +P
sfrv6 9606 9618 0qv6 9600 9618 cs sprdpaper paid 1-1.25 15kx +sfrv6
sfrv6 sfrz6 9600 ^ sprdpaper sold 3k @ 8.595.93
sfrz6 9618 9606 9575 9562 p condorpaper paid 6.5 10kx95.935
sfrv6 9600 9606 9612 9618 c condorpaper sold 20k @ 1.25-.75
sfrv6 9612 9631 9637 brk c tree (tied 95.82 d05c)paper sold 5k @ .5 -1 leg
sfrz6 9600 ^paper paid 28.5 4kx95.94
sfrz6 9612 9625 cspaper paid 3.375 5kx95.94
sfrz6 9700 cpaper paid .75 5kx95.94
sfrz6 9606 9625 c 1x2paper paid 2 5kx95.92
sfrz6 9556 9537 p 2x3paper sold 5k @ 295.86
sfrz6 9606 9631 cspaper sold 10k @ 5 and 10k @ 395.86/9579
sfrz6 9581 9575 9556 9537 p condor (tied 95.91-95.92 d05)paper paid .5 10kx
sfrz6 9575 ppaper paid 7.25 35kx95.92
sfrz6 9575 p (tied 95.78 d44)paper sold 20k @ 12.5-12.25
sfrz6 0qz6 9525 pspaper paid 9-9.5 10kx +0qz695.86/95.54
sfrz6 9568 9556 pspaper sold 25k @ 3.595.79
sfrz6 9600 9581 9565 p treepaper paid .00 10kx95.80
sfrf7 9618 c vs 9568 9550 pspaper sold 5k @ .25 -c95.79
sfrh7 9556 9537 ps vs 0qv6 9587 9562 ps sprdpaper sold 4k @ 8.5 -0qv695.815/95.725
sfrh7 9575 ^trades 48.25 2500 ppr to ppr
sfrh7 9587 9637 c 1x3paper sold 5k @ 1.75 -1 leg95.765
sfrh7 9562 9550 pspaper paid 5 10kx95.69
sfrh7 9562 9537 pspaper paid 9.25 20kx @ 10 10kx95.665/95.62
sfrm7 9562 9550 pspaper paid 5.75 5kx95.58
sfrm7 9650 9750 9850 c flypaper paid 3 5kx95.52
sfrm7 9556 ^paper paid 68-68.5 2kx95.55
sfrm7 95.43 ^paper sold 10k @ 6895.43
sfru7 9637 9662 c stupid (tied 95.71 d32)paper paid 24.5 2500x
sfru7 9600 9637 9675 cspaper paid 5 15kx95.65
sfru7 9562 ^paper paid 78.5-79 2500x95.55
sfrz7 9500 9700 strangle (tied 95.66 d12)paper sold 4k @ 31.75-31.5
sfrm8 9800 9900 cspaper paid 3.5-3.75 20kx95.70
0qv6 9543 9531 pspaper sold 5k @ 495.52
0qv6 9631 9606 pspaper sold 5k @ 23.2595.695
0qz6 9562 9587 9600 9625 c condorpaper paid 5.25-5.5 7500x95.45
0qz6 9562 9587 9600 c treepaper paid 2.5 10kx95.47
0qz6 9600 9587 pspaper sold 16k @ 9.595.485
0qh7 9575 9600 9625 c-fly 1x1x1paper sold 15k @ 15.5/15/13.5 f=9555/95.515/95.48
2qz6 9575 9593 9625 9643 c condorpaper sold 10k @ 495.55
2qh7 9562 ^paper paid 52.5-54.5 4500x95.59
2qh7 9625 9600 9550 9525 p condorpaper sold 15k @ 11.2595.57

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