SOFR Vols sharply lower this week (sprd attached) as the FED hiked 25 bps on Wed. The 10 yr currently trading 5.00% with WTI & Brent Crude futures hovering near the $100 but off last weeks highs. Currently 90% odds at least one 25 bp hike and 42% of 2 25bp hike by year end.
This week’s straddle report is a wide spreadsheet, best viewed full screen.
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| Trade | Action | Ref |
|---|---|---|
| sfrv6 9700 c | paper paid .25 100kx | 95.75 |
| sfrv6 9562 p | paper sold 5k @ 2.5 | 95.76 |
| sfrv6 9575 9581 9587 9593 c condor (tied 95.79 d05) | paper paid 1.75 10kx | |
| sfrv6 9612 9618 cs | paper paid .25 10kx | 95.77 |
| sfrv6 9562 9556 9550 p tree | paper paid 1 7500x | 95.68 |
| sfrx6 sfrz6 9600 9606 cs sprd | paper paid .5 6kx | 95.77 |
| sfrx6 9625 c | paper paid 1.25 20kx | 95.75 |
| sfrx6 9625 9618 9606 9600 p condor (tied 95.755 d05) | paper sold 20k @ .75 | 95.765 |
| sfrx6 9575 9587 9600 c fly | trades 2.5 40kx | 95.685 |
| sfrx6 9581 9587 9593 9600 c condor | trades .75 15kx | 95.695 |
| sfrx6 9575 9581 9587 9593 c condor | trades 1.75 20kx | 95.705 |
| sfrz6 9568 9550 ps | paper paid 5.5 10kx | 95.77 |
| sfrz6 9575 9550 ps (tied 95.755 d25) | paper paid 8.25 10kx | 95.78 |
| sfrz6 9575 9556 ps | paper paid 7 5kx | 95.75 |
| sfrz6 9575 9562 ps | paper sold 15k @ 5 | 95.46 |
| sfrz6 9543 p | paper sold 20k @ 2.5 | 95.70 |
| sfrz6 9568 9581 9593 c fly | paper paid 3.75-4 10kx | 95.71 |
| sfrz6 9593 ^ (tied 95.765 d37) | paper sold 3k @ 31.5 | |
| sfrz6 9562 9600 squash (tied 95.71 d50) | paper sold 10k @ 4.25 -ps | |
| sfrz6 9612 9625 9637 9650 c condor | paper paid .75 5kx | 95.77 |
| sfrz6 9618 9606 9575 9562 p condor | paper paid 7.5 10kx | 95.73 |
| sfrz6 9625 c | paper paid 1.25 20kx | 95.705 |
| sfrz6 9637 c | paper paid 1 30kx | 95.74 |
| sfrz6 9600 9612 9625 c fly | paper sold 5k @ 1 | 95.77 |
| sfrh7 9600 9550 p 1x2 | paper sold 10k @ 11 -1 leg | 95.42 |
| sfrh7 9525 9550 9575 c tree | paper paid 4.5 10kx all day +1 leg | 95.42 |
| sfrh7 9543 9500 ps (tied 95.53 d23) (2x) vs sfrh8 9650 c (tied 95.395 d16) (1x) | paper paid 7.75-8 10kx +sfrh7 | |
| sfrh7 9556 ^ | paper sold 2500 @ 50 | 95.58 |
| sfrh7 9537 9562 9612 brk c fly | paper paid 2.25 10kx | 95.47 |
| sfrh7 9562 9587 9612 c tree | paper paid 3-3.25 10kx | 95.56 |
| sfrh7 9550 9531 ps | paper paid 8 10kx | 95.46 |
| sfrh7 9556 9525 ps (tied 95.46 d22) | paper paid 13.25 10kx | |
| sfrh7 9606 9618 cs vs sfrm7 9618 9631 cs sprd | paper paid .25 15kx +sfrm7 | 95.46/95.35 |
| sfrh7 9625 9650 9687 brk c tree | paper sold 10k @ 1 -2 leg | 95.46 |
| sfrh7 9625 9700 c 2x3 | paper paid 1.75-2 30k | 95.46 |
| sfrm7 9543 ^ | paper sold 60k @ 68.25 (sold 20k @ 68 last Friday 9/11 also) | |
| sfrm7 9550 ^ (tied 95.185 d34) | paper sold 8k @ 63.75-63.5 | |
| sfrm7 9700 9875 cs | paper paid 3.25 10kx | 95.39 |
| sfru7 9500 9600 squash (tied 95.35 d60) | paper paid 10.75 5kx +p | |
| sfru7 9575 9625 cs vs 9412 p | paper paid .00 10kx +cs | 95.36 |
| sfrz7 9550 c (tied 95.40 d44) | paper sold 5k @ 41 | |
| sfrz7 9437 9612 squash (tied 95.43-95.415 d50) | paper paid 2 15kx +c | |
| sfrh8 9437 9637 squash (tied 95.38 d38) | paper sold 4k @ 2.5 -p | |
| sfrv6 9575 p (2x) vs 0qv6 9550 p (1x) | paper paid 5.25 5kx +sfrv6 | 95.76/95.38 |
| sfrf7 2qf7 9612 cs | paper paid 1 5kx +2qf7 | |
| sfrh7 2qh7 9650 cs | paper paid .25 10kx +2qh7 | 95.46/95.52 |
| sfrh7 9606 9618 cs vs 0qh7 9618 9631 cs sprd | paper paid .5 5kx +0qh7 | |
| 0qv6 9550 9568 9581 brk c fly | paper paid 3.25 5kx | 95.37 |
| 0qv6 9537 9568 cs (tied 95.35 d30) | paper paid 10 5kx | 95.45 |
| 0qz6 9537 ^ | paper sold 5k @ 45 | 95.39 |
| 0qh7 9550 9575 ^ sprd (tied 95.405 d25) | paper sold 4k @ 5.25 | |
| 0qh7 9562 9600 9637 c fly | paper paid 5.75 5kx | 95.40 |
| 0qh7 9575 9537 9500 p fly | paper sold 20k @ 8 | |
| 2qz6 9625 c (tied 95.40 d07) | paper sold 20k @ 1 | |
| 2qz6 9550 p (tied 95.475 d50) | paper sold 5k @ 20.5 | |
| 2qzz6 9575 9587 cs vs 9525 9512 ps | paper paid .00 5kx +cs | 95.45 |
| 3qh7 9612 c (tied 95.505 d12) | paper paid 5.5 4kx |
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