SOFR vols moved higher this week as rates sold off midweek on a stronger than expected PMI, an oil rally and TY yields ending the week 5.18%. Currently, October is pricing a 64% chance of a 25 bp hike, with a 92% chance of one 25 bp hike and a 50% chance of two 25 bp hikes by year-end.
Scroll or swipe horizontally to see all columns →
| Trade | Action | Ref |
|---|---|---|
| sfrv6 9568 9562 9556 p tree | paper paid 1 20kx | 95.68 |
| sfrv6 9568 9562 9556 p fly | paper paid .875 5kx | 95.69 |
| sfrx6 9568 9556 9550 9537 p condor | paper paid 4.75-5 20kx | 95.66 |
| sfrx6 9562 9556 9550 p tree | paper paid .5-.625 20kx | 95.64 |
| sfrx6 9587 9593 9600 c fly | paper paid .25 10kx | 95.68 |
| sfrz6 9618 9606 9575 9562 p condor w/ sfrz6 9593 9581 9543 9531 p condor stupid | paper sold 8k @ 14.75 | 95.635 |
| sfrz6 9537 p | paper paid 2.5 5kx | 95.64 |
| sfrz6 9562 9550 9543 9531 p condor | paper paid 4.25 10kx | 95.63 |
| sfrz6 9600 c | paper paid 2-2.25 60kx | 95.64 |
| sfrz6 9612 9625 c 1x2 | paper paid 1 10kx +2 legs | 95.69 |
| sfrz6 9581 p (tied 95.625 d80) | paper paid 22 15kx | |
| sfrz6 9581 9562 9531 9512 p condor | paper sells 30k @ 10-9.75 f=9562.5 | |
| sfrf7 9537 9500 p 2x3 | paper paid 15-15.25 5kx | 95.44 |
| sfrh7 9543 ^ | paper paid 42-42.5 4kx | 95.40 |
| sfrh7 9537 ^ | paper sold 4k @ 45.75 | 95.39 |
| sfrh7 9612 c | paper paid 3.75-4.25 30kx | 95.34 |
| sfrh7 9650 9725 c 2x3 | paper paid 1 5kx | 95.44 |
| sfrh7 9675 9775 c 2x3 | paper paid 1.25-1.5 15kx | 95.44 |
| sfrh7 9775 c | paper paid 1 10kx | 95.44 |
| sfrh7 9625 9600 ps | paper sold 13k @ 23 | 95.32 |
| sfrh7 9537 9562 9587 c tree | paper paid 5 5kx | 95.43 |
| sfrm7 9543 ^ | paper sold 20k @ 69.5-69 | 95.18 |
| sfrm7 9550 ^ (tied 95.17 d30) | paper paid 72 5kx | |
| sfrm7 9650 9725 cs vs sfrz7 9650 9725 9800 c fly | paper paid even 15k (+sfrz7) f=9517/f=9513 | |
| sfrm7 9500 9543 9587 iron fly 1x strangle 2x straddle | paper sold 3k @ 93.25-93 | 95.31 |
| sfrm7 9500 9450 ps | paper paid 10.25-10.5 10kx | 95.30 |
| sfrm7 9650 9725 c 2x3 | paper paid 2 15kx | 95.315 |
| sfrm7 9662 9737 c 2x3 | paper paid 2 15kx | 95.31 |
| sfru7 9600 p (tied 95.14-95.145 d42) | paper paid 34-34.5 15kx | |
| sfrh8 9475 9537 9600 ^ fly | paper paid 29.5-30 5kx | |
| 0qv6 9512 9518 strangle | paper paid 22 12kx | 95.14 |
| 0qv6 9512 ^ | paper paid 28 5kx | 95.125 |
| 0qz6 9537 9556 9575 c fly | paper paid 2.5 10kx | 95.235 |
| 0qz6 9531 9506 ps vs 9556 c | paper paid 2.5 15kx +ps | 95.30 |
| 0qz6 9525 9475 (tied 95.30 d26) vs 3qz6 9537 9487 ps (tied 95.515 d26) | paper sold 3k @ 4.5 -0qz6 | |
| 0qz6 9550 9531 9518 9500 p condor | paper paid 4.5 5kx | 95.14 |
| 0qh7 9518 ^ | paper sold 4k @ 66-65.5 | 95.175 |
| 0qh7 9518 ^ | paper paid 64.5-65.5 5kx | 95.175 |
| 0qh7 9587 9625 9662 c fly | paper sold 7k @ 2.25 | 95.18 |
| 0qh7 9600 9625 cs | paper paid 2.5 20kx | 95.14 |
| 0qh7 9600 9637 cs | paper paid 3.75 5kx via legs | 95.18 |
| 0qh7 9575 9537 9500 p fly | paper sold 15k @ 8-8.25 | 95.35 |
| 0qh7 9650 9700 9750 c fly | paper paid 1 10kx | 95.30 |
| 0qh7 9525 9575 1x2 (tied 95.195 d07) | paper paid 6 10kx | |
| 0qh7 9550 c (tied 95.11 d26) | paper paid 16 5kx | |
| 2qz6 9662 c (tied 95.375 d02) | paper paid .5 8kx | |
| 2qz6 9550 p (tied 95.235 d70) | paper paid 36.5 10kx | |
| 2qz6 9575 9593 cs | paper paid 2 20kx | 95.23 |
| 2qz6 9606 9581 ps | paper sold 40k @ 22.75 | 95.26 |
| 2qz6 9625 9643 cs | paper paid .5 40kx | 95.25 |
| 2qh7 9625 9650 cs | paper paid 1.75 20kx | 95.26 |
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.