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SOFR Option Weekly Commentary 10/9/26

ISM Manufacturing & Services reports this week were close to expectations with expansion continuing in both sectors. Initial jobless claims (197k vs 200k expected) were also in line. Today's Univ of Michigan Consumer Sentiment index fell to 46.3 from 48.1 in September's release. The current odds of the FED hiking 25bp at its Oct 28th meeting are 19.4% (down from 23.8%), while the odds of at least 1 rate hike by year end are 84.4% (down from 88.3%). The 10Yr is trading @ 5.25%.

SOFR Option Vols were lower this week (see attached spreadsheet).

SOFR Option Trades to Note this Week

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Trade Action Ref
sfrv6 sfrz6 9581 9593 cs sprdpaper paid 1.25 4kx95.76
sfrx6 9581 9593 c 1x2paper paid .75 15kx95.77
sfrz6 9625 9675 cspaper paid .75 25kx95.755
sfrz6 9581 9600 cs (tied 95.765-95.77 d25)paper sold 17,500 @ 2.75
sfrz6 9587 9581 9537 brk p treepaper sold 10kx @ 4.2595.755
sfrz6 9581 9575 9568 9556 p condorpaper paid .5 6kx95.77
sfrf7 9575 9562 9550 9525 brk p condortrades .85-1 15kx syn95.505
sfrh7 9543 ^paper paid 45.5 2kx95.46
sfrh7 9650 cpaper paid 4.25 10kx95.50
sfrh7 9575 9600 9625 c treepaper sold 30k @ .25 to .00 -2 leg95.50
sfrh7 9600 cpaper paid 7.75 5kx95.48
sfrh7 9593 9581 9525 9500 brk p condorpaper paid 4.25-4.5 25kx95.47
sfrh7 9587 9625 cspaper sold 10k @ 4.2595.50
sfrh7 9625 9606 9525 9487 brk p condorpaper paid 10.5 5kx95.50
sfrh7 9575 9556 9518 brk p treepaper paid 2.75 5kx95.54
sfrh7 9550 9562 9575 c fly w/ 9575 9587 9600 c fly stupidpaper paid 2.5 2500x95.47
sfrh7 9725 9775 cspaper paid .75 5kx95.48
sfrm7 9550 9568 cs vs 9493 9475 pspaper sold 40k @ 1.25 to .25 -cs (10k at 1.25/ 7500 at 1 / 2500 at .5 / 20k at .25)95.265/95.31
sfrm7 9593 9581 9500 9475 brk p condorpaper paid 3.5 5kx95.32
sfrm7 9537 ^paper sold 4k at 61.5-6195.34
sfrz7 9900 9950 cspaper sold 10k @ .7595.24
sfrh8 9525 ^paper sold 1500 @ 10995.23
sfru8 9525^paper sold 1500 @ 125.5
sfru8 9750 9850 9950 c flypaper paid 3 8kx95.18
0qv6 9525 9512 p 1x2 (tied 95.235 d14 c)paper paid .00 5kx +1 leg -futs95.24
0qv6 9531 9543 cs (tied 96.28 d23)paper paid 4 7kx95.30
0qv6 9518 9531 stranglepaper sold 12k @ 12.595.245
0qf7 9512 9575 c 2x3 (tied 95.205 d40)paper sold 2500 @ 36
0qh7 9600 9637 cspaper sold 5k @ 3.7595.20
0qh7 9600 9650 9700 flypaper paid 2.75 4kx95.24
2qh7 9525 ^paper sold 2k @ 59.595.24
2qh7 9650 ctrades 3-3.25 30kx95.195

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