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SOFR Option Weekly Commentary 10/16/26

CPI & PPI both came in higher than expected this week with oil being the primary catalyst. Treasuries rallied surprisingly after a higher than expected PPI print yesterday as traders determined that it would have a neglible effect on the PCE price index & AI debt bubble fears continue. Retail sales came in higher than expected. The current odds of the FED hiking 25bp at its Oct 28th meeting are 17.2% (down from 19.4%), while the odds of at least 1 rate hike by year end are 87.3% (up from 84.4%). The 10Yr is trading @ 5.10%.

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 9575 9581 c 1x2paper paid 1.75 3kx95.755
sfrv6 9575 9568 p stupidpaper paid 3 10kx95.77
sfrx6 9581 9593 9606 c flypaper paid 1.75 5kx95.76
sfrx6 9568 9575 9581 c flypaper paid 1-1.75 20kx95.665
sfrx6 sfrz6 9581^ sprdpaper paid 3 5kx9574
sfrz6 sfrz6 9581 cspaper paid 1.5 10kx95.77
sfrx6 9575 9581 9587 9593 c condorpaper sold 5k @ 1.595.69
sfrz6 9581 9587 9593 9600 c condor.375-.5 10kx95.77
sfrz6 9575 p (tied 95.71 d55)paper paid 10.25 5kx
sfrz6 9587 9575 9562 p flypaper paid 5.5 15kx95.77
sfrz6 9587 9581 9575 9562 p condorpaper paid 2.75 20kx95.76
sfrz6 9593 9581 9568 9556 p condorpaper paid 7.5-8.5 25kx95.75
sfrz6 9550 ppaper sold 30k @ 3-2.595.665
sfrz6 9587 9600 9612 c flypaper paid .25 5kx95.63
sfrz6 9581 9612 9637 brk c flypaper paid 2.25 10kx95.715
sfrz6 9562 9550 9537 p flypaper paid 2.25 10kx95.67
sfrz6 9562 9550 9537 p flypaper sold 10k @ 1.7595.735
sfrz6 9581 9600 cs (tied 95.76 d22)paper sold 5k @ 2.25
sfrf7 9575 9562 9550 9525 brk p condorpaper paid 1-1.5 20kx95.50
sfrf7 9550 9575 9600 c flypaper paid 5 5kx95.50
sfrf7 9600 c (tied 95.475 d15)paper paid 3.75 5k
sfrh7 9587 9600 cspaper paid 1.375-1.5 50kx95.425
sfrh7 9537 9525 ps (tied 95.395 d09)paper paid 5 5kx
sfrh7 sfrm7 9662 c stupidpaper paid 8 5kx95.40/95.24
sfrh7 9600 9637 cs vs 2qh7 9600 9650 cs sprdpaper paid 3.25 5kx +2qh795.47/95.41
sfrm7 9500 9450 pspaper sold 8k @ 10.2595.29
sfrm7 9550 9562 9575 c fly w/ 9575 9587 9600 c fly stupidpaper paid 1.75 3kx95.31
sfrm7 9750 cpaper paid 3.25-3.5 10kx95.34/95.355
sfrm7 9575 9556 9468 brk p treepaper paid 2-2.5 8kx95.325
sfrz7 9550 9587 cs (tied 95.245 d10)paper paid 11.5 10kx95.235
sfrz8 9800 9900 10000 c flypaper paid 3 2kx95.345
0qh7 9550 c (tied 95.365 d42)paper paid 25 5kx
0qh7 9575 cpaper paid 13.5 5kx95.26
0qm7 9662 9762 cs (tied 95.215 d10)paper paid 4 5kx95.20
2qz6 9550 9575 9600 9625 c condorpaper paid 5 3kx95.37
2qz6 9612 cpaper paid 3-3.5 30kx95.40
2qz6 9550 9575 9600 c flypaper sold 4k @ 3.75 via legs95.39
2qh7 9550 9525 ps (tied 95.19 d15)paper sold 20k @ 15
2qm7 9700 cpaper paid 5-5.5 10kx95.415

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