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SOFR Option Weekly Commentary 10/23/26

Light data week as the AI Risk-off theme continued in equities & bonds rallied. Today's Univ of Mich Sentiment numbers came in higher than expected, but oil futures rallied today as Mideast violence continues to worry traders about supply disruptions & inflation worries had fixed income futures lower on the day. The current odds of the FED hiking 25bp at its Oct 28th meeting are 9.4% (down from 17.2%), while the odds of at least 1 rate hike by year end are 77.9% (down from 87.3%). The 10Yr is trading @ 4.98%.

SOFR Option Vols were mixed this week (see attached spd sheet).

SOFR Option Trades to Note this Week

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Trade Action Ref
sfrx6 9625 cpaper paid .75 10kx95.80
sfrx6 9581 9593 c 1x2paper sold 5k @ 1 -.7595.84
sfrz6 9606 9612 cspaper paid .5 5kx95.85
sfrz6 9575 9562 9550 9537 p condorpaper paid 1.75 5kx95.79
sfrz6 9581 9575 9568 p flypaper paid 1.75 25kx95.79
sfrz6 9600 c (tied 95.84 d28)paper paid 4.25 7kx
sfrz6 9575 9568 9562 p flypaper paid .75 10kx95.755
sfrz6 9606 cpaper paid 2.25 10kx95.76
sfrz6 9568 9550 ps cov 95.755 d20paper sold 10k @ 3
sfrz6 9675 9700 9725 brk c treepaper paid .25 4kx +2 leg95.75
sfrz6 9587 9581 9575 9562 brk p condorpaper sold 5k @ 2.2595.765
sfrz6 9575 9562 ps vs 9593 cpaper paid .25 -.5 5kx +ps95.755
sfrz6 9575 9587 9593 9606 c condorpaper paid 2.5 5kx95.755
sfrz6 9587 9600 9612 c flypaper paid 1 10kx95.775
sfrf7 9568 9593 cspaper paid 4 5kx95.48
sfrf7 9568 9556 9550 9525 brk p condortrades .25 7500x95.53
sfrf7 sfrh7 9531 9518 ps sprdpaper paid .625 15kx9549
sfrh7 9637 9675 cspaper sold 5k @ 1.7595.22
sfrh7 9675 9775 c2x3paper sold 5k @ 3.259557
sfrh7 9550 9525 ps (tied 95.625 d10)paper paid 7.5 10kx
sfrh7 9581 c (tied 95.585 d32)paper sold 7500 at 14.5
sfrh7 9531 ppaper sold 5k @ 14.595.47
sfrh7 9562 9550 9500 brk p treepaper paid .5 5kx 1 leg95.495
sfrm7 9525 p (tied 95.31 d40)paper paid 30.25 3kx
sfrm7 9550 c (tied 95.33 d40)paper paid 26.5-27 15kx *block*
sfrm7 9500 9450 ps (tied 95.355 d16)paper paid 10.5 5kx95.32
sfrm7 9575 9556 9468 brk p treepaper sold 15k @ .75-.5 -1 leg95.32
sfru7 9475 9450 p stupid (tied 95.33 d45)paper sold 5k @ 39.25
sfrz7 9725 c (tied 95.275 d15)paper paid 9.5 35kx
sfrz7 9625 c (tied 95.435 d28)paper paid 26 5kx
sfrh8 9400 9650 squash (tied 95.25 d42)paper paid .00 20kx +c
sfrm8 9800 9900 10000 c flypaper paid 2.5 5kx95.35
sfrh9 9700 9800 cspaper paid 13 5kx95.22
0qx6 0qz6 9531 straddle stupidpaper sold 2k @ 639530
0qx6 9600 c (tied 95.375 d10)paper paid 2.5 8kx syn 2.35 syn95.36
0qz6 9556 9581 cspaper paidd 7 10kx95.44
0qz6 9587 9562 pspaper paid 20 5kx95.38
0qz6 9575 9650 c 2x1 (tied 95.30 d34)paper paid 11-12 5kx95.315
0qz6 9600 9625 cspaper paid 1.5 20kx95.30
0qz6 9562 9587 9600 9625 brk c condor 2x2x2x1paper sold 10k @ 2.75-2.595.29
0qh7 9650 c (tied 95.365 d12)paper paid 7 5kx
0qh7 9475 9450 ps vs 9575 9600 cs (tied 95.23 d16)paper sold 8k @ .5 -ps
0qh7 9525 straddlepaper sold 4k @ 59.59528
2qz6 9575 9537 9500 p flypaper sold 10k @ 13.5-1395.39
2qz6 9575 9600 9612 brk c treepaper paid .00 5kx +1 leg95.36
2qz6 9543 ^paper sold 2k @ 39.2595.45
2qz6 9612 cpaper paid 4.5-5 25kx95.46

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