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SOFR Option Weekly Commentary 10/30/26

The FED left rates unch at Wednesday's FOMC meeting. Chairman Warsh repeated his commitment to containing inflation. Inflation-adjusted GDP increased 3.4% annualized in the 3rd Quarter beating the street's 3.2% estimates. The PCE monthly price index increased 0.5% in September - in line with estimates but the highest increase since March. Fixed income futures rallied today as the AI selloff continued in equities. The current odds of at least 1 rate hike by year end are 68.7% (down from 77.9% last Friday). The 10Yr is trading @ 4.92%.

SOFR Option Vol was lower this week (see attached spreadsheet).

SOFR Option Trades to Note this Week

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Trade Action Ref
sfrx6 9568 9556 p 1x2paper paid .5 5kx +1 leg95.795
sfrx6 9581 9593 cspaper sold 10k @ 2.2595.80
sfrx6 9587 9593 9600 c treepaper paid .00 5kx +1 leg95.86
sfrx6 9581 9587 9593 c treepaper paid .5 10kx 1 leg over95.785
sfrz6 9575 9581 9587 9593 c condpaper sold 10k @ 295.85
sfrx6 sfrz6 9575 pspaper paid 1.75 12kx95.79
sfrz6 9581 9593 cspaper sold 5k @ 3.2595.86
sfrz6 9575 9568 9562 p treepaper paid .00 10kx +1 leg95.795
sfrz6 9575 9512 pspaper paid 4.25 5kx95.795
sfrz6 9625 9650 cs (tied 95.825 d05)paper paid .75 8kx95.795
sfrz6 9600 9606 cspaper paid .75 5kx95.82
sfrz6 9568 9556 pspaper paid .5-1 12kx95.80
sfrz6 9581 ppaper paid 4.75-5 50kx95.82-95.835
sfrz6 9556 9568 9581 c flypaper paid 3.25-3.5 15kx95.81
sfrz6 9618 c (tied 95.82 d06)paper paid 1.25 10kx
sfrz6 9575 p (tied 95.81 d35)paper sold 5k @ 3.75
sfrz6 9575 9568 9562 9556 p condorpaper paid 1 10kx95.80
sfrf7 9600 9612 cspaper paid 1.75 10kx95.66
sfrh7 9625 9700 c 2x3 vs sfrm7 9650 9725 c 2x3paper paid .00 20kx - 2 leg in h7 / +2 leg m795.65/95.525
sfrf7 sfrg7 9537 9562 9587 c fly stupidpaper paid 16.25-16.5 3kx95.65
sfrh7 9550 ^ vs 9562 cpaper sold 2500 @ 23.2595.52
sfrh7 9600 9612 cspaper paid 1.75 50kx95.545
sfrh7 9568 9581 9593 c flypaper paid 1.5 10kx95.53
sfrh7 9593 9581 9568 p flypaper sold 5k @ 1.595.52
sfrj7 9475 9500 9562 9587 iron condorpaper sold 5k @ 10.7595.33
sfrm7 9531 ^paper paid 64 2kx95.335
sfrm7 9568 9581 9593 c flypaper paid .95-1 syn 5kx95.405
sfrm7 9537 ^paper sold 4k @ 67.5-66.595.39
sfrm7 9450 9400 pspaper sold 5k @ 495.33
sfrm7 9600 9575 9500 brk p treepaper paid 1 4750x 1 leg over95.335
sfrm7 9500 9450 pspaper paid 10.25 5kx95.38
sfrm7 9625 c (tied 95.39 d16)paper sold 4k @ 11.75
sfru7 9575 c (tied 95.325 d30)paper sold 5k @ 28.25
sfru7 9625 c (tied 95.355-95.365 d18)paper paid 18.25 5kx & (tied 95.29 dd20) paper sold 5k @ 16
sfru7 9650 9700 9750 c flypaper paid 1.75 5kx95.33
sfrz7 9537 ^paper sold 2k @ 99.5-9995.32
sfrz7 9625 cpaper paid 23.5 4kx95.375
sfrz7 9450 9350 ps vs 9650 9700 cs 2xpaper sold 10k .5 to .00 cs over95.39-95.375
sfru8 9537 ^paper sold 2k @ 126-125.595.395
sfrz8 9537 ^paper sold 2k at 133-13295.42
0qx6 9600 c (tied 95.36 d5)paper sold 25k @ .5
0qx6 9531 p (tied 95.38 d40)paper sold 6500 @ 10
0qz6 9575 9600 9625 c flypaper paid 1.5 5kx95.32
0qf7 9600 c (tied 95.415 d21)paper sold 5k @ 7.5
0qh7 9575 p (tied 95.425 d63) vs 3qf7 9562 c (tied 95.52 d44)paper paid 33.5 4kx 0qh7 over
0qh7 9700 cpaper sold 10k @ 3.595.40
0qm7 0qu7 9700 9800 cs stupidpaper paid 9.25 5kx95.45
0qu7 9550 9600 cspaper paid 17.25 5kx95.41
2qz6 9550 9600 9650 c fly vs 0qu7 9550 9600 cspaper paid 8.5-8.75 8kx +0qu795.41 /95.44
2qz6 9600 c (tied 95.425 d10)paper sold 10k @ 3.5
2qh7 9650 c (tied 95.47-95.48 d14)paper sold 5k @ 6

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