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SOFR Option Weekly Commentary 11/6/26

Today's Non-farm payroll number [+165K] vastly exceeded expectations as the Unemployment Rate lowered to 4.1%. Average Hourly Earnings were 3.1% higher YoY (vs 2.9% expected). November's Univ of Michigan Sentiment Number increased to 51.0 from 48.0 in October. Stocks were higher today after Thursday's massive Post-Election selloff - prompted by fears of a reduction in AI development. The current odds of at least 1 rate hike by year end are 79.1% (up from 68.7% last Friday). The 10Yr is trading @ 4.85%.

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

SOFR Option Trades to Note this Week

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Trade Action Ref
sfrx6 9593 9600 cspaper paid .75 10kx95.85
sfrx6 9600 cpaper paid .5 5kx95.835
sfrz6 sfrh7 sfrm7 9600 9612 9625 c fly strippaper paid 2.5 4kx
sfrz6 9593 9581 9575 9562 p condor (tied 95.86-95.85 d14)paper sold 10k @ 8.5
sfrz6 9587 9593 9600 9606 c condorpaper paid .5 10kx95.85
sfrz6 9575 9581 strangle vs 9593 cpaper sold 4k @ 4.5-4.2595.85
sfrz6 9593 9606 9618 c flypaper paid 1.5 20kx95.83
sfrz6 9700 cpaper paid .75 10kx95.895
sfrz6 9593 call (tied 95.845 d30)paper sold 7k @ 3.5
sfrf7 sfrg7 9537 9562 9587 c fly stupidpaper paid 16.25-16.5 5kx95.74
sfrf7 9550 p (tied 95.675 d34)paper paid 8.25 7kx95.645
sfrz6 9606 9612 9618 9625 c condorpaper paid .18-25 6kx syn95.835
sfrz6 9593 9581 9568 9556 p condorpaper sold 12k @ 10-995.83
sfrh7 9531 9543 9562 9587 c condor (tied 95.65 d10)paper paid 1 5kx
sfrh7 9556 ppaper sold 5k @ 1595.65
sfrh7 9562 ^paper sold 5k @ 33.595.635
sfrh7 9637 9600 9575 brk p treepaper paid 6.75 7500x95.625
sfrh7 9575 9581 9587 9593 c condor (tied 95.645 d04)paper paid 1.25 10kx95.635
sfrh7 9543 9556 9568 c fly (tied 95.655 d05)paper paid 2.5 10kx95.645
sfrh7 9550 9575 9600 9625 c condorpaper paid 9.5 5kx95.63
sfrh7 9562 9587 9612 9637 c condorpaper paid 7.25 10x95.67
sfrh7 9650 cpaper sold 20k @ 3.595.63
sfrh7 9600 call (tied 95.735 d31)paper paid 10.25 10kx
sfrh7 9568 9531 ps (tied 9572 d30)paper paid 11.5 5kx
sfrh7 9775 cpaper paid 1.5 20kx95.74
sfrh7 9575 9587 cspaper paid 4.5 10kx95.72
sfrh7 9475 9500 9562 9587 iron condor (tied 95.74 d16)paper paid 12.25 20kx
sfrj7 9550 ^ (1x) vs 0qh7 9575 c (tied 95.52 d33) (2x)paper paid 14.5 8kx +sfrj7
sfrm7 9500 9450 pspaper sold 12k at 5.5-5.2595.65
sfrm7 9650 9700 9750 9800 c condpaper paid 2.875 20kx95.64
sfrm7 9575 9600 cs vs 9525 9500 ps (tied 95.495 d20)paper sold 10k @ 1 -ps
sfrm7 9625 9662 9700 c flypaper paid 1.5 5kx95.505
sfrm7 9550 ^paper sold 2k @ 6495.50
sfrm7 sfru7 9500 p stupid (tied 95.51 d20) (tied 95.47 d28)paper sold 3k @ 37.75
sfrz7 9612 c (tied 95.515 d33)paper sold 4k @ 28.5
sfrz7 9550 ^paper sold 2k @ 93-94
sfru8 9562^paper paid 123.5 1kx95.575
sfru8 9562 ^paper sold 5k @ 122.5-12195.615
sfru8 100 c (tied 95.63 d05)paper paid 3 3kx95.57
0qx6 9575 9600 9625 c flypaper sold 10k @ 1.2595.54
0qx6 9531 9506 ps vs 9556 c (tied 95.47 d52)paper paid 3.5 15k +c
0qz6 9600 cpaper paid 5.5 10kx95.61
0qz6 9568 9587 9600 9618 c condorpaper paid 4 15kx95.645
0qz6 9556 9581 cspaper sold 5k @ 10.7595.66
0qz6 9600 9550 9500 p flysold 5k @ 2395.54
0qz6 9600 9650 cs (tied 95.52 d12)paper sold 40k @ 2.5
0qh7 3qh7 9612 9662 cs sprdpaper paid 1.5 5kx +0qh795.69/95.72
0qm7 3qm7 9650 9700 cs sprdpaper paid 1 3kx +0qm795.63 9568
0qu7 9550 9600 cspaper sold 15k @ 19.2595.56
2qh7 9562 ^paper sold 2k @ 5395.63
2qm7 9587 9700 cs (tied 95.605 d30)paper sold 4k @ 18

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