CPI & Core CPI both came in higher than expected on Tuesday - leading traders to raise the odds of a 25 BP hike to 100% by the FOMC's Dec 9th meeting. The odds of a 50 bp hike by year end are currently 10.3%. The 10Yr is currently trading @ 5.14%.
SOFR Option Vols were mixed this week (see attached spd sheet).
This week’s straddle report is a wide spreadsheet, best viewed full screen.
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| Trade | Action | Ref |
|---|---|---|
| sfrz6 9587 9581 9537 brk p tree | paper sold 5k @ 5 | 95.83 |
| sfrz6 9600 9612 9625 c fly | paper sold 7500 @ .75-.625 | 95.84 |
| sfrz6 9556 9543 p 1x2 | paper paid .5 15kx | 95.715 |
| sfrz6 9556 9550 ps | paper paid .75 15kx | 95.72 |
| sfrz6 9568 9575 9581 c fly | paper sold 7k @ 2 | 95.71 |
| sfrz6 9568 9575 strangle vs 9600 c | paper sold 5k @ 7 | 95.725 |
| sfrz6 9575 p vs sfrf7 9543 9518 ps | paper paid .25-.5 20kx +sfrf7 | 95.72 / 95.47 |
| sfrz6 9600 9575 ps | paper sold 5k @ 22 | 95.72 |
| sfrz6 9556 9550 ps vs 9600 9606 cs | paper paid 1 5kx +ps | 95.70 |
| sfrz6 9575 9581 cs | paper paid .75 5kx | 95.70 |
| sfrz6 9550 9543 ps | paper paid .5 50kx | 95.72 |
| sfrz6 9581 9593 cs | paper paid 1.25 18kx block/scrn | 95.78 |
| sfrz6 9575 9581 cs | paper paid 1 10kx | 95.71 |
| sfrz6 9581 9575 9568 9562 p condor | paper paid 4.25 5kx | 95.72 |
| sfrf7 9543 9531 9518 p fly | paper paid 2 10kx | 95.45 |
| sfrf7 9537 p (tied 95.455 d42) | paper sold 10k @ 9.5 | |
| sfrf7 9575 9550 9525 p fly | paper paid 8.25 10kx | 95.40 |
| sfrf7 9550 9568 9587 c fly | paper paid 2.25 7kx | 95.405 |
| sfrg7 9537 9525 9512 p fly | paper paid 1.75 5kx | 95.45 |
| sfrh7 9525 9537 cs | paper paid 9 15kx | 95.52 |
| sfrh7 9512 p (tied 95.44 d24) | paper sold 10k @ 6.5-6.25 | |
| sfrh7 9550 9575 9600 c fly | paper paid 3.5 10kx | 95.44 |
| sfrh7 9562 p | paper paid 28-28.5 20kx | 95.44-95.45 |
| sfrh7 9537 9525 ps | paper paid 4-5 20kx | 95.48 |
| sfrh7 9643 9656 cs | paper sold 20k @ .5 | 95.69 |
| sfrh7 9543 sfrz7 9537 ^ stupid | paper paid 131.5 2500x | |
| sfrh7 9568 9556 9512 9500 p condor | paper paid 7.5 10kx | 95.45 |
| sfrh7 9537 9531 9525 p fly | paper paid .75 5kx | 95.44 |
| sfrh7 9550 9531 9506 brk p fly | paper paid 4.25 15kx | 95.47 |
| sfrh7 9543 9531 9512 9500 p condor | paper paid 4.5 6kx | 95.43 |
| sfrh7 9525 9550 9600 brk c fly w 9600 9625 cs as a stupid | paper paid 5 25kx | 95.44 |
| sfrh7 9600 9637 cs 2qh7 9600 9650 cs sprd | paper sold 5k @ 2.5 -2qh7 | 95.415 ref 95.41 |
| sfrm7 9543 ^ | paper sold 2500 @ 59.5 | 95.41 |
| sfrm7 9600 9675 9725 brk c fly | paper paid 3.75 5kx | 95.225 |
| sfrm7 9525 9512 ps vs 9581 9593 cs (tied 95.28 d12) | paper paid 3.75 4kx +ps | |
| sfrm7 9650 9700 9750 9800 c condor | paper paid 2.5 40kx | 95.59 |
| sfru7 9550 9500 p 1x2 | paper sold 20k @ 3.5 -2 legs | 96.21 |
| 0qz6 9587 c (tied 95.265 d10) | paper paid 2 8kx | 95.22 |
| 0qz6 9525 9575 9625 brk c fly | paper sold 10k @ 21 | 95.56 |
| 0qz6 9575 9600 9625 c fly | paper sold 5k @ 2.75 | 95.56 |
| 0qh7 9575 9537 9500 p fly | paper sold 15k @ 9.5 | |
| 2qh7 9575 9625 cs | paper paid 6.75 10kx | 95.33 |
| 2qm7 9450 9625 squash (tied 95.365 d25) | paper paid .00 3kx +c | |
| 2qm7 9662 9762 cs (tied 95.535 d10) | paper paid 5 5kx | 95.525 |
| 2qu7 9537 9587 cs (tied 95.44 d40) | paper paid 20 5kx | |
| 2qu7 9650 9750 cs (tied 95.55 d10) | paper paid 7.5 10kx | |
| 3qm7 9600 c (tied 95.64 d30) | paper sold 5k @ 16.5 |
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