EU CAPITAL GOODS: Alstom: 1Q26 Sales       

Modest SOFR option volume reported overnight while Treasury options see some decent buying in Au'25 10Y calls. Benign reactions to US bombing 3 Iranian nuclear facilities over the weekend - with lack of a strong response by Iran cited for mildly lower underlying futures, narrow ranges. Projected rate cut pricing steady to mildly cooler vs. late Friday levels (*) as follows: Jul'25 steady at -3.6bp, Sep'25 at -19.5bp (-20bp), Oct'25 at -32.6bp (-33.6bp), Dec'25 at -49.9bp (-51bp).

• SOFR Options:
  • Block, 2,500 SFRQ5 95.87/96.12/96.37 call trees, 2.5 ref 95.885
  • 1,750 0QQ5 96.87/97.37 call spds
  • 2,000 SFRU5 96.00/96.25/96.50 call flys ref 95.88
  • 2,400 0QQ5 96.37 puts ref 96.69
  • Block, 2,500 0QZ5 97.00/97.31 call spds, 8.5 vs. 96.765/0.10%
• Treasury Options:
  • 1,750 wk4 TY 110.25/111.5 call spds, ref 110-29.5, exp 6/27
  • over +27,000 TYQ5 112 calls, 28-27 vs 110-29.5/0.26%, appr vol 6.59%
  • +20,000 TYQ5 112.5 calls, 20 vs. 110-29.5/0.19%, appr 6.71% vol
  • -2,000 TYQ5 111 calls, 48 vs. 110-28/0.47%

• The battle for the worst performing Currency within G10s continues.
• The Kiwi has taken over the Yen as the worst performer, down 1.36% on the day, and NZDUSD will now see the next support at 0.5847, May's low.
• The similar level in the AUDUSD, also May's low, comes at 0.6357 (all prices are according to Bloomberg).

• In the FI space, Bund futures remain in consolidation mode and continue to trade below the Jun 13 high. For now, the latest move down appears to be a correction. Key short-term support to watch lies at 130.12, the Jun 5 low. A break of this level would highlight a stronger reversal and undermine the bullish theme. This would open 129.30, the May 22 low. Key short-term resistance and the bull trigger, has been defined at 131.95, the Jun 13 high.
• A bullish condition in Gilt futures remains intact and the latest sell-off is - for now - considered corrective. Recent gains marked an extension of the breach of resistance at 91.87, the May 20 high. This signals scope for a test of 93.73, a 1.764 projection of the May 22 - 27 - 29 price swing. Note the uptrend is in overbought territory, a deeper pullback would unwind this position. Initial firm support lies at 92.23, the Jun 16 low.