EM LATAM CREDIT: Argentina/YPF: U.S. Dept of Justice Support - Positive

Option desks report better SOFR & Tsy call option flow overnight as underlying futures trade above Monday morning highs. Focus on tomorrow's FOMC annc while projected rate cut pricing gains vs. late Monday levels (*) as follows: Jun'25 at 0.0bp, Jul'25 at -3.6bp (-3.1bp), Sep'25 at -19.5bp (-17.4bp), Oct'25 at -32.6bp (-30.6bp), Dec'25 at -48.8bp (-46.4bp).

• SOFR Options
  • 2,000 0QU5 96.75/97.00/97.25 call flys ref 96.68 to -.675
  • 3,000 SFRN5 96.00/96.12/96.75 broken call trees ref 95.885
  • +13,500 SFRQ5 95.62/95.75 put spds 2.5
  • 2,000 SFRZ5 96.37/96.75 call spds vs. 0QZ5 97.25/97.50 call spds
  • +1,250 SFRZ5 96.25/96.37/96.62/96.75 call condors, 1.75 ref 96.13
  • +2,000 0QZ5 97.00/97.31 call spds, 8
• Treasury Options
  • 2,000 TYN5 110.5 straddles, 38.0
  • +2,000 FVN5 108.5 calls, 5 vs 108-03/0.24%
  • +5,000 TUQ5 103/104.125 call over risk reversals, 4 ref 103-20
  • +3,000 FVQ5 107.25/109 call over risk reversal, 1 ref 108-01.5
  • +2,500 TYU5 111.5 calls, 54 vs. 110-22/0.22%
  • +3,000 Wed wkly 111/111.25 call spds, 3 ref 110-18.5 (exp tomorrow)
  • +2,000 FVN5 108.25 calls, 7 vs. 107-31.25/0.30%

The G7 summit in Kananaskis, Alb. concludes later today after working sessions on support for Ukraine and energy security. The notable absence of US President Donald Trump will inevitably limit the ability of G7 leaders and those from the 'outreach partners' attending to achieve their main aims from the summit, given that it is with the US that so many countries are looking to either mitigate the impact of tariffs, ensure continued backing for Kyiv, or looking to influence a de-escalation in the Middle East. 

• The outreach partners (Australian PM Anthony Albanese, Brazilian President Luiz Inacio Lula da Silva, Indian PM Narendra Modi, Mexican President Claudia Sheinbaum, South African President Cyril Ramaphosa, South Korean President Lee Jae-myung, and Ukrainian President Volodymyr Zelenskyy) only due to attend the final stages of the G7 it means that none will have the chance to hold sideline bilateral talks with Trump, dealing a potentially severe blow to their entire aim for attending the summit.
• Albanese would have sought to gain Washington's assurances on AUKUS, for Zelenskyy commitments on military support and further mediation with Russia, for Ramaphosa an easing of tensions evident during his White House visit in May, for Lee and Sheinbaum a first in-person meeting, and Modi and Lula the opportunity to discuss tariffs and efforts to mitigate their worst impacts.  
• With all leaders at the G7 facing US tariffs, the summit could see the G7 and outreach partners seeking closer cooperation to mitigate Trump's actions, rather than looking to make deals with Trump if he had remained there in person.  

• In the FI space, Bund futures traded lower Monday, extending the reversal from Friday’s session high. For now, the move down is considered corrective and 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. 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 Friday’s steep sell-off from the session high is - for now - considered corrective. The move higher last week marks an extension of the recent 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. First firm support lies at 92.11, the 20-day EMA.