ITALY: Bank of Italy Leaves 2025 and 2026 GDP Forecasts Unchanged

Still looking ahead to Next Week's Equity Option Expiry in Notional Term, these will of course change and the focus will be on Gamma Flows at expiry.

• SPX: $3.31T.
• NDX: $117.51bn.
• Amazon: $19.66bn.
• Apple: $24.26bn.
• SX5E: €328.50bn.
• SX7E: €21.16bn.
• DAX: €83.88bn.
• UKX: £26.25bn.

Post-CPI SOFR & Treasury options volume gains, option desks reporting two-way puts, vol sales and buying in 5Y midcurve calls. Projected rate cut pricing back in play vs. morning levels (*) as follows: Jun'25 steady at 0.0bp, Jul'25 at -4.6bp (-3.6bp), Sep'25 at -19.7bp (-16.6bp), Oct'25 at -32.6bp (-28.1bp), Dec'25 at -49.4bp (-43.1bp).

• SOFR Options:
  • -6,000 SFRN5 95.75 puts, 1.0
  • +4,000 SFRU5 95.50 puts, 0.5 ref 95.84
  • -3,000 2QH5 96.37 straddles 72.5 ref 96.37
  • -2,500 SFRZ5 95.25/95.50/95.75 put flys, 3.5 ref 96.07
  • +4,000 SFRZ5 97.00 calls, 6.0 ref 96.06
• Treasury Options:
  • +10,000 wk1 FV 109/110 call spds, 5
  • -5,000 TYQ 112 calls 23 ref 110-17.5, 5.84% appr implied vol
  • 1,500 TYN5 109.52/109.75 put spds

EQUITY ROLL PACE: This should start to pick up into next Week, triple Witching is Friday the 20th.

• SPX: 6%.
• NDX: 3%.
• DOW: 2%.
• VGA: 4%.
• DAX: 2%.
• FTSE: 2%.