EU CREDIT RATING: Bayer: Outlook Negative

SOFR and Treasury options a little more paired overnight, leaning toward SOFR calls with continued buying in Sep call fly. Projected rate cut pricing close to steady vs. late Monday (*) levels: Sep'25 steady at -20.9bp, Oct'25 at -34.1bp (-33.6bp), Dec'25 at -53.5bp (-52.9bp), Jan'26 steady at -64.1bp.

• SOFR Options:
  • 6,600 SFRX5 96.12/96.25/96.50 call trees ref 96.205
  • 2,000 2QZ5 96.12/96.31/96.56 2x3x1 put flys
  • 5,000 0QU5 96.50/96.68 put spds ref 96.795
  • 3,500 SFRX5 96.12/96.25/96.50 broken call trees ref 96.195
  • 2,000 SFRZ5 95.87/96.00 put spds
  • 10,000 SFRU5 96.00/96.12 1x2 call spds
  • 17,000 SFRU5 96.00/96.12/96.25 call flys ref 95.895 (adds to some +60k traded through Mon at .75)
  • (Note: Large late Monday buying in Oct'25 96.50 calls, volume 180,197 saw open interest climb +95,227 to 226,924)
• Treasury Options: (reminder Sep options expire Friday)
  • over 10,200 TYU5 112.5 calls, 2 last
  • over 7,800 TYU5 113 calls, 1 last
  • over 9,000 TYV5 111 puts, 31 last ref 111-19
  • 4,700 TYU5 113 calls, 1 ref 111-19
  • 3,900 TUV5 103.75/104.5 strangles ref 104-01.38
  • 1,500 TYU5 111.5/111.75 2x3 call spds ref 111-16.5
  • 1,250 TUV5 103.5 puts ref 104-01.75
  • 1,750 TUV5 103.75 puts ref 104-01.88

"BESSENT: BIG COMPONENT OF THIS MONTH'S PPI NUMBERS WAS INVESTMENT SERVICES, WHICH MEANS MARKET WENT UP A LOT" - Reuters

• Following the last PPI release, we wrote: "Our proxy for core PCE contributions from typically important PPI categories sees them adding 0.12pps to M/M core PCE in July after 0.03pps in June (hardly revised from 0.02pp prior).
• It's dominated by portfolio management & investment advice adding 0.10pps, on the back of a 5.4% M/M increase after a near unrevised 1.94%. M/M."

• EUR/USD: Aug20 $1.1660-75(E1.3bln); Aug21 $1.1600(E1.3bln), $1.1700(E1.5bln), $1.1750(E1.9bln), $1.1800(E2.9bln)
• USD/JPY: Aug20 Y148.00-10($1.3bln); Aug21 Y145.95-00($1.2bln), Y146.70-80($1.7bln); Aug22 Y147.90($1.4bln)
• AUD/USD: Aug21 $0.6590-00(A$1.8bln)