FINANCIALS: BBVA - Fitch Positive Watch (BBB+ Pos Fitch IDR)

Mixed SOFR & Treasury option flow leaning towards calls in the former at the moment, underlying futures extending lows at the moment - moderate risk-on as stocks bounce/extend highs. Projected rate cuts through mid-2025 continue to cool vs. Monday morning's highs - still reflect first full 25bp cut still priced in for June. Current levels vs. early morning (*) as follows: May'25 at -8.2bp (-11.6bp), Jun'25 at -28.3bp (-33.3bp), Jul'25 at -49.1bp (-55.4bp), Sep'25 -65.7bp (-72.4bp).

• SOFR Options:
  • Block/screen, +17,250 SFRM5 96.50/97.25 call spds 5.0 ref 96.015
  • 4,550 SFRU5 95.75 puts, 2.75 ref 96.355
  • 1,250 SFRM5 95.68/95.75/95.81 put trees ref 96.025
  • Block, 1,125 SFRU6 96.00/0QU5 96.62 3x2 put spd, 20.0 net/front Sep over
  • 1,000 SFRK5 95.75/95.87/96.00 2x3x1 put flys
  • 2,000 SFRM5 95.81/95.87/95.93 put flys ref 96.025
  • 3,000 SFRM5 96.00/96.12 call spds ref 96.038
  • 2,000 SFRU5 95.25/95.62/95.75/95.81 broken put condors ref 96.39 to -.37
  • 2,000 SFRM5 96.50/97.00 1x2 call spds
  • Block/screen, 9,500 SFRU5 95.62/95.81 put spds ref 96.40
  • 1,000 SFRM5 95.81/95.87/95.93 put flys ref 96.055
  • 10,000 SFRN5 97.00/98.00 call spds vs. 0QN5 97.50/98.00 call spd spd
• Treasury Options:
  • 4,800 TYM5 113 calls, 46 ref 111-21.5
  • 3,000 TYK5 110/110.5 put spds ref 110-22
  • 6,300 TYK5 110 puts, 14 ref 111-21
  • 8,500 TYK5 113.5/115 call spds ref 112-05.5
  • 1,500 TYK5 112.5/114 1x2 call spds ref 112-02
  • 1,200 FVM5 107/107.5 put spds
  • 3,000 TYK 111.25 puts, 32 ref 112-01
  • Block, 4,000 TYK5 112.25 puts 61 vs. 112-03/0.52%
  • over 5,700 TYM5 114.5 calls, 33 last
  • over 5,100 TYM5 108.5 puts, 13 last
  • 2,000 TYM5 113.5/115.5 call spds ref 111-31

OEK5 118/117 put spread, bought for 19.5 in 4.5k

• GBP562.5mln had been available.
• This leaves GBP31.721bln of the gilt in issue.