SOFR: BLOCK: Large Jun'26 SOFR 1Y Strip

Treasury options saw modest put flow on net, SOFR options mixed, two-way, also on lighter volumes ahead of Wednesday's FOMC policy annc. Underlying futures firmer, off late overnight highs, curves bull flatten (2s10s -.973 at 61.937). Projected rate cut pricing largely steady vs. late Friday levels (*): Jan'26 at -0.7bp, Mar'26 at -4.2bp, Apr'26 at -7.7bp (-8.2bp), Jun'26 at -19.2bp (-18.7bp), first full cut priced in at Jul'26: -26.7bp (-25.2bp).

• SOFR Options:
  • +10,000 0QZ6 97.00 calls, 14 vs. 96.645/0.10%
  • +19,000 SFRJ6 97.25 calls, 1.0
  • +45,000 SFRZ6 97.50/98.50 call spds, 3.5 ref 96.74
  • +4,000 SFRG6 96.43/96.50/96.56 call flys, .25
  • +2,000 SFRU6 96.18/96.31/96.43 put trees, 2.75
  • +3,000 SFRM6 96.37 puts, 1.75
  • -3,200 SFRJ6 96.56 calls, 6.25
  • +4,000 0QU6 97.25/97.75/98.25 call flys, 3.0 vs 96.675/0.08%
  • +3,000 SFRZ6 96.00/96.25/96.50 put flys, 4.75
• Treasury Options:
  • 6,000 TYH6 113 calls, 6 ref 111-28
  • -15,000 FVH6 108/108.5 put spds, 7.5 vs. 108-24/0.22%
  • over 5,100 TYH6 112 calls, 24 last
  • +1,500 TYH6 110.75/111.25 put spds, 7 vs. 111-27/0.10%
  • +2,000 wk5 TY 111.25 puts, 3 vs. 111-29/0.08%
  • +2,500 USK6 112 puts, 59
  • 1,600 TYH6 110.75/111.25 put spds ref 111-28
  • -3,000 TYH6 109/112 put spds, 33 vs. 111-27.5/0.51%
  • +4,000 TYK6 112.5 calls, 14 vs. 111-26.5/0.27%

• Date $MM Issuer (Priced *, Launch #)
• 01/26 $4B #Aramco $500M 3Y +60, $1.5B 5Y +80, $1.25B 10Y +95, $750M 30Y +130
• 01/26 $4B #Ecuador $2.2B 8Y 8.75, $1.8B 13Y 9.25%
• 01/26 $2.5B #Goldman Sachs 15NC10 +118
• 01/26 $2B *Fifth Third Bancorp $1B 6NC5 +75, $1B 11NC10 +93
• 01/26 $1B *New York Life $700M 3Y +40, $300M 3Y SOFR+57
• 01/26 $1B #United Airlines 5NC 5.375%
• 01/26 $750M #Tyco Electronics Group $200M 5Y +48, $550M 10Y +70
• 01/26 $500M #Isbank 11NC6 7.575%
• 01/26 $Benchmark Caisse des Dépôts et Consignations (CDC) 3Y +48
• 01/26 $Benchmark Kingdom of Bahrain +8Y Sukuk, 12Y investor calls
• 01/26 $850M BioMarin 8NC3 investor calls

• Stocks continue to gain Monday, SPX eminis and Nasdaq indexes rising to approximate 10 day highs while the DJIA fails to clear last Thursday highs in late trade. Currently, the DJIA trades up 322.03 points (0.66%) at 49,421.74 vs. 49,456.54 high, S&P E-Mini Futures up 43.5 points (0.63%) at 6,989.5, Nasdaq up 138.9 points (0.6%) at 23,640.10.
• Support appeared more driven by position squaring than outright longs extending as markets await the FOMC policy announcement this Wednesday, not to mention a raft of corporate earnings announcements this week.
• Earnings expected early Tuesday: UnitedHealth Group, American Airlines, United Parcel Service, JetBlue Airways, NextEra Energy, Northrop Grumman Corp, Synchrony Financial, Sysco Corp, PACCAR, Boeing, HCA Healthcare, Kimberly-Clark, General Motors, Invesco Ltd and Union Pacific Corp.
• IT and Communication Services sector shares continued to lead advances in the second half, hardware manufacturers buoyed the former: Arista Networks +6.02%, Seagate Technology +4.94%, Oracle +3.80%, Crowdstrike Holdings +3.51%, Akamai Technologies +3.48% and Cisco Systems +3.30%.
• Media and entertainment shares supported the Communication Services sector: Match Group +2.86%, Meta Platforms +2.34%, Paramount Skydance +2.18% and Alphabet +1.92%.
• Conversely, a mix of Consumer Staples and Consumer Discretionary sector shares underperformed in late trade: Darden Restaurants -5.19%, Target -3.50%, Ulta Beauty -3.07%, Chipotle Mexican Grill -2.79%, Tesla -2.56%, Tapestry -2.44%, Dollar Tree -2.22% and TJX Cos -2.01%