EURIBOR OPTIONS: Call Condor buyer

The DMO is likely to announce the agenda of next week's quarterly GEMM and investor meetings in which issuance for FQ2 (July to September) will be discussed.

• We expect the agenda to indicate that there will likely be an index-linked syndication in July (we pencil in the W/C 13 July) and a long-dated conventional syndication in September (we pencil in the W/C 7 September).
• There are 15 auctions scheduled for the quarter (12 conventional and 3 linker). The DMO will give a breakdown of the maturity buckets for the conventional auction dates.
• We expect 5-6 short and 4-5 medium which would also leave at least one long-dated auction. We aren't sure if the DMO if quite ready to resume long-dated auctions yet so it may be that is a consultation topic in itself. We don't get the feeling that there is an overwhelming desire in the market for long-dated auctions, particularly if there is a long-dated syndication in the quarter.
• We don't expect any new short / medium-dated bonds to be launched in FQ2 in our base case.
• The DMO will also announce its provisional tender dates - we expect 3-4 dates to be announced with the DMO roughly sticking to a monthly schedule.
• Note the agenda is not confirmed to be released today, but it normally is 7 days in advance of the meetings.

SOFR & Treasury options trade outlined below. Wing buyers on net after better unwinds late last week. Underlying futures modestly lower, inside narrow overnight ranges. Projected rate pricing vs. late Friday lvls (*): Jun'26 at -1.2bp (-1.5bp), Jul'26 at -2.1bp (-3.1bp), Sep'26 at -2.0bp (-3.2bp), Oct'26 at -0.1bp (-1.1bp), Dec'26 +3.1bp (+1.5bp).

• SOFR Options:
  • +10,000 0QV6 96.06/96.31 put spds, 9.75 ref 96.335
  • +5,000 SFRZ6 96.62/96.75/96.87/97.25 call condor, 0.0
  • +2,000 SFRN6 96.31/96.43/96.56 call flys, 2.25 ref 96.325
  • +2,500 SFRM7 97.50 calls, 8 ref 96.255/0.10%
  • +2,000 SFRU6 96.37/96.50 call spds, 2.25
  • -2,500 SFRM6 96.43 calls, 1.0 ref 96.355
  • 3,000 0QZ6 95.25/95.75 put spds ref 96.325
  • Block, +10,000 0QV6 96.06/96.31 put spds, 10.0 ref 96.325
  • Block, +2,500 SFRU6 98.00 calls, 1.5 vs. 96.34/0.10%
  • -1,500 SFRU6/SFRZ6 96.31/96.43 put spd spds, 0.75 net/Sep over
  • 1,500 0QK6 96.00/96.12/96.37 broken put flys, 13 ref 96.21
• Treasury Options:
  • 2,000 TYN6 109/110.5/112 call flys
  • 4,000 TYM6 110.25 puts, 17 ref 110-20
  • 1,650 FVM6 109.25 calls, ref 107-23
  • +1,600 FVQ6 107/108 call spds, 37
  • +7,000 TYM6 109.5/110.5 put spds, 16
  • +1,000 USM6 113.5/114/114.5/115.5 broken call condors, 5
  • +1,000 FVM6 107.75 straddles, 32 vs. 107-28.5/0.02%
  • -2,250 TYQ6 108 puts, 21 vs 110-10.5
  • +2,100 TUQ6 103.5/103.75 call spds, 7.5
  • -10,000 TYM6 108.5/111 put spds, 36 net ref 110-19
  • TYM6 109 puts, 3 ref 110-18.5
  • -1,500 TYM6 110 puts, 12 vs. 110-17/0.29%
  • 2,500 FVM6 107.25/107.75 2x1 put spds, 4 ref 107-23.25

• MNI: US NAR: APR EXISTING HOME SALES 4.02M SAAR