EU CONSUMER CYCLICALS: Campari: €27s -6bps, we still see levels as interesting

Option desks report modest SOFR/Treasury put volumes overnight as the US heads into it's 8th day of the government shutdown. Focus on this afternoon's FOMC minutes release for the September meeting. Underlying Tsy futures firmer, extending overnight highs, SOFR futures steady in the short end to modestly higher out the strip. Projected rate cut pricing holding largely steady vs. late Tuesday levels (*): Oct'25 steady at -23.7bp, Dec'25 steady at -45.1bp, Jan'26 at -55.2bp (-55.7bp), Mar'26 at -66.5bp (-66.4bp).

• SOFR Options:
  • 4,000 0QM6 96.00/96.50 put spds vs. 2QM6 95.87/96.37 put spds
  • 2,000 SFRZ5 96.00 puts, 0.5 ref 96.325
  • 3,000 0QH6 97.06/97.18 call spds vs 3QH6 96.75/97.00 call spds on 2x1 basis
  • 4,500 SFRZ6 96.12/96.50/96.75 broken put flys ref 96.94
• Treasury Options:
  • 7,000 wk2 US 112 puts ref 112-25.5 (exp 10/10)
  • 4,000 wk2 US 113.25 calls, 2 ref 112-24 (exp 10/10)
  • 5,000 TYZ5 111/112 put spds ref 112-24
  • 2,000 USX5 114 puts, 7 ref 116-31

• On the commodity front, a bull cycle in Gold remains in play and this week’s breach of $4000.0 reinforces the uptrend. The move higher maintains the price sequence of higher highs and higher lows. Furthermore, momentum studies highlight a condition known as momentum drag - where momentum remains in overbought territory and moves sideways - a bullish signal. Sights are on $4074.54, a 2.500 proj of the May 15 - Jun 16 - 30 price swing. Support to watch is $3775.3, 20-day EMA.
• In the oil space, WTI futures have recovered from the most recent low print - a correction. A bearish theme remains intact. Last week’s sell-off resulted in a move through key support and the bear trigger at $60.85, the Aug 13 low. Clearance of this level strengthens the bear threat and paves the way for an extension towards $57.50, the May 30 low. Initial firm resistance has been defined at $66.42, the Sep 29 high.

DSTA has announced it will be looking to sell E2.0-2.5bln of the 0% Jul-31 DSL (ISIN: NL00150006U0) at its auction next Tuesday, October 14.