OIL: China Slows Down Urals Crude Buying: Platts

SEK is once again underperforming the G10 basket, with EURSEK up 0.45% and narrowing the gap to resistance at 11.2784 (Jul 7 high). Clearance of this level would see the cross fully unwind the June flash CPI-induced fall, suggesting markets do not consider the print a serious impediment to future Riksbank easing. We wrote yesterday that an August Riksbank cut still can’t be fully ruled out, with another inflation report still due on August 7 (flash print, final on 14th) and growth data printing softly in recent months. 

• Clearance of the Jul 7 high in EURSEK would expose 11.3203, the 76.4% retracement of the March – April selloff.
• This morning, 5-year ahead money market participant CPIF inflation expectations fell two tenths to 1.8% - the lowest since July 2021. The survey was conducted between June 30 – July 6, so did not include the stronger-than-expected flash June inflation report. The Riksbank will likely need to see several 5-year prints below the 2% target to become concerned about a de-anchoring of inflation expectations, not just in the monthly money market participant survey but also the broader quarterly survey (which includes social partners’ expectations).
• The Swedish macro calendar thins out for the remainder of this week, but we will still pay attention to the Public Employment Service’s June labour market report tomorrow – particularly data on redundancies and vacancies. 

• The greenback is off the European morning lows, but the recovery bounce off the cycle low earlier this month in the USD Index remains intact for now, with no major trend changes into today's CPI print.
• Indeed, overnight vols are higher, but the implied premium is relatively contained into the data. EUR/USD overnight vols are north of 10 points, but shy of recent highs, including yesterday's bid on the US tariff headlines and the early July NFP print.
• Larger option expiries rolling off at today's cut (90 minutes after inflation data) include several large strikes in EUR/USD, which may contain any reaction:

• EUR/USD: $1.1550-70(E2.7bln), $1.1600-15(E1.5bln), $1.1665-70(E680mln), $1.1730(E507mln)
• USD/JPY: Y146.35-50($566mln), Y148.25-30($700mln)
• AUD/USD: $0.6480-00(A$1.6bln), $0.6560(A$631mln)

SOFR options leaned toward downside puts/put spds overnight, mostly Sep'25 expiry, Tsy options more paired with the exception of +20k Aug 5Y put. Underlying futures have retreated from modest late overnight highs, curves twist flatter in the lead up to June CPI inflation data at 0830ET. Projected rate cut pricing have cooled vs late Monday (*) levels: Jul'25 at -0.6bp (-1.2bp), Sep'25 at -15.7bp (-16.2bp), Oct'25 at -29.4bp (-30.7bp), Dec'25 at -46.7bp (-48.9bp).

• SOFR Options
  • 10,250 SFRU5 95.81 puts, ref 95.84
  • +2,000 SFRU5 95.87/96.00/96.06/96.18 call condors, 2.75
  • 2,000 SFRU5 95.56/95.68 2x1 put spds ref 95.85
  • +2,500 SFRU5 95.25/95.75 put spds, 3.5
  • +5,000 SFRZ5 95.75/95.87/96.00 put trees, 2
  • 4,000 SFRQ5 95.75/95.81 put spds
  • Block/screen +14,100 SFRU5 95.62/95.75/95.81/95.87 broken put condors, 0.5
  • +2,500 SFRU5 96.12/96.37 call spds, 1.25
• Treasury Options:
  • -2,500 wk3 TY 111.25 calls, 6 vs. 110-24.5/0.25%
  • -2,000 FVQ5 107.75/108 put spds, 6
  • +3,500 TYQ5 109.75 puts, 5 vs. 110-25/0.08%
  • 2,000 TYQ5 111.5 calls, 9 vs. 110-24.5/0.21%
  • -1,000 FVU5 108 straddles, 104.5 vs. 108-04/0.10%
  • +20,000 FVQ5 107.75 puts, 7.5
  • +4,000 Wednesday wkly TY 111.5/111.75 call spds, 1 ref 110-23.5 to -24.5
  • +10,000 TYQ5 112 calls, 4