US DATA: Core PCE Unrounded - Upward Revisions Earlier In The Quarter
A 2-3bp miss for June core PCE with yesterday's Q2 upward revisions instead concentrated in May (+3bps) and April (+4bps)
- M/M (SA): 0.256% in Jun (vs BBG cons 0.3 median, MNI unrounded 0.28 av)
- Follows 0.213% in May (initial 0.179%), 0.18% in Apr (initial 0.136%)
- Y/Y (SA): 2.793% in Jun (cons 2.7) from 2.758% in May
To be clear, that's specifically a miss for the June M/M, not the entirety of new info for core PCE (which we knew would be revised higher after yesterday's Q2 advance)
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CROSS ASSET: Selling Orders are emerging in Treasuries
- Some order flow are hitting the Treasuries, but nothing big, TYU5 is sold in 4k, FVA 3k, USA 1k.
- US Emini is seeing some small momentum selling, now targets Yesterday's low at 6223.25, which is also Yesterday's Open.
- This is helping the USDJPY back at the 143.00 figure, but all within ranges across multi Assets.
US TSYS: Early SOFR/Treasury Option Roundup: Call Plays Up as Est Rate Cuts Rise
SOFR & Treasury option volumes turning heavy in the lead up to the NY open, better put interest earlier. Some large at-the-money call condors in Sep'25 SOFR, 5Y midcurves with various dealers upping their rate cut calls (GS sees 3 by Dec). Underlying Tsy futures firmer, SOFR mixed with front end firmer after decent buying over the last hour. Projected rate cut pricing gaining vs. late Monday (*) levels: Jul'25 steady at -5.3bp, Sep'25 at -29.3bp (-28.6bp), Oct'25 at -47.3bp (-46.3bp), Dec'25 at -68.4bp (-66.8bp).
- SOFR Options:
- +5,000 SFRU5 96.00/96.25/96.50 call flys, 4.0 vs. 95.985/0.15%
- Block, 10,000 SFRH6 96.00/96.50 put spds, 18.0
- over +45,000 SFRU5 95.87/95.93/96.00/96.12 broken call condors, 0.0 ref 96.00
- 2,000 0QN5 96.68/96.87 put spds ref 96.94
- 2,000 SFRN5 96.00/96.25 call spds ref 96.005
- Block, 12,000 SFRQ5 96.00/96.12/96.25/96.37 call condors, 2.5 ref 96.005
- Block/screen 6,000 SFRU5 95.68/95.75/95.87 2x3x1 put flys, 1.25 net
- 4,000 0QN5 97.06/97.18 call spds vs. 96.68/96.81 put spds, 0.5 net - call spd over
- +4,000 SFRZ5 96.00 straddles, 48.0 vs. 96.35/0.52%
- +2,000 SFRQ5 95.81/95.87/96.00 broken put trees, 4
- +8,000 SFRU5 96.00/96.12 put spds, 8.5 ref 96.00
- +2,000 SFRZ5 96.00/96.25 2x1 put spds, 3.25 ref 96.325
- Treasury Options:
- 10,000 TYU5 108/110 put spds, 12 ref 112-07.5
- -15,000 wk1 FV 109.25/109.5/109.75/110 call condors, 3.5 vs. 109-03.5/0.10%
- +2,500 FVU5 105/106.5 put spds, 2.5 vs. 109-01.25/0.04%
- +5,000 TYQ5 112.5 calls, 39 vs. 112-10/0.46%
- +2,000 TYQ5 110.5/112 call spds vs. 109.5/111.5 put spds, 50 net vs. 112-10/0.54%
- +2,000 TYQ5 109 puts, 3 ref 112-04/0.08%
- +2,500 TYU5 109.5 puts, 13
- -1,500 FVQ5 108.5 puts, 14.5 vsd. 109-01.5/0.29%
- +5,000 TYU5 107/108 put spds, 2 ref 112-10.5
- +10,000 FVQ5 108 puts, 6.5 ref 109-03.25
- +2,000 TYQ5 113.25 calls, 23 vs. 112-10/0.60%
- +5,000 wk1 TY 111.25/111.5 put spds, 3 vs. 112-04.5/0.10
JPY: FX Exchange traded Options
FX Exchange traded Option, looking for Yen Upside, covers all the July CB Meetings, even the BoE's 7th Aug meeting.
- JPYUSD (8th Aug) 73.5c, bought for 0.28 in ~1.2k.
- Underlying trades at 70.60.
