US INFLATION: CPI Gasoline Prices Set For Historically Sharp Increase

Slight dip in the US dollar as President Trump appears to refute an earlier report by CBS that Iran is placing mines in the Strait of Hormuz (however the CBS report noted US intelligence had begun to see indications that Iran is taking steps to deploy mines, not that they have actually placed mines).

• @realDonaldTrump on Truth Social: "If Iran has put out any mines in the Hormuz Strait, and we have no reports of them doing so, we want them removed, IMMEDIATELY! If for any reason mines were placed, and they are not removed forthwith, the Military consequences to Iran will be at a level never seen before. If, on the other hand, they remove what may have been placed, it will be a giant step in the right direction! President DONALD J. TRUMP"

Tuesday's US rates/bond options flow included:

• TUK6 104.50/104.75 call spread vs. TUK6 103.75 puts 2K blocked at 0-00, buying the call spread and selling the puts
• SFRM6 96.50/96.62cs, traded 3.25 in 4k.
• SFRM6 96.43/96.50/96.56c fly, traded 0.25 in 1.5k.
• SFRM6 96.25/96.00ps 1x2, bought for 0 in 4k (on screen)
• SFRU6 96.75/96.87/96.93 broken c fly, traded 2.25 in 8k.
• SFRU6 9675/96.87cs vs 96.25/96.00ps, bought the cs for 1 in 10k.
• SFRZ6 98.00c, traded 5.5 in 2.5k.
• SFRZ6 96.75/96.87/97.00/97.12c condor, traded 1.75 in 3k.
• SFRZ6 95.81p, traded 2.5 in 6k.
• SFRZ6 96.50/96.25ps, sold at 8 in 4k
• 2QH6 96.81/96.62ps, traded 7 in 2k

Treasuries faded over the course of Tuesday's trade in another volatile session on the geopolitical/energy front.

• After a constructive start following through from Monday's comments by President Trump that the Iran conflict could soon be over, cash yields leaned higher throughout most of the remainder of the day.
• Early afternoon reports of oil tankers moving through the Strait of Hormuz (including one by the US Energy Secretary on X.com saying the US Navy had escorted one such tanker) helped oil take another leg lower.
• However these reports were quickly refuted (Energy Sec Wright deleted his post), with a CBS report on Iran potentially mining the Strait then seeing oil rebound sharply.
• That briefly bear steepened the curve with front Treasury futures touching session lows (112-10) before a modest bounce.
• Corporate supply kept a lid on Treasuries in general, highlighted by Amazon $Bmark 11-Part $37B offering and Salesforce reportedly planning to sell $25B as soon as this week.
• There was also some pressure at the short-end after the 3Y Note auction was one of the weakest in the last year, tailing 1.1bp (after having traded-through for the 6 consecutive auctions prior).
• On the day, the cash curve bear steepened slightly. Latest levels: 2-Yr yield is up 4.4bps at 3.5796%, 5-Yr is up 4bps at 3.7255%, 10-Yr is up 4.6bps at 4.1421%, and 30-Yr is up 6.2bps at 4.7754%.
• Jun 10-Yr futures (TY) up 0.5/32  at 112-12 (L: 112-10 / H: 112-24.5)
• Geopolitics will remain the ongoing focus for markets, but Wednesday's calendar highlight is February's CPI report - MNI's preview is Here.