FOREX: Crosses Have Additional Focus Given FOMC-Related Greenback Risks

Treasury options leaning toward low delta calls overnight (large Jan'26 buyer returns), SOFR option volume light at the moment. Underlying futures weaker, near middle overnight range - bit of risk as hopes of ending US Gov shutdown rise after eight Democrats voted with Rep's on CR to fund gov through end of January. Projected rate cut pricing retreats in turn vs late Friday levels (*): Dec'25 at -16.3bp (-16.5bp), Jan'26 at -26.1bp (-27.1bp), Mar'26 at -35.8bp (-37.6bp), Apr'26 at -41.6bp (-43.6bp).

• Treasury Options:
  • +50,000 TYF6 113.5 calls, 27 (last Thursday: +100,000 TYF6 113.5 calls, 30-32 vs. 112-18/0.32%)
  • over +/-15,400 TYZ5 113 calls, 16-17 ref 112-19
  • over 10,400 TYZ5 112.25 puts
  • 3,000 TYZ5 113.5/114 call spds ref 112-19 to -18
  • 1,200 TYZ5 110.75/111.75 put spds ref 112-18.5
  • 2,300 TYF6 111/112 put spds ref 112-15.5
  • -1,500 TYG6 113.5 calls, 39 vs. 112-15/0.35%
  • +3,000 wk4 TY 113.5 calls, 11
  • +1,000 TYH6 112.5 straddles, 226
  • -4,000 wk2 TY 113.25 calls, 3
  • +2,000 USF6 130 calls, 1
  • 1,000 FVZ5 108.25/108.5/108.75 put flys ref 109-07
  • +1,000 FVZ5 109.25 straddles, 34.5
  • +3,000 Thu wkly FV 109 puts, 1.5
  • 3,400 TYZ5 114.5 calls, 3 ref 112-19.5
• SOFR Options:
  • 3,000 0QX5 96.87 puts, 4.5 vs. 96.87/0.52%
  • 4,000 SFRZ5 96.37 calls, cab
  • over 4,000 SFRZ5 96.18 puts, 0.5 last
  • 1,000 SFRZ5 96.06/96.12/96.18 put flys ref 96.24

The recovery rally in Bund & gilt futures has stalled after the opening gaps lower were filled and crude oil futures based following a move away from session highs.

• Tsys still the underperformer amongst core global FI markets given optimism surrounding the potential end of the U.S. government shutdown. Tsy spreads vs. Bunds 2.5-3.0bp wider across the curve.
• Peripherals and semi-core EGBs remain tighter vs. Bunds given the more constructive risk backdrop.

• Secured Overnight Financing Rate (SOFR): 3.93% (+0.01), volume: $3.069T
• Broad General Collateral Rate (BGCR): 3.89% (+0.00), volume: $1.216T
• Tri-Party General Collateral Rate (TCR): 3.89% (+0.00), volume: $1.192T
• (rate, volume levels reflect prior session)