US TSYS: Curve Bear Flattens As PPI Casts Slight Doubt On September Fed Cut

• Date $MM Issuer (Priced *, Launch #)
• 07/15 $1.5B *Univision Communications 7NC3 9.375% (upsized from $1B)
• 07/15 $1B *Conagra $500M 5Y +102, $500M 10Y +127
• 07/15 $1B Aecom 8NC3
• Expected this week:
• 07/15 $500M Boots Group 7NC3 (includes GBP & EUR issuance)
• 07/?? $1.5B Kioxia Holdings 5NC2, 8NC3

SOFR & Treasury options saw better put volume Tuesday, outright and spd, as underlying futures rejected the initial post-CPI rally. Focus turns to Wednesday's June PPI data. Curves hold flatter profiles/well off lows, 2s10s -0.067 at 53.072, projected rate cut pricing continues to soften vs morning/pre-data (*) levels: Jul'25 steady at -0.6bp, Sep'25 at -14.1bp (-15.7bp), Oct'25 at -27.1bp (-29.4bp), Dec'25 at -43.7bp (-46.7bp).

• SOFR Options
  • Block/pit, -11,500 SFRU5 95.25/95.75 put spds, 3.5 ref 95.815
  • Block, 5,000 SFRU5 95.68/95.81 2x1 put spds, 4.25
  • Block, -10,000 SFRZ5 96.25/96.50/96.75/97.00 call condors, 4.0 net ref 96.125
  • 1,250 SFRZ5 95.75/95.87/96.25/96.37 call condors
  • Block, +20,000 SFRU5 95.62 puts, cab
  • -16,000 SFRH6 96.00/96.50 put spds 23.75 vs. 96.385/0.30%
  • 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:
  • 13,200 TYV5 108.5 puts, 32 ref 110-08
  • Block, 10,000 TYV5 108/TYX5 107.5 put strip, 54 vs. 110-10/0.20%
  • +10,000 TYV5 113/115 call spds 12
  • Block - adds to below w/ another 18,600 USU5 108 puts, 34-35 with 13,400 at 32 on screen
  • Block, total 22,500 USU5 108 puts, 28-29 vs. 112-09/0.16%
  • 6,500 TYQ5/wk3 TY 110 put spds, 4
  • 5,000 TYQ5 112 calls, 4
  • 2,000 TUQ5 103.25/103.37/103.62/103.75 put condors ref 103-20.38
  • -10,000 TYU5 109.5/112 strangles, 38
  • -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

• +10,000 TYV5 108 put w/ TYX5 107.5 puts, 54 total db vs. 110-10/0.20% at 1446:58ET