US TSYS: Early SOFR/Treasury Option Roundup: Put Buyers Pause on Rate Bounce
Markets taking in latest rebound in underlying as crude trades appr $2.75/bbl off overnight highs - some turn a jaundiced eye on earlier Saudi plea for US/Iran to deescalate, US officials expressing optimism. Liquidity certainly improving (TYZ6 over 675k) with the Dec'26 contract extending to 107-17.5 (+5.5) high ahead the NY open. Projected rate hike pricing gaining slightly vs. late Tuesday levels (*): Sep'26 at +16.4bp (+17bp), Oct'26 at +23.6bp (+24.3bp), Dec'26 38.4bp (+39.5bp), Jan'27 44.2bp (45.8bp).
- SOFR Options:
- +20,000 SFRZ6 95.75/96.00 put spds, 12.5
- 1,500 SFRV6 95.18/SFRH7 95.25 put spds, 8.5/Mar over
- +1,250 0QU6 95.37/95.50/95.62 put flys 1.5 over 0QU6 95.81/95.87 call spd
- 2,000 SFRV6 96.12/96.18/96.25 call flys
- 1,000 SFRM7 96.25/96.50/96.75/97.25 broken call condors ref 95.68
- 1,500 SFRZ6 95.93/96.06 strangle vs 0QZ6 95.75/96.25 strangle spd, 4 net/0QZ over
- Treasury Options:
- 1,200 USV6 110.5/112 call spds, 9 ref 108-02
- -3,800 wk3 TY 109 calls, 3 ref 107-09 (exp 9/18)
- -2,000 TYV6 109.5/110.5 call spds, 1.0 ref 107-10
- +30,000 TYZ6 106.5 puts, 43 ref 107-10.5
- 2,000 TYZ6 104.5 puts, 15
- +12,000 TYV6 107 puts, 24 ref 107-11
- 2,000 TYV6 109 calls, 5 ref 107-11
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US TSYS: Extending Highs Ahead NY Open
- Treasury futures are extending highs in the last few minutes as crude prices continue to retreat (despite Iran denying Pres Trump's claim of talks today).
- TYU6 +17.5 to 108-17.5, yield -.0673 at 4.6674%. Technical resistance at the 20-day EMA is at 108-25.5.
- WTI crude -5.62 at %79.05/bbl.
SPAIN AUCTION PREVIEW: On offer this week
Spain has announced it will be looking to sell a combined E5.0-6.0bln of the following Bono / Oblis at its auction this Thursday, August 6:
- the 2.60% May-31 Bono (ISIN: ES0000012Q16)
- the 3.00% Jan-33 Obli (ISIN: ES0000012P74)
- the 3.40% Oct-36 Obli (ISIN: ES0000012S22)
Spain has also announced it will be looking to sell E250-750mln of the 2.05% Nov-39 Obli-Ei (ISIN: ES0000012M69) at that auction.
Additionally, Spain has announced it will be looking to sell a combined E5.5-6.5bln of the following letras at its auction tomorrow, August 4:
- the 6-month Feb 5, 2027 letras
- the new 12-month Aug 6, 2027 letras
MNI: US 31 JUL SECURED OVERNIGHT FINANCING RATE 3.66% (+1BP VS PRIOR)
- MNI: US 31 JUL SECURED OVERNIGHT FINANCING RATE 3.66% (+1BP VS PRIOR)
- SOFR PERCENTILES: 25TH 3.64% (+1BP); 1ST 3.60% (UNCH)
- SOFR PERCENTILES: 75TH 3.72% (+2BP); 99TH 3.75% (+2BP)
- US 31 JUL SOFR VOLUME USD 3.205 TLN (3.011 TLN PRIOR)
