EURIBOR OPTIONS: ERU6 97.9375 Puts Sold

• Treasury futures scale back support - still hold overnight range after ADP NER Pulse weekly employ +11,500 vs. +16,250 prior
• Currently, TYH6 trades 112-15 (+4.5) vs. 112-11.5 low / 112-17 high.
• Curves mildly steeper: 2s10s +.379 at 65.778, 5s30s +.101 at 112.297.
• Bbg US$ index near lows: BBDXY at 1201.80 -4.07.

SOFR & Treasury option volumes very limited overnight volume, any accounts present ahead of the Christmas holiday are plying the sidelines ahead of this morning's data. Underlying futures unwound Monday's losses overnight, currently near Friday's close. Projected rate cut pricing gains slightly vs. late Monday levels (*): Jan'26 at -4.4bp, Mar'26 at -14.8bp (-14.3bp), Apr'26 at -21.9bp (-21.5bp), Jun'26 at -34.8bp (-34.1bp).

• SOFR Options:
  • 4,200 SFRM6 96.62/97.00 strangles, 18.5 ref 96.695
  • 4,600 SFRG6 96.50 calls, 6.0 last
  • -2,000 SFRH6 96.18/96.37/96.43/96.68 put condors, 15.25 ref 96.495
• Treasury Options:
  • +1,000 TYH6 112.5 calls, 49 vs. 112-14.5/0.45%
  • +1,700 TYH6 113.5 calls, 27 ref 112-16.5/0.30%
  • over -4,700 TYG6 110.5 puts, 3 last
  • 2,100 USG6 113 puts, 19 last

OI data points to a third consecutive session of net long cover in gilt futures as the contract softened on Monday, with OI now ~16.5K or ~1.4% lower than levels seen on Tuesday of last week.

• We have previously pointed to relatively low conviction trade (as evidenced by OI data) in the post-Budget window. This adds credence to that idea.