EURGBP TECHS: Fresh Cycle High

SOFR and Treasury option flow remained rather light Monday, cash closed due to Columbus Day holiday. Underlying futures are mixed, short end mildly firmer while projected rate cut pricing rises vs. late Friday levels (*): Oct'25 at -24.7bp (-24.2bp), Dec'25 at -48.1bp (-47.9bp), Jan'26 at -61.0bp (-60.2bp), Mar'26 at -73.5bp (-72.3bp).

• SOFR Options
  • 3,000 SFRZ5 97.00/97.50/98.00 call flys ref 97.025
  • +6,000 SFRZ5 96.18/96.31/96.50/96.62 call condors, 8.0 ref 96.36
  • +10,000 SFRZ5 96.56/96.75 call spds, 1.5 ref 96.36
  • -4,000 SFRM6 96.82/97.25 call spds, 10.0 ref 96.80
  • -1,500 0QX5 97.00 straddles, 22 ref 97.005
  • +5,000 SFRZ5 96.12/96.25/96.31 put trees, 0.75 ref 96.36
  • Block, 8,000 SFRH6 97.12/97.25 call spds, 1.0 vs. 96.565/0.04%
  • 1,500 SFRH6 97.00/97.50/97.75 broken call trees
  • over 5,000 SFRZ5 97.00 calls outright ref 96.36 to -.635
  • 1,800 0QZ5 97.18 calls, 9.0 ref 97.00
  • over 7,875 SFRZ5 96.50/97.00 1x2 call spds ref 96.36
  • 2,000 SFRZ5 96.12/96.25 put spds ref 96.355
  • 2,100 SFRZ5 96.25/96.31/96.50/96.56 call condors ref 96.355
  • 1,500 SFRZ5 96.31/96.50 call spds ref 96.35
• Treasury Options:
  • 2,000 TYX5 111.5/112/112.25/112.75 put condors, 5 net ref 113-00.5
  • 2,000 TUZ5 103.87/104.37/104.5/104.87 put condors ref 104-10.88
  • 2,500 TUZ5 104.62 calls, 6 ref 104-10.75
  • 3,000 FVX5 108.75/109 2x1 put spds, 11 ref 113-02.5
  • 1,100 TYX5 112/112.5/113/113.5 put condors ref 113-01.5
  • 1,500 TYX5 114/115 call spds ref 113-02
  • over 4,500 TYX5 113.5 calls, 16 ref 113-01.5
  • 1,000 USX5 117/117.5/118 call flys ref 117-24
  • 2,600 TYX5 112.5 puts, 13 ref 112-31.5
  • 1,600 TYX5 109.5 puts, 1 ref 112-31.5
  • over 8,300 TYZ5 112.5 puts, ref 113-00

Periphery/semi-core EGBs outperformed Monday amid a broader fall in yields.

• Core yields ticked higher in early trade, with Friday's late fall triggered by escalation in US-China trade tensions fading after conciliatory tones over the weekend.
• From there, core FI regained ground and bid despite an equity recovery, with global price action thinned by North American holidays. Periphery/semi-core EGB spreads tightened on the day.
• Friday's news after the cash close that French President Macron had reappointed Lecornu as PM may have curtailed further OAT/Bund compression but OATs closed Monday roughly in line with peer credits.
• BOE's Greene noted a case for higher-for-longer rates and skipping a cut, in line with prior remarks.
• German instruments outperformed UK counterparts out through the 10Y segment, with Gilts stronger in the long-end.
• Tuesday's highlight is UK labour market data - MNI's preview is here. We also get the German ZEW survey and appearances by BOE's Bailey and Taylor, and ECB''s Makhlouf, Kocher and Villeroy.

Closing Yields / 10-Yr EGB Spreads To Germany

• Germany: The 2-Yr yield is down 1.5bps at 1.944%, 5-Yr is down 1.9bps at 2.217%, 10-Yr is down 0.8bps at 2.636%, and 30-Yr is down 0.1bps at 3.224%.
• UK: The 2-Yr yield is down 0.8bps at 3.95%, 5-Yr is down 1.7bps at 4.101%, 10-Yr is down 1.7bps at 4.658%, and 30-Yr is down 0.9bps at 5.463%.
• Italian BTP spread down 2bps at 79.8bps / Spanish down 0.9bps at 54.4bps

• Stocks well bid late Monday, but still recovering only about half of Friday's sell-off, prices are back near the top end of the day's range after some sporadic profit taking ahead midday. Overall trade was relatively subdued due to the Columbus Day holiday.
• Currently, the DJIA trades up 575.86 points (1.27%) at 46,057.31, S&P E-Minis up 98 points (1.49%) at 6,693, Nasdaq up 467.7 points (2.1%) at 22,674.98.
• Information Technology and Materials sector shares continued to lead the rally, semiconductor makers outperforming: ON Semiconductor Corp +10.47%, Broadcom Inc +9.76% after reports of an accelerated AI chip deal with OpenAI, Monolithic Power Systems +9.25%, Microchip Technology +6.97% and HP Inc +6.58%.
• Materials sector gainers included Albemarle Corp +8.25% apparently on a short squeeze tied to lithium mining, Freeport-McMoRan +5.16%, Newmont Corp +4.72%, Dow Inc +4.02% and DuPont de Nemours +3.65%.
• Conversely, Consumer Staples and Health Care sector shares led declines in the first half: J M Smucker Co -2.93%, Altria Group -2.52%, Monster Beverage -2.43% and Kenvue -2.16%. Pharmaceuticals weighed on the Health Care sector: Humana -2.02%, Eli Lilly & Co -1.31%, Regeneron Pharmaceuticals -1.28% and Edwards Lifesciences -1.27%.