FOREX: GBPUSD Probing Trendline Support

• Tsys extended lows in the last few minutes (TYU5 -6.5 at 111-30), Bunds following similar decline and modest bounce (RXU5 128.85 low, 128.88 last -.56).
• Heavy Treasury volumes tied to the Sep/Dec roll with Dec taking lead this Friday. Sep futures don't expire until next month: 10s, 30s and Ultras on September 22, 2s and 5s on September 30. Meanwhile, Sep'25 Tsy options will expire LAST Friday, August 22.
• Initial technical support at 111-13 (50-day EMA), a clear break of this average would expose support at 110-23+, the Aug 1 low.

• Secured Overnight Financing Rate (SOFR): 4.36% (+0.04), volume: $2.738T
• Broad General Collateral Rate (BGCR): 4.35% (+0.04), volume: $1.143T
• Tri-Party General Collateral Rate (TCR): 4.35% (+0.04), volume: $1.118T
• (rate, volume levels reflect prior session)

SOFR & Treasury options volumes rather modest ahead of the NY open - partly tied to London bank holiday today. Heavy futures volumes (TYU5 near 600k already) largely ties to Sep/Dec rolling, % complete over a third coming into the session. Underlying paring a small portion of Friday's post-Powell speech support. Un turn, projected rate cuts have cooled vs. late Friday (*) levels: Sep'25 steady at -21.2bp, Oct'25 at -34.1bp (-33.1bp), Dec'25 at -52.9bp (-55.1bp), Jan'26 at -65.6bp (-68.6bp).

• SOFR Options:
  • over 11,100 SFRU5 95.93 puts, 7.0 last
  • over 7,400 SFRU5 95.81 puts, 2.25 last
  • 6,000 SFRU5 95.87 calls 5.75 last
  • 4,000 SFRV5 96.06/96.18 put spds vs. 96.43 calls ref 96.21.5
  • 7,600 SFRV5 96.25/96.37 call spds ref 96.22
• Treasury Options:
  • 2,000 USX5 109/112 put spds
  • over 5,700 TYV5 110 puts, 6 last
  • over 3,700 TYV5 113 calls, 23 last
  • 1,500 wk5 TY 111/111.5/111.75/112 broken put condors ref 112-04.5, exp Fri
  • 2,000 FVX5 108/108.25/108.75 put trees ref 109-05