US TSYS: Heavy Put Volumes as Projected Rate Hikes Gather Momentum

SOFR & Treasury options trade outlined below: cautious two-way flow on net ahead of Thursday's June employ report, upside calls buyer segued to puts in the second half. Projected rate hike pricing moderated vs. morning levels (*): Jul'26 at +6.8bp (+8.4bp), Sep'26 at +20bp (+22.1bp), Oct'26 at +25.8bp (+27.4bp), Dec'26 +35.5bp (+36.7bp).

SOFR Options:
-20,000 SFRU6 95.68/95.93/96.18 put flys, 6.25 to 6.0
+10,000 SFRZ6 95.62/95.75/96.06/96.18 put condors, 5.25 ref 95.96
-6,000 SFRU6 95.81/96.00 put spds, 4.25 ref 96.105
-1,000 0QU6 96.00 straddles, 35.0 ref 96.015
+4,000 SFRQ6 96.18/96.25/96.31/96.37 call condors, 1.75 ref 96.105
+10,000 2QN6 95.93/96.12 put spds, 3.75 ref 96.165
+10,000 SFRU6 95.81/95.87 put spds, 1.5 ref 96.065
+2,000 SFRU6 96.25/96.37 call spds, 2.0 ref 96.06
+20,000 SFRH7 96.25/96.31/96.37 call trees, 0.25 to 0.5
+5,000 SFRV6 96.06/96.12/96.31/96.37 call condors ref 95.93
2,000 SFRU6 96.37/96.50 call spds
+2,000 SFRU6 96.37/97.37/98.37 call fly, 0.75
+3,500 SFRZ6 95.62/95.75/96.06/96.187 put condors, 5
+2,400 SFRN6 95.93/96.06 put spds, 2.5
2,000 SFRZ6 96.12/96.18/96.25/96.31 call condor, .25 vs 95.915/0.05%
2,000 SFRU6 96.25/96.31 call spds, 1.5

Treasury Options:
+10,000 TYQ6 109.5 puts, 25 ref 109-21.5/0.40%
2,100 USQ6 113 calls, 47 ref 112-14
5,000 TUU6 103.37/103.5/103.62 call trees ref 102-31.38
10,000 TYQ6 108.5/109.25 put spds ref 109-16.5
4,800 TYQ6 110/110.5/111/112 call condors ref 109-16.5
+2,000 FVU6 108 calls, 10.5 vs 106-28.5/0.21%
+1,500 FVU6 106 puts, 14.5
-1,700 USU6 99/100 put strip w/ USU6 130 calls, 3 total cr
+1,250 TYQ6 110/111 call spds, 15 vs 109-20/0.25%
+4,000 wk3 FV 106/106.25 put spds 1.5 over wk1 FV 106.5/106.75 put spds
-2,000 wk1 FV 106.5/106.75 put spds, 4.5
+3,750 TYQ6 108/108.5/109/109.5 put condor, 7
+8,900 TYQ6 110.5 calls, 11-12 ref 109-21.5 to -20.5

• RES 4: 187.95 High Apr 17 and the bull trigger   
• RES 3: 187.56 High Apr 30
• RES 2: 186.56 76.4% retracement of the Apr 17 - May 6 bear leg  
• RES 1: 185.86/186.32 High Jun 30 / High Jun 16 and 17
• PRICE: 184.90 @ 16:37 BST Jul 1
• SUP 1: 184.68/183.17 Low Jun 30 / 24
• SUP 2: 182.05 Low May 06 and a bear trigger
• SUP 3: 181.87 Low Mar 16
• SUP 4: 180.81 Low Feb 12 and a key M/T support  

A strong rally this week in EURJPY has resulted in a breach of 185.40, the Jun 22 high. The break cancels a recent bear threat and reinstates the bull theme. This signals scope for a climb towards key S/T resistance at 186.32, the Jun 16 and 17 high. On the downside, a reversal lower would expose support at 183.17, the Jun 24 low. Clearance of this level would suggest potential for a deeper retracement towards 182.05, the May 06 low.

US President Donald Trump is shortly due to deliver remarks from the new Theodore Roosevelt Presidential Library in Medora, North Dakota. LIVESTREAM Today's trip was Trump's maiden flight on the Qatari-gifted Air Force One, a source of some tension with Democrats. 

• AP notes, “On Friday, Trump also plans to visit South Dakota’s Mount Rushmore for Independence Day fireworks, as he did in 2020.”
• Trump gave brief remarks to the press on boarding the plane in Washington DC, noting that, “The stock market is going up every day," and "Price of gasoline coming down rapidly," per the White House press pool.
• Trump added that “We’re getting along very well” with Iran negotiations, but declined to elaborate.
• Earlier today, House Speaker Mike Johnson (R-LA) and dozens of Republican lawmakers sent a letter to Trump urging the White House to let the Jones Act waiver expire as planned in mid-August, to preserve the strength of the US maritime industry.  
• The Washington Examiner reports, "The Jones Act requires vessels transporting cargo between U.S. points to be American-built, American-owned, and American-crewed. Its purpose is to sustain a domestic maritime industry capable of supporting both commerce and national defense."