US NATGAS: Henry Hub Drifts Lower

• Currency volumes across G10 are unsurprisingly subdued considering the intraday range play across G10 FX, with JPY futures ~10% below average for this time of day, EUR futures ~20% below and GBP futures ~30% below.
• Risk and market activity should pick into the second half of the week with the US inflation prints, the 30-year Treasury auction, the UK spending review details and any potential outcomes of the US-China trade talks, but it's doing little to prop up implied vols - one-week JPY vols have dipped below 10 points today for the first time this month (with similar price action in the front-end of the GBP and EUR curves), a level that markets rarely hold below for any sustained period.
• This pressure on the front-end of the vol curve continues to work in favour of the dominant carry trade themes we've noted since US Liberation Day. While the long-held status of JPY as a funding currency has ebbed since last year's intervention, other currencies have stepped in to take advantage of regional dislocations (most recently HKD and CNY), which are compensating for falling policy rates among traditional carry targets such as the MXN, AUD and others.

Tesoro Publico has announced it will be looking to sell a combined E2.0-3.0bln of the following letras at its auction tomorrow, June 10

• the 3-month Sep 5, 2025 letras
• the 9-month Mar 6, 2026 letras

• EUR/USD: Jun10 $1.1300-20(E1.5bln), $1.1400-05(E2.2bln); Jun11 $1.1400(E2.0bln); Jun12 $1.1350(E1.6bln), $1.1395-00(E1.3bln), $1.1440-50(E2.5bln), $1.1500(E2.2bln)
• USD/JPY: Jun12 Y143.85-00($1.0bln)
• AUD/USD: Jun12 $0.6475-85(A$1.1bln)