BRAZIL: Industrial Production Below Expectations in July

• MNI: US 31 JUL SECURED OVERNIGHT FINANCING RATE 3.66% (+1BP VS PRIOR)
• SOFR PERCENTILES: 25TH 3.64% (+1BP); 1ST 3.60% (UNCH)
• SOFR PERCENTILES: 75TH 3.72% (+2BP); 99TH 3.75% (+2BP)
• US 31 JUL SOFR VOLUME USD 3.205 TLN (3.011 TLN PRIOR)

Access Full Report Here

• President Donald Trump has ‘Executive Time’ at 08:00 ET 13:00 BST, will sign an Executive Order at 13:30 ET 18:30 BST, and has four policy meetings scheduled throughout the day.
• Acting Attorney General Todd Blanche is back on track for Senate confirmation this week after he confirmed in writing that the Department of Justice would rescind the so-called “anti-weaponization fund” and narrow the scope of an immunity deal Trump struck with the IRS.
• The US and Japan confirmed a joint intervention to address excess volatility in the Yen. Treasury Secretary Scott Bessent said the US, "will not hesitate to participate in further joint intervention.”
• The Middle East conflict continues to ebb according to a familiar pattern of escalation and de-escalation. Direct military action is on pause while mediators sound out agreement between Iran and Oman to reopen the Strait of Hormuz.
• Iran’s Foreign Ministry spokesperson cautioned that talks with Oman are not part of broader negotiations with the US and said a deal with Oman would not lead automatically to a reopening of the Strait.
• The Senate is expected to hold a procedural vote at 17:30 ET 22:30 BST to advance a stopgap funding bill to avert a government shutdown in October. The CR is competing for floor time with other key legislation before the Senate breaks for recess.
• Poll of the Day: Two in five Democrats would prefer a candidate who identifies as a democratic socialist. 

Full Article: US DAILY BRIEF

SOFR & Treasury options trade outlined below: leaning towards low delta puts/put spds - two-way with some unwinds overnight. Underlying futures recovering from Friday's retreat - TYU6 back nearing Friday pre-open highs (TYU6 108-16, +16) with crude sliding (WTI -4.95 at $79.72/bbl) after Pres Trump held off on striking Iran over weekend (again) pledging a Hormuz Strait deal is close. Projected rate hike pricing eases vs. late Friday levels (*): Sep'26 at +15.7bp (+16.7bp), Oct'26 at 22.9bp (24bp), Dec'26 33.4bp (+35.9bp), Jan'27 37.4bp (41.5bp).

• SOFR Options:
  • 1,000 0QZ6 96.25/96.62 1x2 call spds vs. 2QU6 96.18/96.43 1x2 call spds
  • Block, 5,000 0QU6 95.50/95.75/96.00 put flys, 7.0 ref 95.805
  • 1,700 0QU6 95.5/95.75/96.00 put flys ref 95.875
  • 1,000 TYU6 108.5 straddles, ref 108-15
  • 5,000 SFRU6 96.06/96.31 put spds, 15.75 ref 96.125
  • 3,000 SFRU6 95.81/95.87/95.93 put flys, cab ref 96.125
• Treasury Options:
  • +1,000 TYU6 108.5 straddles, 1-04
  • over 10,400 wk1 TY 108 puts, 10 ref 108-14.5 (exp 8/7)
  • -20,000 FVU6 106 puts, 17 ref 106-07.5
  • Block, -4,000 TYU6 111 calls, 1 ref 108-13
  • 1,500 TYU6/TYV6 112 call spds
  • over 18,900 wk1 TY 109 calls, 4 ref 108-12
  • -2,000 wk1 TY 108.25 calls, 24 ref 108-11.5 (exp 8/7)
  • -2,000 TYU6 108/108.5 put spds, 13 ref 108-12.5
  • +2,000 TYU6 107/108 put spds, 16 ref 108-12
  • +2,000 TYV6 107 puts, 34 ref 108-02.5
  • +5,000 TYU6 109/109.5/109.75 1x3x2 broken call flys, 4 ref 108-13.5