US-JAPAN: Japan Looks For Leadership Talk With U.S. Later This Month

• Wednesday’s July CPI report will be closely watched by the market after a surprisingly soft June report ended an otherwise strong run through 1H26.
• Senior FOMC members warned that they can’t take much signal from one ready reading after the previously strong run. That includes Chair Warsh along with Governor Waller who explicitly laid out his reaction function ahead of the June release, where he said he would need a couple soft reports to say it’s a signal.
• A second soft report here could bolster the dovish shift in markets since the late July FOMC and renewed Middle East de-escalation but equally a strong report could re-emphasis the concerns from a growing share of the committee on stubbornly high inflation.
• That could especially be the case after the market backlash to the FOMC decision and Warsh’s press conference with curves steepening on questions whether hawkish rhetoric will be met with action.
• We have currently seen unrounded core CPI forecasts in the range of 0.18-0.24% M/M for July after the far weaker than expected -0.02% m/m in June but will of course update in greater detail in the MNI US CPI Preview.
• Thursday then sees the PPI report which will firm up core PCE estimates along with giving the latest update on input cost pressures.

Date                 ET        Impact  Event

08/08/2026        1245                 Fed's Michelle Bowman

11/08/2026        0600     **          NFIB Small Business Optimism Index

11/08/2026        0815     ***        ADP Employment Report

11/08/2026        0855     **          Redbook Retail Sales Index

11/08/2026        1000     ***        NAR existing home sales

12/08/2026        0700     **          MBA Weekly Applications Index

12/08/2026        0830     ***        CPI

12/08/2026        1400     **          Treasury Budget

13/08/2026        0815                 Cleveland Fed's Beth Hammack

13/08/2026        0830     ***        Jobless Claims

13/08/2026        0830     ***        PPI

13/08/2026        0840                 Richmond Fed's Tom Barkin

14/08/2026        0830     ***        Retail Sales

14/08/2026        1000     *           Business Inventories

14/08/2026        1000     ***        UMich Surveys of Consumers

• We have published and e-mailed to subscribers the MNI US Macro Weekly offering succinct MNI analysis across the range of macro developments over the past week and what to watch out for in the week ahead.
• Please find the full report here: https://mni.marketnews.com/4hhavNK

SOFR & Treasury options trade outlined below: mixed & two-way following Thursday's heavy put volumes. Underlying futures bounce (crude dipped) on late headline the US will end Hormuz Strait blockade - once Iran/Oman deal is formerly anncd. But Iran officials anncd yesterday that US and Israel goods and ships will be barred passage. WTI crude is lower anyway (-.34 at $76.95/bbl). Projected rate hike pricing retreat from late Thursday highs (*): Sep'26 at +11bp (+14.4bp), Oct'26 at 17.1bp (21.9bp), Dec'26 28bp (+33.8bp), Jan'27 32.1bp (38.1bp).

• SOFR Options:
  • +5,000 SFRV6 96.00/96.12/96.18/96.31 call condors, 3.25
  • +15,000 SFRZ6 95.56/95.68 put spds, 2.0 ref 96.015
  • -5,000 SFRQ6 96.18/96.31 call spds, 2.0 ref 96.18
  • +5,000 OQX6 96.12/96.50 call spds 2.5 over 95.37/95.75 put spds vs. 95.985/0.40%
  • +10,000 SFRU6 95.87/96.00 put spds, 0.5 ref 96.18
  • -10,000 SFRZ6 95.56/95.81 put spds, 4.75 ref 96.01
  • +5,000 SFRU6 95.87 puts, .5 ref 96.185
  • +10,000 SFRU7 97.00/97.25 call spds, 2.25 ref 95.925
  • 9,000 SFRZ6 96.06/96.18 put spds
  • 1,000 SFRZ6 96.12/96.25/96.37 2x3x1 call flys
  • +25,000 SFRZ6 95.31/95.43/96.06/96.18 put condor vs. 95.62/95.75/96.25/96.37 put condor 1.0 net
  • Block, 5,000 0QU6 95.50/95.68 put spds 2.0 ref 95.945
  • +5,000 SFRZ6 96.12/96.25/96.37/96.50 call condors, 4.25
  • +5,000 SFRZ6 96.37/96.62 call spds, 1.25
  • -20,000 SFRZ6 95.31/95.43/96.06/96.18 put condors, 6.5 ref 96.03
  • +20,000 SFRU6 96.18/96.25/96.31 call flys, 1.75 ref 96.185
  • -2,000 SFRM7 95.25 puts, 11.75 ref 95.94
  • -5,000 SFRH7 97.50/98.00 call spds, 0.75 ref 95.96
  • 4,000 SFRQ6 95.93/96.06 put spds ref 96.15
  • 5,400 0QU6 95.37/96.31 call spd vs. 3QU6 96.00/96.37 call spd spd
  • 2,600 0QQ6 96.00/96.12 call spds ref 95.88
  • 6,000 SFRQ6 96.18/96.31 call spds
  • 3,000 SFRZ6 95.43/95.56 put spds
  • appr 11,000 SFRQ6 96.12/96.25 call spds
  • 10,000 SFRZ6 95.56/95.68/96.06/96.18 put condors ref 95.97
  • 1,500 SFRV6 95.81/96.00/96.12/96.25 broken put condors ref 95.97
  • 1,600 SFRZ6 95.37/95.81/95.87 put trees ref 95.965
• Treasury Options: Note - wk1 options expire today
  • -21,000 TYU6 109 calls, 14 vs. 108-19.5/0.36%
  • +5,000 FVU6 106.5 puts, 22 ref 106-12.25
  • +5,000 USU6 106 puts, 5 ref 109-17
  • -5,000 TYV6 107.5/109.5 strangles, 48
  • 7,800 FVU6 105/105.25/105.5 put trees ref 106-15.75
  • 7,300 TYU6 109.5 calls, 10 ref 108-26.5
  • 19,000 wk2 TY 108/108.5 2x1 put spds, 3 ref 108-28 to -27.5 (exp 8/14)
  • 2,000 FVU6 106.5 straddles, ref 106-14.75
  • Block: +43,073 wk1 TY 108.5 calls, 15 w/ +27,700 wk1 TY 108.5 puts, 9 vs. -15,075 TYU6 108-19.5
  • over 85,300 wk1 TY 108.5 puts, 8 (OI 27,091)
  • Block, 6,854 FVU6 106.75 calls, 9 ref 106-11.25
  • over 11,800 wk1 TY 108.75 calls, 7 last ref 108-18.5 (exp today)
  • 1,300 TYU6 108.5/108.75 strangles vs. TYV6 107/109.5 strangles
  • 20,000 TYU6 108/108.5 put spds, 12 ref 108-17
  • over 12,000 wk5 FV 107 calls, ref 106-07 to -07.5 (exp 8/12)