US TSY OPTIONS: Late Feb'26 10Y Strangles

Italy has announced it will be looking to sell the following at its auction this Thursday, November 27:

• E2.25-2.75bln of the 2.85% Feb-31 BTP (ISIN: IT0005671273)
• E2.25-2.75bln of the 3.45% Feb-36 BTP (ISIN: IT0005676504)
• E3.5-4.0bln of the new 0.80% Apr-35 CCTeu (ISIN tba)

• An extension of gains for the major equity benchmarks (Nasdaq now up over 2%) is having very little impact on currency markets today, with the likes of AUD, NZD and CAD all holding within 0.1% of Friday’s closing levels.
• We pointed out earlier that this week’s collection of mostly September US data and the Thanksgiving holiday could highlight the risks may be tilted towards further short-term greenback strength, and JP Morgan lean that way. JPM remain selectively long of the USD as long as the DXY remains above the 200DMA. They acknowledge that conviction is not very high given the noisy price action as of late, and the holiday week in the US / potential for month-end flows to happen on a different schedule than normal only serve to add to uncertainty.
• Amid the supportive tone for the greenback, USDCAD has spent the majority of Monday’s session consolidating back above 1.41, which keeps a bullish theme intact. Sights are on 1.4140, the Nov 5 high as the next important resistance. Note too that the top of the bull channel, drawn from the Jul 23 low, has moved up to 1.4185 and also represents a key resistance.
• Scotiabank note the failure to respond to the more supportive rate backdrop underlines the CAD’s lack of broader appeal for investors currently and leaves spot trading well above their estimated fair value (1.3940). Sentiment remains soft amid trade headwinds and anxiety over the risk backdrop.
• Q3 and September GDP highlights the Canadian calendar this week (due Friday), with the annual growth rate expected to decline a tenth to 0.6% Y/y.

The latest December'25 to March'26 Tsy quarterly futures roll volumes are outlined below, percentage complete mostly above 60% with huge jump in 30Y Ultra-Bond at 75% complete ahead this Friday's "First Notice" date: Current roll details:

• TUZ5/TUH6 appr 1,177,200 from -6.25 to -5.87, -6.0 last; 67% complete
• FVZ5/FVH6 appr 1,170,500 from -3.0 to -2.75, -2.75 last; 62% complete
• TYZ5/TYH6 appr 1,032,700 from 1.5 to 2.0, 1.5 last; 58% complete
• UXYZ5/UXYH6 822,500 from 4.25 to 4.75, 4.25 last; 63% complete
• USZ5/USH6 434,200 from 11.5 to 12.75, 12.0 last; 60% complete
• WNZ5/WNH6 appr 1,397,800 from 9.25 to 10.5, 9.5 last; 75% complete
• Reminder, Dec'25 futures don't expire until next month: 10s, 30s and Ultras on December 19, 2s and 5s on December 31. Meanwhile, Dec'25 Tsy options will expire this Friday, November 21.