US TSYS: Late SOFR/Treasury Option Roundup
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)
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Historical bullets
IRAN: Iran to Close Hormuz in Case of Fresh Attacks: Amena Bakr
Amena Bakr posted on X saying that Iran’s Press TV has an informed source who said that Iran would close the Strait of Hormuz in the event of any fresh attacks on Iran
- Concurrently, explosions were heard in Bandar Abbas in the south of Iran, according to Mehr.
JGB TECHS: (U6) Bear Threat Still Present
- RES 3: 133.32 - High Mar ‘26
- RES 2: 130.66 - Low Jan 21
- RES 1: 128.42- High Jun 15 and the 50-dma (cont)
- PRICE: 126.56 @ 20:38 BST Jul 08
- SUP 1: 126.27 - Low May 20
- SUP 2: 125.70 - Low Feb 1999
- SUP 3: 121.49 - 50.0% retracement of the 1990 - 2020 major bull leg
A bearish theme in JGB futures remains intact. The latest move down suggests a recent corrective cycle is over. A continuation lower would expose 126.27, the May 20 low, where a break would confirm a resumption of the primary downtrend. Key near-term resistance has been defined at 128.42, the Jun 15 high. Clearance of this hurdle would highlight a possible S/T reversal and highlight a potential break of the 50-dma - also at 128.42.
US TSYS: Muted React June FOMC Minutes, Focus on Renewed Middle East Tensions
- Hyperbole aside, risk sentiment was chilly early Wednesday after President Trump said the US/Iran ceasefire was over after the two traded strikes since Iran's recent attacks on oil tankers exiting the Strait of Hormuz. Trump threatened additional retaliatory strikes against Iran may come tonight.
- Sentiment warmed slightly after Pres Trump said he didn't think the war with Iran "would start again" when asked about the latest conflict.
- Trump co-opted the NATO summit with many headlines throughout the day: Criticized NATO allies lack of response in Iran, Revives plan to buy Greenland, Says China is trying to take the Panama Canal and will not let it happen.
- The first notable aspect of the minutes to the FOMC's June meeting is that the format is unchanged from prior editions, despite some speculation that new Chair Warsh could push for immediate changes. That said there was a noteworthy if unsurprising shift in the tone of the minutes in a more hawkish direction even if the majority of the Committee didn't appear to have strong conviction on whether the next move would be a cut or a hike.
- The main highlight of the hawkish shift was the revelation (although perhaps unsurprising) that a contingent of "a few" (perhaps 3 members) saw a case for a hike at this meeting but agreed on the eventual rate hold. This is suggestive of a minority that may push for a hike as soon.
- Look ahead to Thursday: China CPI and PPI, ECB minutes and US jobless claims headline an otherwise light calendar, ECB Lagarde & Cipollone at Eurogroup Meeting, Brussels.
