US TSYS: Late SOFR/Treasury Option Roundup: Jan'26 10Y Call Buying Still Strong
Treasury options leaning toward low delta calls - large Jan'26 buyer resumes, SOFR option volumes remained rather modest. Underlying futures weaker, near middle session range - bit of risk as hopes of ending US Gov shutdown rise after eight Democrats voted with Rep's on CR to fund gov through end of January. Projected rate cut pricing retreats vs morning levels (*): Dec'25 at -15.5bp (-16.3bp), Jan'26 at -25.1bp (-26.1bp), Mar'26 at -35.2bp (-35.8bp), Apr'26 at -41.3bp (-41.6bp).
- Treasury Options:
- 2,200 USZ5 115/119 strangles, 18 ref 116-31
- 1,500 USF6 115/116/117 put flys
- +25,000 TYF6 111.5 puts, 22
- over 52,000 TYF6 113 calls, 42-45, ref 112-23 to -22.5
- 1,300 TUZ5 104.5/104.87 put spds ref 104-05.38
- 1,100 FVZ5 110.75/FVF6 110.5 call spds
- +10,000 TYF5 113.5 calls, 31 (adds to +50k at 27 earlier)
- over 25,500 TY/wk2 TY 112.5 put spds, 11 (TYZ over)
- 5,000 TYZ5 111/111.5/112.5 2x3x1 broken call flys ref 112-21
- +50,000 TYF6 113.5 calls, 27 (last Thursday: +100,000 TYF6 113.5 calls, 30-32 vs. 112-18/0.32%)
- over +/-15,400 TYZ5 113 calls, 16-17 ref 112-19
- over 10,400 TYZ5 112.25 puts
- 3,000 TYZ5 113.5/114 call spds ref 112-19 to -18
- 1,200 TYZ5 110.75/111.75 put spds ref 112-18.5
- 2,300 TYF6 111/112 put spds ref 112-15.5
- -1,500 TYG6 113.5 calls, 39 vs. 112-15/0.35%
- +3,000 wk4 TY 113.5 calls, 11
- +1,000 TYH6 112.5 straddles, 226
- -4,000 wk2 TY 113.25 calls, 3
- +2,000 USF6 130 calls, 1
- 1,000 FVZ5 108.25/108.5/108.75 put flys ref 109-07
- +1,000 FVZ5 109.25 straddles, 34.5
- +3,000 Thu wkly FV 109 puts, 1.5
- 3,400 TYZ5 114.5 calls, 3 ref 112-19.5
- SOFR Options:
- +10,000 0QZ5 96.50/96.62 put spds, 1.5 vs. 96.865 to -.87/0.10%
- 3,000 0QX5 96.87 puts, 4.5 vs. 96.87/0.52%
- 4,000 SFRZ5 96.37 calls, cab
- over 4,000 SFRZ5 96.18 puts, 0.5 last
- 1,000 SFRZ5 96.06/96.12/96.18 put flys ref 96.24
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US: Trump Oval Office Announcement Underway Shortly
US President Donald Trump is shortly due to deliver an announcement in the White House Oval Office. LIVESTREAM The announcement is expected to relate to drug pricing and could follow a similar template to a recent pledge from Pfizer.
- The announcement will be Trump's first press remarks since a market-moving Truth Social statement earlier today in which Trump suggested calling off a meeting with Chinese President Xi Jinping and raising tariffs on China in response to new export controls from Beijing on rare earths. See earlier bullets here and here.
RATINGS: Moody's Completes Periodic Review Of Belgium, No Rating Action
No ratings actions for Belgium from Moody's, which is quoted in a press release on Bloomberg: "Moody's Ratings (Moody's) has completed a periodic review of the ratings of Belgium and other ratings that are associated with this issuer. The review was conducted through a rating committee held on 2 October 2025 in which we reassessed the appropriateness of the ratings in the context of the relevant principal methodology(ies), and recent developments. This publication does not announce a credit rating action and is not an indication of whether or not a credit rating action is likely in the near future."
- There had been some speculation there could be a ratings action - MNI wrote Thursday: "* Moody's on Belgium (Current rating Aa3, Outlook Negative): We expect Moody's to maintain their current stance in the absence of 2026 budget details."
MACRO ANALYSIS: US Macro Week Ahead: No CPI, But Plenty Of Pre-Blackout FedSpeak
Below is the week’s data schedule, with MNI’s annotation of whether or not data will be postponed.
- As we went to press, the Fed announced that next week's Industrial Production data will be postponed (was due to be published next Friday Oct 17) as the data “incorporate a range of data from other government agencies, the publication of which has been delayed as a result of the federal government shutdown.”
- We won’t be getting September CPI as scheduled on Oct 15, but at least the BLS announced it will publish the data on Oct 24.
- As such next week we’ll be looking at some under-covered data points, including the Redbook weekly and Chicago Fed’s CARTS retail sales data (in lieu of the Census Bureau retail sales report), with a little more focus than usual on regional Fed manufacturing indices (NY, Philadelphia).
- Once again, the dearth of tier-one data leaves Fed commentary in focus ahead of the pre-FOMC blackout period: highlights for us are Philadelphia Fed President Paulson making her first comments on monetary policy on Monday since being appointed in the summer, while as always Chair Powell bears watching on Tuesday (we also hear from Bowman, Waller, Collins, Miran, Schmid, and Musalem).
- Additionally we get the latest Beige Book which was already key given the FOMC was already increasingly focused on anecdotal information as it attempts to navigate murky economic waters.
