US TSYS: Late SOFR/Treasury Options Roundup: Jul'26 Back to First 25Bp Cut

SOFR & Treasury options flow reverted back to better low delta put volumes over a wide range of expirations and points along the curve (see highlighted 10Y midcurve put trade with explanation below). Underlying futures remain weaker, inside narrow after the FOMC left rates steady. Curves mildly flatter (2s10s -.829 at 65.977; 5s30s -1.145 at 101.763). Projected rate cut pricing has receded slightly vs. late Wednesday levels (*): Mar'26 at -3.5bp (-5bp), Apr'26 at -7bp (-8.7bp), Jun'26 at -19.1bp (-20.7bp), Jul'26 at -26.5bp (-28.4bp).

• SOFR Options:
  • -7,500 2QM6 96.00/96.25 3x2 put spds, 5.5 ref 96.505
  • -5,000 SFRM6 96.37/96.50 call spds, 6.25 ref 96.535
  • +10,000 SFRJ6 96.75/96.87 call spds, 1.25 vs. 96.56/0.05%
  • +15,000 0QU6 96.87/97.25/97.50 broken call flys, 5.25 ref 96.665
  • +3,000 SFRU6 99/100/101 call flys, 1.0
  • +4,000 SFRU6 96.37/96.50/96.62 put flys, 1.25 vs. 96.685/0.05%
  • Update, +5,500 2QH6 96.50/96.75 call spds vs. 3QH6 96.37/96.62 call spds, 3.5-3.25 net steepener
  • +2,500 SFRZ6 96.87/97.00/97.12/97.25 call condors, 2.0
  • +2,500 SFRN6/SFRU6 96.37/96.43/96.50 put tree strip, 1.75 ref 96.715
  • +5,000 SFRH7 96.50/97.00 call spds, 22.0
  • -9,000 SFRH6 96.62 calls, 0.75
  • Block/screen, +9,100 SFRU6 96.37/96.56 put spds, 6.5-6.0 vs. 96.72/0.22%
  • 2,100 SFRU6 96.75 straddles, 32.75 vs. 96.69/0.14%
  • -3,000 0QG6 96.62/96.87 2x1 put spds, 11.5 vs. 96.76/0.50%
  • 2,800 SFRK6 96.56/96.62 call spd vs. 0QK6 96.81/96.87, 0.5 net/short May over
  • +5,000 SFRM6 96.62/96.75/96.87 call flys, 0.75 ref 96.55 to -.545
  • 2,000 SFRH7 95.62 puts, 2.0 96.755/0.05%
• Treasury Options:
  • +50,000 wk5 TY 111.5 puts, paying 7 on the appr 2.5bp out-of-the-money options (TYH6 trades 111-20) that expire this Friday - covering several potential events including a renewed US$ slide, poor 7Y auction (at 1300ET), Fed chair annc (unlikely). Notice a FOMC HIKE not mentioned or expected - though forward guidance at today's meeting has the potential for additional weakness in underlying futures.
  • 2,500 TYJ6 110/111 2x1 put spds, 3 net ref 111-13
  • +31,500 USH6 105 puts, 1 opener - OI 3,459 coming into the session
  • Block, -6,000 TUH6 104.25/104.37 put spds, 5.5 net ref 104-05.37/0.15%
  • over 5,400 TYH6 111.5 puts, 21 last
  • -2,000 TYH6 112 calls, 21 vs. 111-24.5/0.42%
  • +1,000 TYH6 108.75/110.25/111.25 broken put flys, 9
  • +3,000 TYH6 110.5 puts, 7 vs. 111-19.5/0.16%
  • -2,000 FVH6 109.5 calls, 4 vs. 108-24/0.16%
  • 3,000 USH6 114/115 put spds vs. 115 calls

Below is a PDF link to a rough transcript of Powell Press Conference prepared by MNI (unedited - please check against delivery):

ROUGH_TRANSCRIPT_OF_POWELL_JAN_PRESSER_5b11a66948.pdf

In the latest delaying of a potential announcement of Trump's Fed chair pick, US Tsy Sec Bessent has told Yahoo that Trump's pick may come in the next week or so. 

• BlackRock's Rick Rieder is still seen as the leading contender but has cooled since yesterday (37% vs nearer 50% yesterday). The recent cooling follows a Bloomberg story (link) that he "has donated to some of Donald Trump’s most prominent political rivals and Democratic leaders [...] Rieder, an executive at BlackRock, has a long, bipartisan donation history that includes contributions to Nikki Haley’s 2024 presidential campaign, the 2020 bids of Democrats Pete Buttigieg and Cory Booker, and Jeb Bush’s 2016 run, according to Federal Election Commission data of contributions that match his name and employer. FEC records show he did not support any of Trump’s runs in 2016, 2020 and 2024."
• Former Fed Governor Kevin Warsh is still in second place (25%) whilst current Fed Governor Christopher Waller has seen a small boost today (from 8% to 13%) after his dovish dissent at today's FOMC decision.