US TSYS: Lower Than Expected Sep Jobs Gain Further Tempers Rate Hike Projections

• 10,000 TUV6 102.87 calls, 3 ref 102-17.25
• 25,000 Thu wkly TY 107.25/107.5 put spds (exp 9/3) vs. 50,000 Wed wkly TY 107 puts (exp 9/9)

We have published our preview of the upcoming US Payrolls report, found here: https://media.marketnews.com/USNFP_Aug2026_Preview_232e480aed.pdf 

Refer to the publication for the following: 

• MNI analysis of what to watch for this month, including local government roles and TPS revocation
• Dispersion of analyst views across nonfarm payrolls growth, the unemployment rate and wage growth
• Pertinent detailed comments from analysts across the spectrum of views
• MNI analysis of a range of alternate labor indicators
• A hawkish build-up to the release with US rates hitting fresh hawkish extremes this week

SOFR & Treasury options trade outlined below: better put flow preceded late SOFR call interest with short end underlying outperforming. Projected rate hike pricing cool slightly vs. late Tuesday levels (*): Sep'26 at +16.2bp (+17bp), Oct'26 at +23.2bp (+24.3bp), Dec'26 38.2bp (+39.5bp), Jan'27 44.4bp (45.8bp).

• SOFR Options:
  • +10,000 0QZ6 96.00/96.50 call spds, 7.5
  • +10,000 SFRU6 96.06/96.12/96.25/96.31 Iron Condor 3.0 ref 96.125
  • -4,000 SFRU7 95.00/96.50 strangles, 29.75 ref 95.68
  • +5,000 SFRZ7 94.00 puts, 10.0 vs. 95.70/0.12%
  • Block 6,250 SFRZ7 96.25/96.75/97.25 call trees, 2.0 net
  • -7,000 SFRH7 96.12/96.31/96.50 put flys, 2. ref 95.765
  • -2,000 SFRH8 95.75 straddles, 93.0 ref 95.755
  • +10,000 SFRV6 96.18 calls vs SFRZ6 96.18/96.31 call spds, 1.0 net - SFRZ6 over
  • +2,500 SFRU6 96.18/96.25 1x2 call spds, 1 net
  • +10,000 SFRU6 96.12/96.18 call spds, 1.37 ref 96.125
  • -2,500 SFRZ6 96.12/96.3125/96.50 put flys, 3.0 vs. 95.895/0.10%
  • +2,500 2QU6 95.62/95.75 put spds, 3.0 ref 95.785
  • +5,000 SFRU6 96.12/96.18/96.25 call flys, .875 ref 96.125
  • -2,000 2QU6 95.87/96.00 5x4 put spds, 30.5 net (95.78
  • +20,000 SFRZ6 95.75/96.00 put spds, 12.5
  • 1,500 SFRV6 95.18/SFRH7 95.25 put spds, 8.5/Mar over
  • +1,250 0QU6 95.37/95.50/95.62 put flys 1.5 over 0QU6 95.81/95.87 call spd
  • 2,000 SFRV6 96.12/96.18/96.25 call flys
  • 1,000 SFRM7 96.25/96.50/96.75/97.25 broken call condors ref 95.68
  • 1,500 SFRZ6 95.93/96.06 strangle vs 0QZ6 95.75/96.25 strangle spd, 4 net/0QZ over
• Treasury Options:
  • 5,350 wk3 TU 102.12/102.25/102.50/102.62 put condors (exp 9/18) ref 102-17.5
  • -2,000 FVX6 105/106 strangles, 42
  • 2,800 USV6 107/108 put spds over 110.5/112 call spds ref 108-07
  • 1,200 USV6 110.5/112 call spds, 9 ref 108-02
  • -3,800 wk3 TY 109 calls, 3 ref 107-09 (exp 9/18)
  • -2,000 TYV6 109.5/110.5 call spds, 1.0 ref 107-10
  • +30,000 TYZ6 106.5 puts, 43 ref 107-10.5
  • 2,000 TYZ6 104.5 puts, 15
  • +12,000 TYV6 107 puts, 24 ref 107-11
  • 2,000 TYV6 109 calls, 5 ref 107-11