US DATA: Non-Housing Services Categories, Ex-Auto Goods Drive Core CPI Dip

Moderate SOFR & Treasury option flow leaning towards low delta put structures underlying futures trade mixed, well off early overnight lows, curves steeper (2s10s +2.472 at 72.903). Projected rate cut pricing looks steady to slightly higher vs. late Friday levels (*): Mar'26 steady at -4.8bp, Apr'26 steady at -9.6bp, Jun'26 at -25.1bp (-24.1bp), Jul'26 at -34.1bp (-32.6bp).

• SOFR Options:
  • +12,500 0QG6 96.75 puts, 1.0 vs. 96.865/0.10%
  • +5,000 0QM6 96.25 puts, 2.0 ref 96.40
  • 1,500 SFRH6 96.37/96.50 1x2 call spds
  • Block, 5,000 SFRJ6 96.75/96.93 call spds, 2.5
  • 2,000 0QG6 96.87 puts ref 96.855
  • -5,000 SFRH6 96.31/96.37/96.43 iron flys, 3.75 ref 96.39
  • 2,350 SFRJ6 96.31/96.43 put spds, 1.0 ref 96.60
• Treasury Options:
  • 7,500 TYH6 112 puts, 23 last ref 111-28.5
  • +1,000 TYH6 112 straddles, 41
  • -3,500 TYH6 111.75 puts, 15
  • +5,000 wk2 TY 110.5/111.5 put spds, 5.0 ref 112-00
  • +4,500 FVJ6 107.75/108.25/108.50/108.75 broken put condors, 1 vs. 109-05/0.02%
  • -1,800 USH6 115/116/117/119 broken call condors, 18 vs. 115-01/0.12%
  • 2,500 wk2 TY 111.5/112.25 2x5 call spds, 23 (exp 02/13)
  • +1,500 TYJ6 112.5 calls 26 vs. 111-25.5/0.32%
  • +1,750 Wednesday wkly 10Y 111.75 puts, 11 (exp 02/11)

SFIH6 96.50^, bought for 5.75 in 4k.

Slovakia has announced it will be looking to sell the following at its auction next Monday, February 16:

• the 3.00% Nov-31 SlovGB (ISIN: SK4000026241)
• the 3.625% Jun-33 SlovGB (ISIN: SK4000023230)
• the 0.375% Apr-36 SlovGB (ISIN: SK4000018958)
• the 3.625% Nov-37 SlovGB (ISIN: SK4000028304)