NATGAS: Norway Gas Outages Revision

• 12,000 SFRU5 96.00/96.25 call spds 3.25 ref 95.95 at 0733:30ET

SOFR & Treasury options paired on modest overnight volumes, SOFR leaning towards upside calls at the moment. Underlying futures paring overnight gains, TYU5 -4 at 112-08 after climbing to May 30 highs overnight (112-15.5). Projected rate cut pricing pulling back from late Monday (*) levels: Sep'25 at -22.9bp (-23.2bp), Oct'25 at -39.6bp (-40.6bp), Dec'25 at -59.5bp (-61.4bp), Jan'26 at -71.1bp (-73.6bp).

• SOFR Options:
  • over 8,000 SFRU5 96.00 calls, 5.0 last ref 95.935
  • 2,000 SFRU5 95.87/96.00 combos ref 95.935
  • 1,750 0QZ5 97.00/97.12 call spds ref 96.95
  • 9,300 SFRZ5 96.25/96.37/96.50/96.62 call condor ref 96.27 to -.265
  • 1,700 SFRU5 95.75/95.87 put spds, ref 95.935
  • 2,000 SFRU5 95.75/95.81/95.87/95.93 put condors ref 95.945
• Treasury Options:
  • 1,000 TYV5 104.5/107.5 3x1 put spds ref 112-08.5
  • 7,900 wk2 TY 112 puts, 9 last ref 112-10.5 (exp 08/08)
  • over 4,200 TYU5 113.5 calls, 13 last
  • 2,500 TYU5 112/113 call spds, 28 ref 112-14

Spanish headline IP rose 1.0% M/M in June, above the four-analyst strong consensus of -0.1% (range: -0.8% to +0.5%) and +0.5% prior (from 0.6% initial).  

• 3m/3m IP growth was 0.8%, the highest rate since December 2024 and above May's 0.6% and April's 0.7%.
• While recent IP strength is consistent with expansionary PMI data, the July manufacturing PMI report did note a softening in confidence amongst Spanish producers due to "uncertainty in global markets and the hard to predict outlook for the world economy, especially in relation to trade".
• In June, there was a 1.5% M/M rise in capital goods production, with intermediate goods rising 1.4%. Energy posted a 4.3% M/M increase (vs 2.2% prior), while consumer goods production was softer at 0.1% M/M.