US IG CREDIT UPDATE: Previous Trading Day Recap
• Dealers were net hit on $0.7B paper in yesterday's session.
• Financials and Health Care led dealer buying while Materials and Utilities were top net sold.
• The 1-3 Yr part of the curve was top net bought while dealers top net sold >12 Yr paper.
• By rating, A1-A3 was top net bought while Aaa was net sold.
• Top net bought tickers by dealers were MS, JPM, BAC, ORCL and GOOGL, while T, GS, LYB, AVGO and INTC were top net sold.
• Top 5 active bonds in the session were GOOGL 6.375 '56 (+4), MFCCN 6.146 '41, HSBC 5.21 '28 (+1), QTSODY 6.625 '31 (+0), and SANTAN 5.294 '27 (-5).
Source: MNI, Bloomberg Finance L.P.
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US TSYS: Early SOFR/Treasury Option Roundup:Put Unwinds, Rate Hike Pricing Cools
SOFR & Treasury options trade outlined below: leaning towards low delta puts/put spds - two-way with some unwinds overnight. Underlying futures recovering from Friday's retreat - TYU6 back nearing Friday pre-open highs (TYU6 108-16, +16) with crude sliding (WTI -4.95 at $79.72/bbl) after Pres Trump held off on striking Iran over weekend (again) pledging a Hormuz Strait deal is close. Projected rate hike pricing eases vs. late Friday levels (*): Sep'26 at +15.7bp (+16.7bp), Oct'26 at 22.9bp (24bp), Dec'26 33.4bp (+35.9bp), Jan'27 37.4bp (41.5bp).
- SOFR Options:
- 1,000 0QZ6 96.25/96.62 1x2 call spds vs. 2QU6 96.18/96.43 1x2 call spds
- Block, 5,000 0QU6 95.50/95.75/96.00 put flys, 7.0 ref 95.805
- 1,700 0QU6 95.5/95.75/96.00 put flys ref 95.875
- 1,000 TYU6 108.5 straddles, ref 108-15
- 5,000 SFRU6 96.06/96.31 put spds, 15.75 ref 96.125
- 3,000 SFRU6 95.81/95.87/95.93 put flys, cab ref 96.125
- Treasury Options:
- +1,000 TYU6 108.5 straddles, 1-04
- over 10,400 wk1 TY 108 puts, 10 ref 108-14.5 (exp 8/7)
- -20,000 FVU6 106 puts, 17 ref 106-07.5
- Block, -4,000 TYU6 111 calls, 1 ref 108-13
- 1,500 TYU6/TYV6 112 call spds
- over 18,900 wk1 TY 109 calls, 4 ref 108-12
- -2,000 wk1 TY 108.25 calls, 24 ref 108-11.5 (exp 8/7)
- -2,000 TYU6 108/108.5 put spds, 13 ref 108-12.5
- +2,000 TYU6 107/108 put spds, 16 ref 108-12
- +2,000 TYV6 107 puts, 34 ref 108-02.5
- +5,000 TYU6 109/109.5/109.75 1x3x2 broken call flys, 4 ref 108-13.5
BUNDS: Looking to test Friday's high
- The German Bund is extending further gains as Desks unwind some of their positions.
- Seasonally, August is a Bullish Month, but the affairs in the Middle East will continue to be the main driver for Global Cross Assets.
- Friday's high is situated at 124.94. Above the latter would challenge last Tuesday's opening gap at 125.12, although most Desks will watch 125.25 which closely matched the 3.10% Yield level last Week.
EQUITY OPTIONS: EU Bank Call Spread
SX7E (18th Dec) 320/360cs 1x1.5, bought for 10.1 in 3k.
