US CREDIT UPDATE: Previous Trading Day Recap

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

• 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.

SX7E (18th Dec) 320/360cs 1x1.5, bought for 10.1 in 3k.