STIR: Repo Reference Rates

Decent SOFR & Treasury option trade overnight, mixed wing trade with SOFR leading volumes. Underlying futures trade mixed, short end adding to Friday's post jobs rally, bonds retreating. Projected rate cut pricing jumped vs. pre-data (*) levels: Sep'25 at -22.6bp (-20.9bp), Oct'25 at -41.1bp (-38.4bp), Dec'25 at -61.6bp (-58.3bp), Jan'26 at -73.1bp (-69.4bp).

• SOFR Options:
  • over 7,000 SFRV5 96.37/96.62 call spds ref 96.28
  • 19,100 SFRZ5 95.75/95.87/96.25/96.37 put condors ref 96.30
  • Block, 5,500 SFRM6/2QM6 96.75/97.25 call spd spds
  • 1,500 SFRZ5 96.50/96.68/96.75 broken call flys ref 96.295
  • 3,500 SFRU5 95.93/96.00/96.06 call flys ref 95.945
  • over 9,700 SFRU5 96.00 calls ref 95.94
  • 2,250 SFRQ5 96.00/96.25 call spds ref 95.945
  • 1,500 SFRV5 96.37/96.62/97.00 call flys ref 96.275
  • 3,000 SFRV5 96.50/96.75 call spds ref 96.265
  • Block/screen 4,000 SFRZ5 95.75/95.87/96.00 put trees
  • 4,500 SFRZ5 95.68/95.81 2x1 put spds
  • 2,000 0QH6 97.25/97.50 call spds ref 96.925
  • 2,400 SFRH6 96.12 puts ref 96.48
  • 1,500 SFRH6/3QH6 97.00/97.50 call spd spds
  • 5,500 SFRH6 96.00/96.25/96.37 put trees ref 96.485
• Treasury Options:
  • 3,200 TYU5 108/109.5 put spds ref 112-07.5
  • 16,000 TYU5 113 calls, 19-20 ref 112-06 (total volume over 29.4k)
  • 3,000 TYU5 112/113 1x2 call spds, 3 ref 112-02
  • 2,500 TUU5 103.5/103.75 put spd vs. 104/104.25 call spds ref 103-30.25
  • 1,100 TYU5 109/111 2x1 put spds ref 112-02
  • 1,600 TYU5 109 puts ref 112-02.5
  • 1,300 FVU5 108.25/108.75/109/109.75 broken call condors ref108-31.5
  • 1,800 FVZ5 114 calls ref 109-08

• EUR/USD: Aug05 $1.1425(E1.6bln), $1.1500(E1.4bln), $1.1550(E1.7bln), $1.1585-00(E2.5bln); Aug06 $1.1500-10(E1.6bln)
• USD/JPY: Aug06 Y152.00($1.0bln); Aug07 Y147.65($1.0bln), Y148.00-15($1.7bln), Y148.50($1.1bln)
• EUR/GBP: Aug05 Gbp0.8650-70(E1.3bln)
• AUD/USD: Aug05 $0.6465-80(A$1.1bln); Aug07 $0.6600(A$2.0bln)

TD Securities note that bond markets “will continue to balance the impact of fiscal and tariffs”. They see “more scope for the latter to weigh on growth in the near term” and look for 10-Year Bund and 10-Year gilt yields to finish ’25 at 2.30% and 3.80%, respectively.