STIR: Repo Reference Rates

RXG6 126.50/126.00 put spread paper paid 10 vs 127.53 on 7.2K.

Better Treasury put flow on net overnight, light overall volumes ahead this morning's data & Dec FOMC minutes this afternoon. Scant SOFR option flows. Underlying futures modestly weaker while projected rate cut pricing cools slightly vs. late Monday levels (*): Jan'26 at -4bp, Mar'26 at -13.6bp (-14.2bp), Apr'26 at -20.5bp (-21bp), Jun'26 at -34.4bp (-35.8bp).

• SOFR Options:
  • 4,600 SFRF6 97.00 calls
• Treasury Options:
  • 1,500 Mon wkly TY 112/112.25 3x2 put spds, 3 net ref 112-18.5 (exp 1/5)
  • 4,800 wk2 US 114/114.5 put spds, 3 net ref 115-17 (exp 1/9)
  • +1,000 TYG6 111.5/112/112.5 put trees, 6 vs. 112-16.5/0.05%
  • -1,000 TYG6 113 calls, 23 vs. 112-24.5/0.42%
  • 1,900 TUG6 104.37 puts ref 104-13.12
  • +1,250 TYG6 111/112 put spd vs. 114 calls, 4 net vs. 112-30.5/0.05%
  • +5,000 TYH6 111/112 put spd vs. 114 calls 3cr net
  • -1,000 FVG6 108.5 puts, 2.5

• Treasury futures trading weaker, extending lows ahead of the NY open, albeit on light volumes with many plying the sidelines ahead of this morning's data. Otherwise, no obvious headline or block trigger.
• Breaking through Monday session, but not the overnight low, the TYH6 contract currently trades -5.5 at 112-17.5, on volume of 196k.
• Trend theme remains bearish and a break of 111-29 would confirm a resumption of the bear cycle. This would open 111-19, a Fibonacci projection.
• Reminder, ADP weekly NER Pulse has been postponed. ADP announced last week the "NER Pulse won’t publish Dec. 30 because the week ending Dec. 13 corresponds to the reference week of the monthly National Employment Report. Main Street Macro and the NER Pulse will resume publication Jan. 13, 2026."