OIL: Russia Remains India’s Largest Crude Supplier

Option desks report decent SOFR & Treasury options trade overnight, some chunky SOFR call sales/unwinds and vol structure selling in Treasury options. Underlying futures firmer - upper half of relatively narrow overnight range - but still off last Friday's post-employment data highs. Projected rate cuts adding to late Friday (*) levels: Sep'25 at -28.4bp (-28bp), Oct'25 at -48.2bp (-47.3bp), Dec'25 at -70.6bp (-69.7bp), Jan'26 at -84.7bp (-83.5bp).

• SOFR Options
  • 10,000 SFRV5/SFRZ5 96.50/96.62
  • -8,000 SFRZ5 96.18/96.73 1x2 call spds 3.75
  • Block, 5,000 SFRU5 96.00/96.12 call spds 1.25 over 95.93 puts
  • +4,000 SFRX5 96.37/96.50/96.62 call flys, 2.25
  • +2,000 SFRX5 96.25/96.37/96.62 broken call flys, 0.25
  • +2,000 SFRZ5 96.56/96.68 call spds, 2.0
  • -2,500 SFRH6 96.50/97.00 call spds vs. 96.62/0.25%
  • 4,000 SFRU5 95.75/95.87/96.00 put flys, 2.5 ref 95.99
  • Block, +5,000 SFRZ5 95.87 puts, 0.5
  • 4,100 0QU5/2QU5 97.00 call spds, 1.5 net
  • 2,000 SFRZ5 96.00/96.06/96.25/96.31 call condors, 2.0
  • 2,000 SFRU5 96.00/96.12 call spds vs. 95.93 put, 1.0 net ref 95.99
  • 1,000 SFRV5 96.43/96.68 call spds vs. 0QV5 97.25/97.50 call spd spd
  • over -34,700 (pieces) SFRU5 95.87 calls, 11
  • 2,000 0QZ5 97.25/97.37 call spds, 3.5 vs 97.075/0.10%
• Treasury Options:
  • -10,000 TYV5 112.75/113.25/113.5/114 iron condors (wings x2), 13 net cr
  • 2,500 TYV5 111.5 puts vs. 115.25/115.75 call spds ref 113-12.5
  • -1,250 TYV5 113/114 1x2 call spds, 7
  • -3,000 FVX5 108.75 puts, 8.5
  • 2,300 FVX 109.75 straddles, 107-107.5
  • +1,500 TYX5 113 straddles 148 ref 113-13.5
  • -1,600 TYV5 112/114.75 strangles, 16 ref 113-11.5
  • 1,500 USV5 115/116.5 put spds ref 116-13
  • -1,250 TYV5 112/115 strangles, 16 ref 113-11
  • +2,000 FVV5 110/110.5 1x2 call spds, 0.5

While broader G10 FX ranges are muted, GBP/USD has improved to the best levels of the session, hitting 1.3536 to narrow the gap with the post-payrolls highs of 1.3555. Clearance here would put the price at new monthly highs and within range of 1.3595 - clustered horizontal resistance.

• Currency markets have proven more sensitive to volatility in the longer-end in recent weeks - of particular relevance to GBP given the uptrend in 30y UK Gilt yields - a recent triangle breakout on the daily chart reinforces this theme. Sensitivity here
• As such, politics and the near-term fiscal trajectory of the UK are to remain a key driver for markets here. Keir Starmer's reshuffle will likely be ineffectual for markets given Chancellor Reeves remains in place headed into the November 26th Autumn Budget, although recent appointments of economic advisers to No. 10 have raised some speculation that Reeves' influence over economic policy may have waned.
• As a result, sell-side remain cautious on GBP - however the vast majority prefer long EUR/GBP exposure over exposure to USD given the building pricing of a Fed Sept cut of potentially more than 25bps. This is despite sell-side pushing out expectations of BoE rate cuts this year (see Deutsche Bank, HSBC earlier today) - an extension of which could work against the consensus view of EURGBP higher. Key support to watch lies at 0.8597, the Aug 14 low. Clearance of this level would reinstate the recent bearish threat for the cross.

Spain has announced it will be looking to sell a combined E2.0-3.0bln of the following letras at its auction tomorrow, September 9:

• the 3-month Dec 5, 2025 letras
• the 9-month Jun 5, 2026 letras