SNB: "*SNB WOULD CUT RATES BELOW 0% IF INFLATION REQUIRED IT: TSCHUDIN" BBG

Through July, Euribor options OI (across the next 10 expiries) has increased by 955k, comprising a 531k rise in put OI and a 424k rise in call OI. 

• On the put side, OI increases have been centred in the U6, Z6 and H7 expiries, in particular the 97.4375/97.50 strikes. More hawkish hedges are also noted with OI increases seen in strikes with a 96- handle.
• On the call side increases in OI have been centred in the Z6, H7 and M7 expiries, potentially looking to hedge against a less hawkish ECB terminal rate than currently priced. In U6, there’s been a 54k decline in 97.6875 OI through this month, with pricing for a September hike firming alongside a resurgence of energy prices.
• MNI’s ECB preview ahead of tomorrow’s decision is here

• 5,940 SFRZ6 95.50/95.75 put spds, 7.5 at 1035:36ET

• Treasury futures extend lows - more orderly selling than a gap move as Iran responds in kind to Trump's threat to bomb bridges & power plants, including Tehran in response to any attacks on ships transiting the Hormuz Strait: Iran will target bridges & power plants in the region.
• TYU6 down to 108-12.5 low (-8), yield +.0304 at 4.6585%.
• The 10Y contract nearing key support lies at 108-08+, the May 19 low and a bear trigger. A clear breach of this level would confirm a resumption of the medium-term downtrend.
• In the short end: Aug'26 FF contract hits new low of 96.28 (-0.030), heavy overall volume over 250,000 in the serial contract