BOE: STR usage GBP96.395bln; Largest Fall Since 6 November

Larger SOFR put flow focused on January that expire next week Friday - well before the first FOMC of 2026 on Jan 28. & Treasury options more mixed/two-way on lighter volumes. Underlying futures mildly weaker - off lows, curves little steeper (2s10s +.343 at 70.985; 5s30s +0.697 at 115.044). Projected rate cut pricing cools slightly vs. late Monday levels (*): Jan'26 at -4bp, Mar'26 at -12.9bp (-13.9bp), Apr'26 at -18.5bp (-19.5bp), Jun'26 at -32.7bp (-34.3bp).

• SOFR Options:
  • 3,000 SFRH6 96.37 puts ref 96.475
  • 5,000 SFRH6 96.43/96.56 call spds
  • +2,000 SFRH6 96.37/96.43 2x1 put spds, 1
  • over +5,000 SFRF6 96.25/96.31/96.43/96.50 call condors, 3.5
  • +12,000 SFRF6 96.37/96.43/96.50 put flys, 1.5 ref 96.48
  • +1,500 SFRF6 96.37/96.43/96.50 1x3x2 call flys, 1.0
  • +52,000 SFRF6 96.43 puts, 2.25-2.5 - total volume over 101.5k, part tied to put fly & condor
  • 4,500 SFRF6 96.37/96.43/96.50 put flys ref 96.48
  • +5,000 SFRF6 96.25/96.31/96.37/96.43 put condors ref 96.48
  • +5,000 SFRF6 96.37/96.43 put spds, 2.25 vs. 96.47/0.20%
  • 5,000 SFRF6 96.31/96.43/96.50 1x3x2 call flys, 4.75
  • +3,400 SFRG6 96.43/96/56/96.68 call flys, 2.75
  • 1,500 SFRG6 96.43 puts ref 96.48
• Treasury Options:
  • +5,000 TYH6 114 calls, 12
  • -9,000 TYH6 111.5 puts, 22
  • +4,500 TYG6 111/111.5 put spds, 5 vs. 112-06.5/0.11%
  • 1,500 wk2 TY 111.5/111.75/112 put trees (exp Fri)
  • 2,170 TYH6 111.5 puts ref 112-10.5
  • +2,000 USG6 112/114 2x1 put spds, 15
  • -10,000 TYH6 113.5 calls, 17

• National CPI at 1.8%Y/Y was a tenth softer than the 1.9%Y/Y tracking from the state CPI (and came in 3 tenths below the 2.1% consensus prior to the State prints).
• HICP saw a slowdown to 2.0%Y/Y and was 2 tenths below consensus.

• MNI: GERMANY DEC FLASH CPI +1.8% Y/Y, +0.0% M/M