EQUITIES: US Cash Open

SOFR options revolving around puts, put spds since the open, fading the modest rebound in underlying futures. Projected rate cut pricing currently: Dec'25 at -24bp, Jan'26 at -30.6bp, Mar'26 at -37.5bp, Apr'26 at -43.6bp.

• +4,000 SFRZ6 98.00/99.00 call spds, 4.25
• +2,500 2FQ6 96.37/96.62 put spds, 6.0 ref 96.705
• +5,000 0QM6 96.25 puts, 5.0 ref 96.83
• +5,000 SFRF6 96.25/96.31 put spds w/ 96.25/96.37 put spd strip, 3.25 ref 96.43
• +5,000 SFRF6 96.25/96.31/96.37 put trees, 1.25 ref 96.43
• +20,000 SFRH6 96.12 puts, 1.0 ref 96.43

OI data suggests that yesterday’s sell off in gilt futures only managed to generate a fairly modest round of net long cover (as OI fell by ~10K or ~0.8%) during the sell off that was mostly driven by spillover from the hawkish repricing in the EUR front end.

• OI is now ~21K higher than pre-Budget levels or a mere ~1.8K contracts, which is hardly indicative of high conviction gilt longs despite the market deeming Chancellor Reeves’ budget to be credible and with curve flattening aided by the DMO continuing to skew issuance further away from the long end.

FX Exchange (CME) traded roll pace, expiry Monday: The EUR was the most active into the European session.

• EUR: 34%.
• GBP: 39% (above pace).
• JPY: 45% (above pace).
• CHF: 37% (above pace).
• CAD: 21% (below pace).
• AUD: 45% (above pace).
• NZD: 31%.
• SEK: 46% (above pace).
• NOK: 39% (above pace).