MNI China Daily Summary: Monday, July 1

MNI BRIEF: PBOC To Borrow CGBs In Response To Market Situation

MNI BRIEF: Caixin June Manufacturing PMI Hits Three-year High

MNI: PBOC Net Drains CNY48 Bln Via OMO Mon; Rates Unchanged

CHINA PBOC CONDUCTS CNY2 BILLION VIA 7-DAY REVERSE REPOS MON

EZ/UK Bond Supply Calendar: UK, Germany Auction on Tuesday

EZ/UK T-Bill Calendar: Spain, Belgium, ESM Auction on Wednesday

MNI: US MAY CONSTRUCT SPENDING -0.1%

RPT-MNI: Canada Sticks To Fiscal Anchors, Spends Chunk Of Windfall

MNI BRIEF: Poilievre Calls QE 'Scam' And Would Limit BOC Remit

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Upside Calls Post-Data

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SOFR and Treasury options favoring upside calls as underlying futures trade higher post-PCE data, futures still off Tuesday's highs. Holding steady for the next couple meetings -- late year rate cut projections have gained slightly post data: June 2024 at -0% w/ cumulative rate cut 0.0bp at 5.328%, July'24 at -12% w/ cumulative at -3bp at 5.298%, Sep'24 cumulative -14.7bp (-13.9bp pre-data), Nov'24 cumulative -21.7bp (-20bp pre-data), Dec'24 -35.3bp (-32.9bp pre-data).
  • SOFR Options:
    • -5,000 0QU4 95.00/96.50 put over risk reversals 1.5 vs. 95.59/0.28%
    • +5,000 0QN4 95.75/96.00 1x2 call spds 1.5 vs. 95.55/0.08%
    • -3,000 SFRZ4 94.62/94.87 put spds, 9.5
    • 11,800 SFRZ4 96.00 calls, 5.0 ref 95.00 to -00.5
    • 2,500 SFRZ4 94.68 puts
    • +5,000 SFRV4/SFRZ4 94.68 put spds, 2.0 ref 94.99 to -.995
    • 2,000 SFRQ4 95.00/95.12/95.25 call flys, ref 94.805
    • 1,000 SFRQ4 94.68/94.81/94.93 put flys, ref 94.805
  • Treasury Options:
    • +4,000 TYN4 107.5/109.5 risk reversals, 4 ref 108-25
    • -5,000 TYN4 107 puts, 7 ref 108-24
    • 4,000 USQ4 98/103 put spds
    • 2,500 USN4 112 puts, 13 last
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SOFR and Treasury options favoring upside calls as underlying futures trade higher post-PCE data, futures still off Tuesday's highs. Holding steady for the next couple meetings -- late year rate cut projections have gained slightly post data: June 2024 at -0% w/ cumulative rate cut 0.0bp at 5.328%, July'24 at -12% w/ cumulative at -3bp at 5.298%, Sep'24 cumulative -14.7bp (-13.9bp pre-data), Nov'24 cumulative -21.7bp (-20bp pre-data), Dec'24 -35.3bp (-32.9bp pre-data).
  • SOFR Options:
    • -5,000 0QU4 95.00/96.50 put over risk reversals 1.5 vs. 95.59/0.28%
    • +5,000 0QN4 95.75/96.00 1x2 call spds 1.5 vs. 95.55/0.08%
    • -3,000 SFRZ4 94.62/94.87 put spds, 9.5
    • 11,800 SFRZ4 96.00 calls, 5.0 ref 95.00 to -00.5
    • 2,500 SFRZ4 94.68 puts
    • +5,000 SFRV4/SFRZ4 94.68 put spds, 2.0 ref 94.99 to -.995
    • 2,000 SFRQ4 95.00/95.12/95.25 call flys, ref 94.805
    • 1,000 SFRQ4 94.68/94.81/94.93 put flys, ref 94.805
  • Treasury Options:
    • +4,000 TYN4 107.5/109.5 risk reversals, 4 ref 108-25
    • -5,000 TYN4 107 puts, 7 ref 108-24
    • 4,000 USQ4 98/103 put spds
    • 2,500 USN4 112 puts, 13 last