USDJPY TECHS: Bull Cycle Still In Play

• -10,000 SFRZ5 96.225 (+0.010), post time bid at 1453:00ET

SOFR Options continued to rotate around low delta call structures Friday, while Treasury options favored puts until a massive buyer of over 100,000 Oct 10Y calls arrived in the second half. Treasury futures drift near session lows, the short end of the SOFR strip saw modest support (SFRU5-SFRH7 trades +0.005 to +0.010). Projected rate cuts in turn continue to gain momentum vs. morning (*) levels: Sep'25 at -22.0bp (-21.2bp), Oct'25 at -35.6bp (-34.1bp), Dec'25 at -56.0bp (-54.9bp), Jan'26 at -68.1bp (-67.1bp).

• SOFR Options:
  • +1,500 SFRM6/SFRU6 97.50/98.50/99.50 call fly strip, 14.0
  • +2,000 SFRM6 96.87/97.18 call spd vs. 0QM6 97.25/97.50 call spd
  • +8,000 0QU5 96.75 puts, 2.0
  • +10,000 SFRU5 96.12/96.25 call spds, 0.5 vs. 95.935/0.05%
  • Update, +10,000 SFRZ5 95.68/95.81/96.00/96.12 call condors, 3.5
  • 1,275 SFRX5 96.00/96.12 call spds vs. 96.00/96.12 call spds
  • +3,000 0QH6 97.50/98.00 call spd w/ 0QM6 97.50/98.00 call spds, 17.0
  • +20,000 SFRZ5 96.18/96.43 1x2 call spds, 1.25
  • Block, 4,000 0QZ5 96.50/96.87 put spds vs. 3QZ5 96.25/96.62 put spds, 0.5 net
  • -3,000 SFRU5 96.06/96.18 call spds, 0.5 ref 95.895
  • +2,000 SFRU5 95.93/96.00/96.06 call flys, 0.5
  • +18,800 SFRU5 96.00/96.12 call spds, 1.0 ref 95.91/0.10%
  • +10,500 SFRU5 96.00/96.06 call spds, 0.5 ref 95.897
  • 2,000 SFRZ5 96.37 calls ref 96.215
• Treasury Options:
  • Update, +100,000 TYV5 114 calls, 12-13 ref 112-16.5/0.18%, total volume over 117k
  • +10,000 TYV5 108/109 put spds, 1.0
  • +1,000 wk1 FV 109.5 straddles, 17.5
  • 1,120 TYX5 110.5/112.5 put spds ref 112-16
  • 4,000 FVV5 109 puts, 14.5 last
  • +2,000 FVV5 108.25/109 put spds, 11.5
  • +20,000 FVV5 108.25/108.75 put spds, 6.5 ref 109-13.75

• RES 3: 96.501 - 76.4% of the Mar 14 - Nov 1 ‘23 bear leg
• RES 2: 96.207 - 61.8% of the Mar 14 - Nov 1 ‘23 bear leg
• RES 1: 95.805/960 - High Aug 8 / High Apr 7
• PRICE: 95.705 @ 19:55 BST Aug 29
• SUP 1: 95.415/95.300 - Low May 15 / Low Jan 14  
• SUP 2: 95.275 - Low Nov 14  (cont) and a key support
• SUP 3: 94.720 - 1.0% 10-dma envelope

Aussie 10-yr futures have recovered from their recent lows. To the upside, the next resistance is at 96.207, a Fibonacci retracement point. Initial near-term resistance is seen at 95.805, the Aug 4 high. A break of this hurdle would be a bullish development. Next support undercuts at 95.420 (pierced), the Feb 13 low, ahead of 95.275, the Nov 14 low and a key support. Clearance of this level would strengthen a bearish condition.