US TSYS: Early SOFR/Treasury Option Roundup
Apr-10 11:09
SOFR and Treasury option trade back to mixed overnight after pick-up in upside call trade Tuesday. Underlying futures mildly firmer, top end of narrow overnight range in the lead up to this morning's headline CPI inflation data, March FOMC minutes this afternoon. Projected rate cut pricing largely steady vs. late Tuesday levels: May 2024 at -4.7bp w/ cumulative -1.2bp at 5.317%; June 2024 at -55.1% w/ cumulative rate cut -14.9bp at 5.179%. July'24 cumulative at -24.4bp, Sep'24 cumulative -41.2bp. Salient trade:
- SOFR Options:
- 12,000 2QU4 97.00/97.37 call spds ref 96.175
- 2,000 SFRM4 94.50/94.62 put spds ref 94.84
- 1,250 SFRZ4 96.50/97.25/98.50 2x3x1 broken call flys ref 95.335
- 3,000 SFRM4 94.75/94.87/95.06/95.18 call condors ref 94.84
- Block, 2,500 SFRH4 94.62/95.12 put spds, 12.0 vs. 95.54/0.15%
- Block, 4,000 0QK4 96.43/96.62 call spds, 1.0 ref 95.75
- Treasury Options:
- 3,500 TYM4 107.5 puts, 16 ref 109-21.5
- 2,000 FVK4 107 calls ref 106-08.5
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EGBS: Goldman Sachs Cautions On Prospects For Further Peripheral Tightening
Mar-11 11:09
Goldman Sachs do not expect “further peripheral compression from current levels.”
- “BTPs have outperformed their beta to vol, and both BTPs and Bonos trade below similarly-rated (non-financial) corporate credit.”
- “More broadly, while we do like relative longs in Europe vs the US, it is not clear that if that view materialises it should translate into tighter sovereign spreads from here.”
- “Indeed, the path for the US policy rate remains an important determinant of global credit risk appetite, and EU-US divergence may also be catalysed by developments that are less friendly to sovereign spreads, such as increasing growth risks.”
PIPELINE: Republic of Poland, ING, ANZ Debt Issuance on Tap
Mar-11 11:04
- Date $MM Issuer (Priced *, Launch #)
- 3/11 $Benchmark ING 6NC5 +155a, 11NC10 +175a
- 3/11 $Benchmark ANZ 2Y +70a, 2Y SOFR, 10.5NC5.5 +190a
- 3/11 $Benchmark Republic of Poland 5Y +100a, +10Y +140a, 30Y +165a
- 03/08 No new US$ issuance Friday, $73.225B total on wk
OUTLOOK: Price Signal Summary - USDJPY Remains Soft For Now
Mar-11 11:02
- In FX, EURUSD traded higher Friday and the current bull cycle remains intact. Price has breached 1.0969, 61.8% of the Dec 28 - Feb 14 bear leg. This strengthens bullish conditions and signals scope for a climb towards 1.0998 next, the Jan 5 high. The 76.4% retracement is at 1.1034. On the downside, initial firm support to watch is 1.0847, the 50-day EMA.
- A bullish phase in GBPUSD last week has strengthened the current recovery. Friday’s climb resulted in a break of the bull trigger at 1.2827, the Dec 28 high. This represents an important technical break and confirms a resumption of the bull trend that started on Oct 4 last year. The move higher signals scope for 1.2996 next, the Jul 27 2023 high. Initial firm support is seen at 1.2694, the 20-day EMA.
- A sharp sell-off in USDJPY last week highlights a reversal of the recent rally between Dec 28 - Feb 13. The pair has traded through support at the 50-day EMA and the clear break of this average strengthens the current bearish cycle. Note that 146.83, 38.2% of the Dec 28 - Feb 13 bull cycle, has been pierced. The move lower has exposed 145.90, the Feb 1 low and a key support. Initial resistance to watch is 148.46, the 50-day EMA.
