US TSYS: Early SOFR/Treasury Option Roundup
Mixed overnight option trade leaning towards upside SOFR calls (note Sep call condor), Treasury options more pared on lighter volume at the moment. Underlying futures rebounding in the lead-up to Wednesday's CPI and FOMC event risk, taking cues from EGBs again. Rate cut projections looking steady to firmer vs. late Monday levels (*): June 2024 at -1.3% w/ cumulative rate cut -.3bp at 5.328%, July'24 at -8% w/ cumulative at -2.3bp at 5.307%, Sep'24 cumulative -14.6bp (-13.1bp), Nov'24 cumulative -22.8bp (-20.1bp), Dec'24 -39.3bp (-36.8bp)
- SOFR Options:
- +12,500 SFRU4 94.81/94.87/94.93/95.00 call condors, 1.5 ref 94.81
- 2,000 0QM4 95.62 calls ref 95.55
- 1,600 0QM4 95.37/95.43/95.50 put trees ref 95.555
- Block 2,500 SFRU4 95.50/95.93 call spds, 0.5 ref 94.82
- 2,000 SFRZ4 96.12/96.25 call spds ref 95.06
- 1,250 2QZ4 97.75/98.00/98.12 broken call flys ref 96.12
- 3,000 0QU4 96.37 calls ref 95.70
- Treasury Options:
- over 5,100 TYN4 109.5 calls
- over 4,300 TYN4 108.5 puts, 11 last
- 1,640 FVU4 106.25 straddles, ref 106-05.25
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JGB TECHS: (M4) Remains Above Key Support
- RES 3: 148.74 - High Jul 24
- RES 2: 147.74 - High Jan 15 and bull trigger
- RES 1: 145.95 - High Mar 25 1
- PRICE: 144.21 @ 16:18 BST May 10
- SUP 1: 143.61 - Low Apr 25
- SUP 2: 143.44 - Low Oct 31 (cont) and the bear trigger
- SUP 3: 141.65 - 1.00 proj of Mar 22 - Nov 1 ‘23 - Jan 15 price swing
A bear trend in JGB futures remains intact, despite a corrective bounce this week. The contract is for now trading above key support and bear trigger at 143.44, the Nov 1 low. A stronger reversal higher is required to signal the end of the recent downward phase. Key resistance is at 145.95, the Mar 28 high. A break would signal scope for a climb towards the bull trigger at 147.74, the mid-January high. On the downside, a move through 143.44 would strengthen a bearish condition.
AUSSIE 10-YEAR TECHS: (M4) Trend Needle Continues To Point South
- RES 3: 96.207 - 61.8% of the Mar 14 - Nov 1 ‘23 bear leg
- RES 2: 96.110 - High Dec 28 and the bull trigger
- RES 1: 95.800 - High Apr 19
- PRICE: 95.630 @ 16:16 BST May 10
- SUP 1: 95.235 - 76.4% retracement of the Nov - Dec ‘23 rally
- SUP 2: 94.965 - Low Oct 31 ‘23
- SUP 3: 94.866 - 2.618 proj of the Dec 28 - Jan 19 - Feb 2 price swing
A bearish cycle in Aussie 10yr futures remains in play, despite the corrective bounce on the RBA decision. Any return lower would signal scope for a move towards 95.235, a Fibonacci retracement point on the continuation chart. Key short-term resistance has been defined at 95.800, the Apr 19 high. A break would highlight a possible reversal and signal scope for a climb towards 96.110, the Dec 28 high.
USDCAD TECHS: Bullish Trend Structure
- RES 4: 1.3977 High Oct 13 ‘23 and a key M/T resistance
- RES 3: 1.3899 High Nov 1 and a key resistance
- RES 2: 1.3846/55 High Apr 16 and the bull trigger / High Nov 10 2023
- RES 1: 1.3785 High Apr 30
- PRICE: 1.3662 @ 16:27 BST May 10
- SUP 1: 1.3634 50-day EMA
- SUP 2: 1.3610 Low May 3
- SUP 3: 1.3547 Low Apr 9
- SUP 4: 1.3478 Low Apr 4
A bullish trend condition in USDCAD remains intact for now, despite Thursday’s weakness. Key support to watch is 1.3634, the 50-day EMA. This average was pierced last Friday, but remains intact as a support, for now. A continuation higher would expose the key resistance and bull trigger at 1.3846, the Apr 16 high. Note that moving average studies are in a bull-mode position, highlighting an uptrend.
