US TSYS: Early SOFR/Treasury Option Roundup: Mixed Ahead NFP
May-03 11:03
Mixed option trade overnight with slightly better SOFR puts, Treasury options pared. Modest volumes in the leadup to the April employment report at 0830ET, underlying futures steady to mildly mixed, short end underperforming. Projected rate cut pricing steady to mildly higher vs. late Thursday levels: June 2024 steady at -15% w/ cumulative rate cut -3.8bp at 5.298%, July'24 steady at -24bp w/ cumulative at -9.8bp at 5.238%, Sep'24 cumulative -20.0bp (-19.7bp late Thu), Nov'24 cumulative -28.1bp (-27.6bp late Thu).
- SOFR Options:
- 4,000 SFRZ4 93.25/94.50/94.56 broken put trees ref 95.075
- Block, 2,500 0QK4 95.00/95.12 put spds, 0.5 ref 95.49
- 3,000 0QM4 95.75/96.00/96.25 call flys ref 95.49
- Block, 5,000 0QK4 95.68/95.81 call spds, 2.0 ref 95.49
- 2,000 SFRZ4 94.37/94.62/94.87 put flys vs. 1,000 SFRZ 96.00 calls
- 2,000 SFRU4 94.62/94.75 put spds vs. 1,000 SFRU4 95.50 calls
- Block, 2,500 0QU4 94.50/95.00/95.50 1x4x2 put flys, 14.5 ref 95.65
- Treasury Options
- 1,500 TUN4 102.25/103 2x3 call spds vs. 3,000 TUN4 101.25 puts
- 2,500 TYN4 110/110.5/111.5/112 call condors ref 108-17
- 4,300 wk2 10Y 106.25 puts, 1 ref 108-08.5 expire next Fri
- 2,100 TYM4 109/110.5 call spds ref 108-10
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MNI: US MBA: REFIS -2% SA; PURCH INDEX -0.1% SA THRU MARCH 29 WK
Apr-03 11:00
- US MBA: REFIS -2% SA; PURCH INDEX -0.1% SA THRU MARCH 29 WK
- US MBA: UNADJ PURCHASE INDEX -13% VS YEAR-EARLIER LEVEL
- US MBA: 30-YR CONFORMING MORTGAGE RATE 6.91% VS 6.93% PREV
MNI: US MBA: MARKET COMPOSITE -0.6% SA THRU MAR 29 WK
Apr-03 11:00
- MNI: US MBA: MARKET COMPOSITE -0.6% SA THRU MAR 29 WK
CROSS ASSET: WTI tests next immediate resistance
Apr-03 10:59
- Nokkie Stokkie prints a new intraday high, and although it is only showing up 0.12% on the day, NOKSEK continues to trade at its best level since late February, over 1 month.
- Next resistance will be seen at 0.9986 the February high, followed by 1.0066, the 2024 high.
- Watch WTI here, as its breaks out higher and test the next immediate resistance right here at $85.73 - 1.618 proj of the Jan 3 - 29 - Feb 5 price swing.
- Further upside traction will open to $87.01 - 1.764 proj of the Jan 3 - 29 - Feb 5 price swing.
