US TSYS: Early SOFR/Treasury Option Roundup: Calls Ahead NFP
Option desks report better SOFR & Treasury upside calls on lighter volume overnight, underlying futures mildly weaker in the lead up to January employment data at the bottom of the hour. Note, heavy block sales in Mar'25 2Y futures overnight: -35k TUH from 102-26.25 to -25.5 followed by +20k TYH5 at 109-16; another 12.5k TUH more recently. Projected rate cuts through mid-2025 ease slightly vs. late Thursday levels (*) as follows: Mar'25 steady at -3.9bp, May'25 at -10.7bp (-11.4bp), Jun'25 at -19.6bp (-20.3bp), Jul'25 at -25.1bp (-26.1bp).
- SOFR Options:
- 1,500 SFRK5 95.68/95.75/95.81 put flys ref 95.88
- 4,250 SFRM5 96.50/97.00 call spds ref 95.875 to -.87
- 4,500 SFRG5 95.81 calls, cab ref 95.74
- 2,000 SFRJ5 96.06 calls ref 95.875
- 2,000 SFRZ5 96.00/96.37/96.75 call flys ref 96.055
- 1,500 3MQ5 95.00/95.50 put spds vs. 96.75/97.00 call spds ref 96.05
- 1,500 0QG5 95.93/96.31 strangles
- Treasury Options:
- 4,000 TYH5 112 calls, 4 ref 109-19
- 2,000 TYH5 110.5/111.5/112.5 call flys ref 109-19
- 2,000 TYH5 111.5 calls, 6 ref 109-18.5
- 2,600 TYH5 110.5 calls, 16 ref 109-16
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Historical bullets
EURGBP TECHS: Breaches Resistance
- RES 4: 0.8448 High Oct 31 and reversal trigger
- RES 3: 0.8400 High Nov 5
- RES 2: 0.8376 High Nov 19 and a bull trigger
- RES 1: 0.8348/56 Intraday high / High Nov 27
- PRICE: 0.8338 @ 13:14 GMT Jan 9
- SUP 1: 0.8284 Intraday low
- SUP 2: 0.8263/23 Low Dec 31 / 19
- SUP 3: 0.8203 Low Mar 7 2022 and a major support
- SUP 4: 0.8188 1.00 proj of the Oct 31 - Nov 11 - 19 price swing
EURGBP has traded sharply higher today and in the process breached resistance at the 50-day EMA, at 0.8311. The cross is also through the December highs. This undermines the recent bearish theme and suggests scope for a stronger short-term recovery. A continuation of the bull leg would expose 0.8376, the Nov 19 high and the next important resistance. Initial support lies at 0.8284, today’s intraday low.
STIR: Waller Helps Unwind Remainder Of ISM Services Boost
- Gov. Waller (permanent voter) seeing more rate cuts as appropriate has seen Fed Funds implied rates dip 1-2bps across the near-term path.
- In doing so, it’s reversed the impact from yesterday’s ISM services beat (primarily on its particularly strong prices paid component) with help from President-elect Trump yesterday also wanting to see lower rates.
- Cumulative cuts from 4.33% effective: 1bp Jan, 10.3bp Mar, 15.5bp May, 25bp Jun, 28bp Jul and 38bp Dec.
GILT PAOF RESULTS: The PAOF for the 4.375% Mar-30 Gilt was not taken up.
- GBP1.0625bln had been on offer.
- This leaves GBP 4.250bln of the gilt in issue.
