US TSYS: Early SOFR/Treasury Option Roundup: Fed Speak & Headline Risk Hedging
Decent SOFR & Treasury option volumes early Friday, two-way low delta calls/call spds and some larger put structures reported so far. Underlying futures see-sawing off earlier highs following Pres Trump tweet re: 80% China tariff tweet. Headline risk adding to morning volatility as more Trump admin officials making comments while Fed speakers are off the leash after blackout exit. Projected rate cut pricing firms slightly vs. late Thursday levels (*) as follows: Jun'25 steady at -4.3bp (4.2bp), Jul'25 at -17.2bp (-16.7bp), Sep'25 -35.1bp (-34.2bp), Oct'25 -50.7bp (-49.2bp).
- SOFR Options:
- +40,000 SFRZ5 95.62/95.87 put spds, 5.5 ref 96.35 (paper +40-50k SFRZ5 95.68 puts, 3.5 Thu)
- 15,000 SFRZ5/2QZ5 96.75/97.00 call spd spd 3.25 net 2QZ5 over
- +4,000 0QN5 97.25/3QN5 96.87 call spds 3.25 0QN5 over
- +3,000 SFRM5 95.93/96.18 call spds 1.25 ref 95.745
- 1,500 SFRH6 95.87/96.87 call spds vs. 0QH6 96.12/97.12 call spds
- 4,000 3QZ5 94.00/95.00 put spds ref 96.35
- 19,800 SFRV5 96.12/96.37 2x1 put spds ref 96.36
- 3,800 SFRN5 95.62/95.75 call spds ref 96.075
- 5,000 0QK5 96.81/97.06/97.31 call flys ref 96.695
- 3,000 SFRN5 95.62/95.75 put spds ref 96.07
- Treasury Options:
- 4,000 TYN5 110.5/111.5 2x1 put spds ref 110-27.5
- 2,000 USM5 116/117 call spds
- 5,000 Monday wkly 10Y 110.75/111 call spds (exp 5/12)
- 8,400 wk5 FV 109/110 call spds vs wk5 TY 113/114 call spds
- 4,000 TYM5 111/112 2x1 put spds ref 110-25.5
- 3,000 wk5 US 118/120 call spds ref 113-21
- over 8,300 TYM5 109.75 puts ref 110-29
- Block/screen, 39,200 TYM5 109.5 puts, 9-8 ref 110-26.5
- Block, -20,000 FVM5 109 calls, 7 ref 108-05
- 3,000 FVN5 108.5/109/109.5/110.5 broken call condors ref 108-08.5
- 2,000 TYM5 112/113/115 broken call flys ref 110-25.5
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STIR: Growth Concerns Support Euribor; Monday's High Contains Upside In ERZ5
Monday’s high of 98.335 has contained upside in ERZ5 for now, with the contract +10.0 ticks at 98.310 at typing. Clearance of Monday’s high would mark the highest level since August 2022, and expose trendline resistance drawn from the January 2024 high (98.3705 today) as the next topside target.
- Euribor whites are 4.0 to 10.0 ticks higher, while blues remain weaker alongside core FI, down 0.5 to 4.5 ticks.
- The announcement of fresh Chinese retaliation against US tariffs has exacerbated existing global growth concerns. Brent crude and natural gas futures have seen an associated sharp pullback, which has fed through into EUR traded inflation metrics.
- Together, this has allowed the market to re-position for a more aggressive ECB easing cycle.
- Hawkish comments from ECB’s Holzmann were fully in line with his previous stance, with more attention paid to dovish rhetoric from Rehn, Villeroy and Escriva earlier (alongside a dovish Reuters sources article referencing the larger-than-anticipated growth hit caused by the US tariff announcement).
- Earlier today, Morgan Stanley adjusted their ECB call to a 1.5% deposit rate by year-end (compared to June 2026 in their prior forecast).
- ABN AMRO remain at the dovish end of the analyst spectrum, expecting 100bp of rate cuts across the next four meetings to a terminal of 1.50%, with risks skewed towards more easing.
EURGBP TECHS: Continues To Appreciate
- RES 4: 0.8715 The Dec 28 ‘23 high
- RES 3: 0.8700 Round number resistance
- RES 2: 0.8683 1.764 proj of the Mar 3 - 11 - 28 price swing
- RES 1: 0.8660 Intraday high
- PRICE: 0.8646 @ 14:03 BST Apr 9
- SUP 1: 0.8470/0.8415 Low Apr 7 / 20-day EMA
- SUP 2: 0.8377 50-day EMA
- SUP 3: 0.8316 Low Mar 28 and a key near-term support
- SUP 4: 0.8299 Low Mar 5
EURGBP continues to appreciate as the impulsive bull rally accelerates further. A key resistance at 0.8625, the Aug 8 ‘24 high, has been cleared. The breach highlights another important technical break and strengthens a bullish condition. Sights are 0.8683 next, a Fibonacci projection. Firm support lies at 0.8415, the 20-day EMA. Note that the cross is in extreme overbought territory, a pullback would allow this condition to unwind.
BUNDS: Block trade
Bund Block trade, suggest buyer:
- RXM5 6k at 130.41.
