US TSYS: Early SOFR/Treasury Option Roundup: Rate Cut Pricing Cools Slightly
Overall SOFR/Treasury options flow mixed on lighter volume overnight with exception of large Jun'26 SOFR ratio put spread. Underlying futures lower - back to early Monday levels. Projected rate cut pricing cooler vs. late Wednesday levels (*): Oct'25 at -24.2bp (-24.7bp), Dec'25 at -48.2bp (-49.1bp), Jan'26 at -62.7bp (-64.2bp), Mar'26 at -76.1bp (-78.2bp).
- SOFR Options:
- +27,000 SFRM6 96.68/96.87 2x1 put spds, 4.0 ref 96.875 to -.885
- 10,000 SFRH6 96.75/96.87/97.00/97.12 call condors ref 96.62
- 1,500 0QM6 97.75/98.27/99.00 2x3x1 call flys ref 97.04
- +6,250 SFRZ5 96.37/96.50/96.62 1x3x2 call flys, 0.5 ref 96.365
- -2,000 SFRZ5 96.43/96.50/96.56 call flys, .25 ref 96.37
- over 3,700 0QX5 96.87 puts, 2 ref 97.07
- 1,250 SFRZ5 96.12/96.18 put spds ref 96.37
- Treasury Options: Reminder, Nov options expire tomorrow
- 5,500 TYX5 113/113.25 put spds
- over 6,600 TYX5 114 calls
- +3,000 TUZ5 104.25 puts, 5.5
- 2,000 TUX5 104.12 puts, 0.5 ref 104-13.75
- +2,500 TYX5 114 calls, 4
- +5,000 TUF6 103.87/104.12/104.25/104.38 broken put condors, 0.5 vs. 104-17/0.04%
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EGB SYNDICATION: Portugal dual tranche syndication: Books Closed
"*Issue Size of Portugal's June 2054 Bond Tap Is EUR1.5B" DJ
- In line with MNI's E1-2bln expected range.
"*Issue Size of Portugal's New October 2033 Bond Is EUR3.5B" DJ
- Slightly above MNI's E3bln expectation.
Book sizes:
"*Books for Portugal's June 2054 Bond Tap Closed in Excess of EUR35B" DJ
*Books for Portugal's New October 2033 Bond Closed in Excess of EUR46B" DJ
FOREX: Firm EURCAD Bounce from 20-Day EMA Support
- Monday saw a punchy reversal higher for EURCAD, rising around 0.75% on the session. The cross has been in focus in recent weeks, appreciating to the highest level since 2009 amid broader Euro optimism. The cross currently stands just 50 pips from those cycle highs at 1.6360, printed last Wednesday.
- We would highlight that short-term exponential moving average indicators have provided solid support across Friday and Monday, with the cross unable to close below the 20-day, which now intersects around 1.62. Subsequent price action underpins the bullish theme, with notable resistance scant until March 2009 highs around the 1.70 level.
- Despite mixed releases, the positive surprise for the German services flash PMI is helping the single currency to consolidate its bounce on Tuesday. In Canada, GDP data is due on Friday, expected to dip to 0.7% Y/y.
- The BOC maintained its easing bias in September, and the overall communications highlighted risks to growth and employment. BOC Governor Macklem is scheduled to speak on global trade and capital flows today, with text expected at 1415ET/1915BST. Q&A is also expected.
- Scotiabank recently emphasised their bullish EURCAD view, now looking to the 1.65/1.70 range as their next upside target.
Figure 1: EURCAD Monthly Chart - Source: Bloomberg Finance L.P. / MNI
EUR: FX Exchange Traded Option
EURUSD (3d Oct) 1.2075c, bought for 0.0007 in ~1k.
