EQUITIES: EU and US roll pace

• RES 4: 117-29+ High Aug 26 2022 (cont)
• RES 3: 117-01+ High Mar 24 and bull trigger
• RES 2: 117-00 High May 4
• RES 1: 115-18+/116-16 Intraday high / High May 11
• PRICE: 114-30+ @ 15:55 BST May 16
• SUP 1: 114-29+ Intraday low
• SUP 2: 114-10 Low May 1
• SUP 3: 113-30+ Low Apr 19 and a key support
• SUP 4: 113-26 Low Mar 22

Treasury futures are trading lower again today and the contract has breached support at 115-01+, the May 9 low, and is testing the 50-day EMA, at 114-30+. A clear break of this EMA would signal scope for a deeper retracement and open 114-10 initially, May 1 low. For bulls, a reversal higher would refocus attention on resistance at 117-01+, the Mar 24 high. This is the bull trigger where a break would highlight an important bullish development.

Mixed early session trade leaning towards low delta put structures in SOFR options, slightly better 5- and 10Y calls at the moment.

• SOFR Options:
  • 3,000 SFRM3 94.56/94.68/94.81 put flys ref 94.91
  • 5,700 SFRM3 96.12 calls 1.75 ref 94.9125
  • 13,500 SFRM3 94.62/94.68/94.75/94.81 put condors ref 94.9125 to -.915
  • 4,500 SFRZ3 96.00/OQZ3 97.50 call spds, 1.0
  • Block/screen, 5,000 SFRN3 95.81/95.31/95.43/95.56 call condors, 1.5 ref 95.225
  • Block/screen, over 13,500 OQM3 96.37 puts, 12.0 vs. 96.66/0.30%
  • Block, 2,500 SFRZ3 94.81/94.93/95.06 put flys, 2.0 ref 95.70
  • 5,800 OQM3 96.37 puts ref 96.69 to -.695
• Treasury Options:
  • 3,000 FVM3 109.75/110 put spds, 9 ref 109-26.75
  • +7,500 TYM 117 calls, 5
  • +4,500 FVN3 109.75 puts, 26.5 ref 110-24
  • 3,000 TYM3 117 calls, 8 ref 115-13.5
  • over 10,500 TYN3 118 calls, 38 ref 116-10.5 to -11
  • over 6,700 FVM3 109.75 puts, 22 ref 109-27.75
  • over 7,600 TYN3 117.5 calls, 44-45 ref 116-09

U.S. dynamics have generally dominated in recent trade, with typically hawkish Fedspeak from Mester, the previously outlined firmer than expected retail sales control group print and Pfizer kicking off jumbo 8-part $ issuance feeding through. Also note delta hedging surrounding the pricing of the syndication of the new Belgian Jun-43 OLO and syndication of the new UK Oct-63 Gilt will have added some pressure, with the same holding true for pricing of SSA € deals.

• Arch ECB hawk Holzmann also stuck to script.
• Bund futures are -15 on the day, with the major German cash benchmarks running cheaper across the curve, bear flattening.
• EGBs are flat to a touch tighter vs. German at the 10-Year point.
• Gilts are still outperforming in lieu of the softer than expected domestic labour market data, leaving futures +25 or so and the major cash benchmarks running richer on the day, bull steepening, but off best levels.