EMISSIONS: EU Mid-Day Carbon Summary: EUAs Rise On EU Gas Support

SOFR and Treasury option trade was a little more mixed overnight but still leaning toward low delta/upside calls. Underlying futures add to Friday's rally, Jun'25 10Y futures marks 111-22.5 high (March 11 lvls), resistance above at 112-01 (High Mar 4 and a bull trigger). Meanwhile, curves are steeper near levels since early Jan'22 (5s30s 67.406 high). Projected rate cuts through mid-2025 adding to late Fri levels (*) as follows: May'25 at -6bp (-5.2bp), Jun'25 at -23.6bp (-21.8bp), Jul'25 at -40.6bp (-36.5bp), Sep'25 -58bp (-52bp).

• SOFR Options:
  • 4,000 0QM5 97.00/97.50 call spds, 7.5 ref 96.62
  • 2,000 0QJ5 96.37/96.50 3x2 put spds ref 96.62
  • Block/screen, 10,000 SFRU5/SFRZ5 95.68/95.81 put spd spds, 0.0
  • Block, 5,000 SFRZ5 96.25/96.50/96.75/97.00 call condors, 4.5 ref 96.435
  • 2,000 2QM5 95.62/95.75/95.93 put flys ref 96.60
  • Block, 5,000 SFRU5/SFRZ5 95.62/95.87 put spd spds, 0.0
  • Block, 6,000 SFRM5 96.25/96.50 call spds, 2.0 ref 95.955
  • Block 5,000 SFRZ5 96.25/96.50/96.75 call trees, 13.0
  • 3,000 0QK5 95.75/95.87/96.00/96.12 put condors ref 96.635
  • 1,900 SFRN5 95.56/95.62/95.68 put flys ref 96.245
• Treasury Options:
  • over 4,400 TYK5 110.5 puts, 21 last ref 111-19
  • 3,500 FVK5 108.25/109.25 call spds ref 108-14.5
  • 2,000 FVM5 110/111/112 call trees ref 108-13.75
  • 5,000 wk1 TY 110.5 puts, 6 ref 111-19
  • 12,000 TYK5 113.5/115 call spds ref 111-19 to -19.5
  • 1,750 TYK5 112/113 call spds ref 111-21.5
  • 3,000 FVM5 109.25/110 call spds, 10.5 ref 108-14.5
  • 8,000 TYK5 113/114.5 call spds, ref 111-14.5

Latest slippage in stock futures presses the e-mini S&P through the mid-March lows of 5559.75, making for fresh YTD lows for the June-25 future, making for a 10.9% drop off the December high.

• Price was lower in the March future (5509.25) ahead of expiry here - meaning the continuation chart is still off support for now. Tech and growth-sensitive names still quite clearly underperforming ahead of the open; the NASDAQ comp is off 1.6% vs. The e-mini S&P's 1.2% and the Dow's 0.6%.
• Magnificent Seven names are slipping pre-market: Tesla (-5.3%), Microsoft (-1.3%), NVIDIA (-4.0%), Meta Platforms (-2.3%), Apple (-0.6%), Amazon (-2.2%).
• Tariff concerns remain quite clearly the driver here, with markets still uncertain over the specifics and details of tariffs set to be unveiled on Wednesday's Liberation Day. Should convention for the previous phases of tariffs be followed, tariffs will come into effect at 0001ET/0501BST on Wednesday - leaving a tight timeline for the White House to provide further details.

German February retail sales volumes were notably stronger than expected as they increased 0.8% M/M (sa, cons 0.0) along with an upward revised 0.7% M/M in Jan (from 0.2%). It has seen retail sales start the year on a more robust note after a mixed Christmas last year, which included a heavy -1.0% M/M in December. 

• It left sales up 4.9% Y/Y on a calendar-adjusted basis, admittedly driven by some strong increases in mid-2024, with recent moderation fading. Whilst the latest two months have clearly been strong, the 3M/3M metric stood at -0.2% non-annualised.
• Looking ahead, 3M/3M momentum should mechanically firm in March but there are signs of mixed trends. GfK consumer confidence for instance missed expectations last week and remained broadly unchanged despite its survey period at least partially being able to capture any shift in sentiment following the German fiscal announcement on March 4.
• Across categories, February's uptick appears broad-based, with food sales up 0.8% M/M, and non-food sales up 0.6% (both in real terms). Internet and mail orders meanwhile ticked up 1.0% M/M.

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