EMISSIONS: EUAs Fall on EU Gas Losses
Mar-18 08:49
EUA Dec25 is rangebound on EU gas losses, with both contracts edging down as markets are yet to find a clear direction. Meanwhile, below-average temperatures and low wind generation forecasts are supporting carbon prices.
- EUA DEC 25 down 0.3% at 69.9 EUR/t CO2e
- EUA Daily Futures down 0.1% at 68.57 EUR/t CO2e
- TTF Gas APR 25 down 1.1% at 40.8 EUR/MWh
- German Spark Spreads M1 up 2.5% at -16.95 EUR/MWh
- Rotterdam Coal APR 25 down 0.9% at 95.45 USD/MT
- Estoxx 50 up 0.9% at 5486
- TTF front month is holding steady with little clear direction this week. Warming weather this week, EU proposals for storage target flexibility and hopes for progress in Ukraine peace negotiations are limiting upside while prices are supported by Norwegian field outages and rising Middle East geopolitical risks.
- ICE EUA futures daily aggregate traded volume at 42,412 contracts in the previous day, up 5.40% compared with the 30-day average daily volume.
- The EUA DEC 25 premium to the secondary spot price stable at 1.51.
- Correlation between EUA/TTF for 30-day period remains stable at 0.57.
- Auction calendar for the day: The next EU EUA CAP3 auction will clear at 11:00CET. The previous EU auction cleared at 68.53 EUR/T at a 1.59 cover ratio.
- EUA Mar25 options is due to expire on 26 March, with the current aggregate open interest at 55k for call contracts and 62k for puts, and put/call open interest ratio is at 1.12, lower compared to the 1.16 the previous day amid a marginal increase in call contracts. The largest call volumes stood at 11k at the €75/ton CO2e strike, while put volumes sit at 16k at the €75/ton CO2e strike.
- The 10-day ahead wind output forecast for CWE has been revised higher for 5 days and is seen at 13.06GW to 8.89GW, or load factor from 13% to 9% on 19 Mar until 27 Mar, according to SpotRenewables.
- The latest month-ahead ECMWF weather forecast for NW Europe suggested mean temperatures is seen below average from 30 March.
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US TSYS: Yields Pull Back Again With Consumer Growth Story In Question
Feb-14 21:08
Treasuries outperformed global counterparts Friday, fully completing a reversal from a midweek selloff.
- A large miss in January retail sales (-0.9% M/M vs 0.7% prior, -0.2% consensus) represented the biggest sequential drop in 22 months, with a similarly weak "control group" figure leading to a 0.5pp downgrade to the Atlanta Fed's GDP nowcast (to 2.3% GDP growth in Q1, i.e. no acceleration from Q4).
- That was enough to see the 10Y Treasury yield drop 7bp in the subsequent half hour, continuing the downtrend seen beginning in the immediate aftermath of Wednesday's hot CPI release. 10Y yields dropped over 21bp from the Wednesday high to Thursday's low, ultimately ending a tumultuous week 1.5bp lower.
- Yields ticked a little higher in afternoon trade Friday but the curve leaned bull steeper on the day, with the belly outperforming: 2-Yr yield is down 4.6bps at 4.261%, 5-Yr is down 5.7bps at 4.3328%, 10-Yr is down 5.1bps at 4.4782%, and 30-Yr is down 3.9bps at 4.6982%.
- In futures: Mar 10-Yr futures (TY) up 9/32 at 109-08 (L: 108-26 / H: 109-15.5).
- Other data (industrial production mixed, import prices soft) had little lasting impact.
- The coming week’s data schedule is relatively light, due in part to Monday’s Presidents Day holiday (SIFMA recommends bond cash close, equities closed), with initial jobless claims, February prelim PMIs, and regional Fed manufacturing surveys among the highlights. Supply includes 20Y Bond and 30Y TIPS auctions.
- We also get plenty of Fed communications including the January meeting minutes, and speaking appearances by both doves (Gov Waller) and hawks (St Louis Pres Musalem).
USDCAD TECHS: Bear Cycle Extends
Feb-14 21:00
- RES 4: 1.4948 High Mar 2003
- RES 3: 1.4814 High Apr 2003
- RES 2: 1.4503/1.4793 High Fb 4 / 3 and key resistance
- RES 1: 1.4380 High Feb 10
- PRICE: 1.4175 @ 16:54 GMT Feb 14
- SUP 1: 1.4107 50.0% retracement of the Sep 25 ‘24 - Feb 3 bull cycle
- SUP 2: 1.4011 Low Dec 5 ‘24
- SUP 3: 1.3944 61.8% retracement of the Sep 25 ‘24 - Feb 3 bull cycle
- SUP 4: 1.3894 Low Nov 11 ‘24
USDCAD broke lower Thursday, breaking out of a tight trading range this week and remains soft. A key support at 1.4261, the Jan 20 low, has been cleared and this signals scope for an extension of the current bear cycle - a correction. Scope is seen for a move towards 1.4107, a Fibonacci retracement. Initial firm resistance to watch is 1.4380, the Feb 10 high. A break would highlight an early bullish reversal signal.
OPTIONS: Mixed SOFR Rates Trade To Cap Week
Feb-14 20:47
Friday's US rates/bond options flow included:
- SFRH5 95.62p, traded half in 2k.
- SFRH5 96.93c, traded 0.25 in 4k.
- SFRH5 95.75/95.62ps 1x2, Traded 3.75 in 3k.
- SFRK5 97.00c, traded for 0.75 and 1 in 3k.
- SFRU5 95.93/95.81/95.68p fly, traded 1 in 1.5k
- SFRU5 96.50c, traded for 6.5 in 1.5k.
- SFRU5 95.87^, traded for 36 in 5k.
- SFRJ5 95.87/95.75/95.68p fly 1x3x2 with SFRK5 95.81/95.68/95.62p ladder 1x3x2, bought for 10 in 2k.
- SFRM5 95.68p, sold at 2.5 in 10k.
- 0QH5 96.00c, bought for 13 in 3k.
- TYH5 107p, bought for 11 in 15k
- TYJ5 107p, bought for 11 in 17k total.
- TYJ5 107/106ps, bought for 7 in 15k total.
