STIR: Fed Rates Marginally More Hawkish Again With FOMC Ahead
- Fed Funds implied rates have extended yesterday’s modest climb in London trading, where, aside from today’s expected 25bp cut, implied rates are 1.5-2.5bp higher on the day out to mid-2026.
- The moves could be a combination of pre-FOMC positioning and headlines on the Trump-Xi meeting going ahead mid-morning tomorrow, later suggested it could last for three hours.
- Cumulative cuts from 4.12% effective (after Monday’s latest push higher): 27bp Oct, 48bp Dec, 61.5bp Jan, 71.5bp Mar, 78bp Apr, 91.5bp Jun.
- SOFR futures are only 0.5-1 tick lower on the day when looking out to end-2027.
- It leaves the terminal implied yield unchanged at 2.995% after yesterday’s close nudged to a fresh high since Oct 9, i.e. prior to the increase in US-China trade tensions on Oct 10.
- MNI Fed Preview: https://media.marketnews.com/Fed_Prev_Oct2025_With_Analysts_2c9e326366.pdf
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US 10YR FUTURE TECHS: (Z5) Corrective Cycle
- RES 4: 114-10 High Apr 7 (cont.)
- RES 3: 114-00 Round number resistance
- RES 2: 113-12/29 High Sep 18 / High Sep 11 and the bull trigger
- RES 1: 112-24/113-00 20-day EMA / High Sep 24
- PRICE: 112-16+ @ 11:28 BST Sep 29
- SUP 1: 112-01 50.0% retracement of the Jul 15 - Sep 11 bull phase
- SUP 2: 111-26 Low Aug 26
- SUP 3: 111-13+ Low Aug 18 and a key support
- SUP 4: 111-01+ 76.4% retracement of the Jul 15 - Sep 11 bull phase
Treasury futures traded lower last week and remain in retracement mode. Thursday’s sell-off has resulted in a print below the 50-day EMA, at 112-10. A clear break of this average would undermine a bull theme and signal scope for a deeper retracement. This would open 111-13+, the Aug 18 low and the next key support. Initial firm resistance to watch is 113-00, the Sep 24 high.
SONIA OPTIONS: Latest Option trades
- SFIZ6 96.25/96.75/97.00cfly vs SFIM6 96.00p x2, traded 7.75 for the Fly in 7.5k. This trade was done Paper to Paper.
- SFIZ6 96.60/96.75cs vs 96.25/96.15ps, bought the cs for 0.75 in 7k Total.
SOFR: Mix Of Long Setting & Cover Most Prominent In Futures On Friday
OI data points to net long setting being most prominent through the reds on Friday, before net long cover came to the fore in the greens and blues as the SOFR futures strip twist steepened
| 26-Sep-25 | 25-Sep-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRU5 | 1,444,055 | 1,449,448 | -5,393 | Whites | +22,562 |
SFRZ5 | 1,514,329 | 1,522,050 | -7,721 | Reds | +41,376 |
SFRH6 | 1,216,258 | 1,182,195 | +34,063 | Greens | -20,591 |
SFRM6 | 1,031,498 | 1,029,885 | +1,613 | Blues | -1,628 |
SFRU6 | 936,267 | 902,448 | +33,819 |
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SFRZ6 | 1,041,486 | 1,055,171 | -13,685 |
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SFRH7 | 758,297 | 742,132 | +16,165 |
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SFRM7 | 775,915 | 770,838 | +5,077 |
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SFRU7 | 669,626 | 676,518 | -6,892 |
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SFRZ7 | 727,476 | 727,951 | -475 |
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SFRH8 | 415,766 | 421,828 | -6,062 |
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SFRM8 | 359,660 | 366,822 | -7,162 |
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SFRU8 | 266,461 | 275,015 | -8,554 |
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SFRZ8 | 298,631 | 295,455 | +3,176 |
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SFRH9 | 188,448 | 185,308 | +3,140 |
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SFRM9 | 177,800 | 177,190 | +610 |
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