FOREX: FX OPTION EXPIRY
Jul-09 08:06
Of note:
EURUSD 1.39bn at 1.0800.
USDCAD 1.92bn at 1.3590/1.3600.
USDJPY 1.52bn at 160.00.
EURUSD 2.01bn at 1.0770/1.0775 (wed).
AUDUSD 1.01bn at 0.6770 (wed).
USDCNY 1.09bn at 7.3000 (wed).
EURGBP 1.61bn at 0.8450/0.8455 (thu).
USDZAR 1.5bn at 17.90/18.00 (thu).
EURUSD 1.12bn at 1.0800 (fri).
EURUSD 1.13bn at 1.0825 (mon).
EURNOK 1bn at 11.64 (mon).- EURUSD: 1.0800 (1.39bn), 1.0820 (341mln), 1.0835 (357mln), 1.0850 (811mln), 1.0875 (360mln), 1.0905 (783mln), 1.0910 (548mln).
- GBPUSD: 1.2800 (330mln).
- USDJPY: 160.00 (1.52bn), 160.65 (587mln), 161.00 (555mln).
- USDCAD: 1.3580 (260mln), 1.3585 (250mln), 1.3590 (1.42bn), 1.3600 (496mln).
- EURSEK: 11.18 (500mln), 11.27 (519mln), 11.30 (431mln), 11.30 (333mln), 11.43 (389mln), 11.53 (312mln).
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Historical bullets
US TSYS: May Jobs Gain, Unemployment Rate Rise; Focus on CPI, FOMC Next Wed
Jun-07 19:50
- Broadly weaker after the bell, Treasuries have actually traded sideways since the initial gap sell-off following the higher than expected jobs gain of 272k (+180k est), offset slightly by -15k 2-month revisions.
- Amid the dip in 55+ labor market participation (0.2pp to 38.2%) which drove the overall unexpected dip in May: it was in turn driven by a drop in Male 55+ participation to 43.4% (43.7% prior), with female participation -0.1pp to 33.6%. That's the lowest 55+ male participation rate seen since 2005 - which will act as a constraint on labor supply, which may concern the FOMC.
- Treasury futures actually extended session highs briefly, Sep'24 10Y (TYU4) tapping 110-21 before falling to 109-09.5 -- the widest gap move since April's CPI release. The 10Y contract traded in a 7 tic range since the data, trades -1-02 at 109-09.5 after the bell.
- Cash yields are broadly higher: 2s +.1585 at 4.8826%, 10s +.1406 at 4.4276%, 30s +.1118 at 4.5470%, while curves are running flatter: 2s10s -1.381 at -45.498, 5s30s -4.450 at 8.974.
- Late year rate cut projections have receded vs. late Thursday levels (*): June 2024 at -1.3% w/ cumulative rate cut -.3bp at 5.328%, July'24 at -8% w/ cumulative at -2.3bp (-5.9bp) at 5.307%, Sep'24 cumulative -13.7bp (-21.3bp), Nov'24 cumulative -20.3bp (-30.7bp), Dec'24 -37.4bp (-49.7bp).
- Looking ahead, main focus is on CPI inflation data for May Wednesday morning, followed by the FOMC policy announcement at 1400ET that afternoon.
US TSYS: Late SOFR/Treasury Option Roundup: Puts Return, Rate Cut Pricing Cools
Jun-07 19:31
SOFR and Treasury option trade remained mixed Friday, downside put buying strong as underlying futures gapped lower after the higher than expected jobs gain, while calls turned two-way. In-line with the post-data sell-off, late year rate cut projections have receded vs. late Thursday levels (*): June 2024 at -1.3% w/ cumulative rate cut -.3bp at 5.328%, July'24 at -8% w/ cumulative at -2.3bp (-5.9bp) at 5.307%, Sep'24 cumulative -13.7bp (-21.3bp), Nov'24 cumulative -20.3bp (-30.7bp), Dec'24 -37.4bp (-49.7bp)
- SOFR Options:
- Block, 10,000 0QN4 95.68 puts, 15.0 vs SFRU5 95.70/0.50%
- +3,000 SFRH5 95.50 straddles, 70.0 ref 95.315
- -6,000 SFRQ4 95.00/95.12 call spds, 1.0 ref 94.82
- +5,000 SFRZ4 96.25/96.87 call spds, 2.0 ref 95.065
- 9,000 SFRU4 94.81/94.87/95.00/95.06 call condors ref 94.82
- -5,000 SFRN4/SFRQ4 95.00 call spds, 1.75
- -5,000 SFRU4 95.12/95.25 cal spds 0.75 ref 94.82
- +6,000 SFRN4 94.62/94.75 put spds vs. SFRU4 94.68/94.75 put spds 1.0/Sep over
- Block, 8,000 SFRZ4 95.56/95.68 call spds, 1.5 ref 95.07
- Block, 10,000 SFRV4 95.50/95.75 call spds 3.75 ref 95.17
- +4,000 SFRZ5 97.50/98.50 call spds vs. 94.62 puts, 8 vs
- 12,000 0QM4 95.75/95.87/95.93 broken call flys ref 95.665- to -.67
- 3,000 SFRN4 95.12/95.37 1x2 call spds ref 94.885
- 5,000 SFRN4 95.00/95.06 call spds ref 94.885
- 3,300 SFRM4 94.68/94.75 call spds ref 94.675
- Block, 2,500 SFRZ5/SFRH6 93.75/94.25/94.75 put fly strip, 9.0 total
- 3,000 SFRZ5 96.50/97.50 call spds ref 96.015
- 6,500 0QM4 95.87/96.00 call spds ref 95.67
- Treasury Options:
- 6,000 TYQ4 107 puts, 15 ref 109-13.5
- 9,275 USQ4 124/130 1x2 call spds ref 117-16
- 20,000 wk2 5Y 106.75/107/107.5/107.75 call condors ref 106-03.5
- 8,000 TYN4 107.5/108.5 put spds, 9 ref 109-12
- 4,000 TYN4 107.5 puts, 3 ref 109-10
- 3,200 wk2 TY 108/108.75 2x1 put spds, 5 ref 109-14
- 2,000 TYU4 111/113.5 call sapds, 17 ref 109-14
- 5,000 FVQ4 105/105.5/106/106.5 put condors ref 106-05.5
- 2,500 TYN4 108/109 2x1 put spds 10 ref 109-14
- Block, -7,500 wk2 FV 106.25 calls, 19 vs. 106-06/0.47%
- -10,000 TYN4 109.25/111.25 strangles, 32
- 2,500 TYN4 108/109 put spds
- 3,150 FVN4 107.5/108.5 call spds ref 106-23
- 1,500 TYQ4 108.5 puts, 24 ref 110-09
- 1,500 USN4 116.5/118 put spds, 27 ref 119-05
- 2,500 TYN4 109.25/111.25 strangles, ref 110-09
- 1,100 FQV4 107.75 calls, ref 106-23
US STOCKS: Late Equities Roundup: Eminis Off New All-Time High, Financials Lead
Jun-07 19:20
- Off post-NFP lows, stocks marched higher in the second half before profit taking tempered support with indexes mildly lower after the bell. S&P Eminis made new all-time high of 5385.5 while the DJIA remains well off mid-May all time high of 40,065.18. Currently, the DJIA is down 24.63 points (-0.06%) at 38889.44, S&P E-Minis down 6.5 points (-0.12%) at 5363, Nasdaq down 52.1 points (-0.3%) at 17138.41.
- Financial and Industrial sector shares continued to lead gainers in late trade, banks and insurance providers supported the former: Capital One +3.15%, Discover Financial Services +2.49%, Travelers +2.07% while JP Morgan gained 1.85%. Industrials sector led by 3M Co +3.48%, United Rentals +2.27%, WW Grainger +2.05%.
- On the flipside, Real Estate and Materials sectors continued to underperform, investment trusts, particularly office and hotel REITs weighed on the former: Boston Properties -2.42%, American Tower -2.19%, Alexandria Real Estate -1.58%. Metals and mining shares weighed on the Materials sector - partially due to Gold falling over $75.0 amid reports China has curbed their 18-month buying program: Newmont -4.92%, Freeport-McMoRan -3.38% while Steel Dynamics declined 1.75%.
- Looking ahead to next week's notable earnings releases: Autodesk, Casey's General Store, Oracle, Broadcom, and Adobe.
