FOREX: GBPUSD Probing Trendline Support
Sep-24 12:20
- The dollar’s supportive tone continues to dominate currency markets on Wednesday, as markets digest the latest U.S. & Russia comments surrounding Ukraine. GBPUSD has reverted lower in sympathy, currently probing initial trendline support (drawn from the Aug 01 low) at 1.3458. Clearance of this line would strengthen a bearish threat and target a move towards key support which resides at 1.3333, the Sep 3 low.
- As a reminder, flash PMIs for September disappointed expectations on Tuesday, adding to the building negative sentiment following last week’s public sector net borrowing data and associated concerns around the upcoming budget.
- Goldman Sachs believe vulnerabilities in the UK labour market, the need for further fiscal consolidations, global cyclical risks and a challenging structural valuation picture still point to a gradual drift higher in EUR/GBP from here.
- The latest recovery for the cross paves the way for an extension towards the bull trigger at 0.8769, the Jul 28 high. Clearance of this level would strengthen the bullish theme.
Source: Bloomberg Finance L.P. / MNI
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US TSYS: Extending Lows With German Bund
Aug-25 12:17
- Tsys extended lows in the last few minutes (TYU5 -6.5 at 111-30), Bunds following similar decline and modest bounce (RXU5 128.85 low, 128.88 last -.56).
- Heavy Treasury volumes tied to the Sep/Dec roll with Dec taking lead this Friday. Sep futures don't expire until next month: 10s, 30s and Ultras on September 22, 2s and 5s on September 30. Meanwhile, Sep'25 Tsy options will expire LAST Friday, August 22.
- Initial technical support at 111-13 (50-day EMA), a clear break of this average would expose support at 110-23+, the Aug 1 low.
STIR: Repo Reference Rates
Aug-25 12:11
- Secured Overnight Financing Rate (SOFR): 4.36% (+0.04), volume: $2.738T
- Broad General Collateral Rate (BGCR): 4.35% (+0.04), volume: $1.143T
- Tri-Party General Collateral Rate (TCR): 4.35% (+0.04), volume: $1.118T
- (rate, volume levels reflect prior session)
US TSYS: Early SOFR/Treasury Option Roundup: Modest Put Volume
Aug-25 11:31
SOFR & Treasury options volumes rather modest ahead of the NY open - partly tied to London bank holiday today. Heavy futures volumes (TYU5 near 600k already) largely ties to Sep/Dec rolling, % complete over a third coming into the session. Underlying paring a small portion of Friday's post-Powell speech support. Un turn, projected rate cuts have cooled vs. late Friday (*) levels: Sep'25 steady at -21.2bp, Oct'25 at -34.1bp (-33.1bp), Dec'25 at -52.9bp (-55.1bp), Jan'26 at -65.6bp (-68.6bp).
- SOFR Options:
- over 11,100 SFRU5 95.93 puts, 7.0 last
- over 7,400 SFRU5 95.81 puts, 2.25 last
- 6,000 SFRU5 95.87 calls 5.75 last
- 4,000 SFRV5 96.06/96.18 put spds vs. 96.43 calls ref 96.21.5
- 7,600 SFRV5 96.25/96.37 call spds ref 96.22
- Treasury Options:
- 2,000 USX5 109/112 put spds
- over 5,700 TYV5 110 puts, 6 last
- over 3,700 TYV5 113 calls, 23 last
- 1,500 wk5 TY 111/111.5/111.75/112 broken put condors ref 112-04.5, exp Fri
- 2,000 FVX5 108/108.25/108.75 put trees ref 109-05
