US NATGAS: HH Demand and Production Go Lower, Outlook Bullish

• Currency options markets have identified CAD, EUR, MXN, PLN and HUF as being the most exposed to tariff risk headed into Trump's Rose Garden appearance later today. Trump is scheduled to begin his tariff announcement from 1600ET/2100BST - but it remains unclear how the details will be released, reinforcing the likelihood of intraday vol through the US cash equity close.
• We anticipate Trump will opt for a broad country-by-country approach, targeting those that maintain the largest goods trade surpluses with the US. While blanket tariffs or a tiered system remain viable options, this would leave countries including, but not limited to, the EU, China, Mexico, Canada, Japan and South Korea particularly sensitive.
• As a result, CAD overnight implied vols are posting the largest risk premium across G10, pushing implied to 18 points for the third time this year, rivalling the pre-Fentanyl tariff vol events in February and March. This blows out the break-even on an overnight USD/CAD straddle to ~100pips, well over double the YTD average, implying significant two-way risk into Thursday's NY cut.
• Those looking to play USD/CAD downside as part of a tariff-relief play eye breaking even on an ATM 3m USD/CAD put with spot below approx. 1.4075 at expiry (or 1.4125 should an up-and-out barrier be added at the February highs). 

• In the FI space, Bund futures are trading at their recent highs. The latest recovery is considered corrective, however, the breach of the 20-day EMA and a print above resistance at 129.41, the Jan 14 low, strengthens a bullish theme and opens the 130.00 handle and 130.26, the 61.8% retracement of the Feb 28 - Mar 11 bear leg. Key short-term support to watch lies at 127.74, the Mar 25 low. Clearance of this level would highlight a reversal. Initial support lies at 128.47, the Mar 28 low.
• The short-term trend outlook in Gilt futures remains bearish, however, recent gains highlight a corrective cycle and this signals scope for a stronger recovery near-term. An extension would open 92.42, a trendline resistance drawn from the Mar 4 high. Clearance of this level would strengthen the short-term bull cycle. Key support and the bear trigger has been defined at 90.55, the Mar 27 low. First support lies at 91.59, the Mar 31 low.

Reuters reports comments from Italian PM Giorgia Meloni regarding the incoming imposition of US 'reciprocal' tariffs. Says "It is clear that the introduction of new US tariffs would hit Italian producers hard [...] I remain convinced that we must work hard to avoid at all costs a trade war. [...] I do not rule out adequate responses to US tariffs to defend our products." 

• Corriere Della Sera reports that according to insiders from Meloni's national-conservative Brothers of Italy (FdI), the strategy is to "Wait for "concrete decisions", avoid reactive failures and in the meantime negotiate and mediate. "We need to lower the tone and avoid an escalation that would be harmful to everyone", is the linchpin of Meloni's reasoning, which her supporters believe to be based on "common sense and pragmatism".
• One notable event will be US President JD Vance's (personal) visit to Italy on 18-20 April. Vance has requested a meeting with Meloni, and it is seen as likely that she presses the VP to loosen the grip of tariffs.
• However, it is seen as unlikely that she pursues Deputy PM Matteo Salvini's preferred option of advocating bilateral Italy-US talks, instead maintaining EU unity. The good relations between Vance and Salvini could throw up further obstacles for Meloni, given the notable tensions existing within the tripartite right-wing coalition (see 'MNI: Defence Spending Deepens Italian Government Fractures', 24 March).