STIR: Implied Fed Easing Fades Slightly On Strong PPI
A September Fed rate cut is no longer quite fully priced, after seeing 26+bp in easing priced by Wednesday's close.
- Above-expected producer price data saw Fed funds futures sell off across the board Thursday, with cumulative cuts through the next six meetings reduced by 7-8bp. For September, it's now 23-24bp, so still almost a sure thing.
- However at least one current FOMC voter, St Louis's Musalem, sounded less than enthusiastic about the prospect of a cut ("too early to say exactly what policy I will be able to support" at the meeting).
- On the week, Fed easing expectations are roughly unchanged however, with today's move merely reversing the dovish post-CPI shift on Tuesday and Wednesday.
- Plenty of data Friday that could move the needle, including July retail sales and UMichigan consumer inflation expectations.
- Current implied easing (cumulative) by meeting: 23bp Sept, 38bp Oct, 58bp Dec, 69bp Jan.
| Meeting | Current FF Implieds (%), LH | Cumulative Change From Current Rate (bp) | Incremental Chg (bp) | Yesterday (Aug 13) | Chg Since Then (bp) | Start of Week | Chg Since Then (bp) |
| Sep 17 2025 | 4.10 | -23.4 | -23.4 | 4.06 | 3.4 | 4.10 | -0.7 |
| Oct 29 2025 | 3.95 | -38.3 | -14.9 | 3.90 | 4.9 | 3.95 | -0.6 |
| Dec 10 2025 | 3.75 | -57.6 | -19.3 | 3.69 | 6.3 | 3.75 | 0.1 |
| Jan 28 2026 | 3.64 | -68.8 | -11.2 | 3.57 | 7.2 | 3.65 | -0.6 |
| Mar 18 2026 | 3.51 | -81.9 | -13.1 | 3.44 | 7.4 | 3.53 | -2.0 |
| Apr 29 2026 | 3.44 | -88.7 | -6.8 | 3.37 | 7.5 | 3.46 | -1.7 |
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AUDUSD TECHS: Bulls Remain In The Driver’s Seat
- RES 4: 0.6700 76.4% retracement of the Sep 30 ‘24 - Apr 9 bear leg
- RES 3: 0.6688 High Nov 7 ‘24
- RES 2: 0.6603 High Nov 11 ‘24
- RES 1: 0.6595 High Jul 11
- PRICE: 0.6515 @ 16:43 BST Jul 15
- SUP 1: 0.6509 Low Jul 15
- SUP 2: 0.6487/6373 50-day EMA / Low Jun 23 and a reversal trigger
- SUP 3: 0.6357 Low May 12
- SUP 4: 0.6275 Low Apr 14
The trend set-up in AUDUSD remains bullish and last week’s gains reinforces current conditions. Resistance at 0.6590 has been pierced. A clear break of this price point would strengthen a bullish condition and confirm a resumption of the uptrend plus maintain the price sequence of higher highs and higher lows. Scope is seen for a climb towards 0.6603 next, the Nov 11 2024 high. Initial firm support to watch is 0.6487, the 50-day EMA.
PIPELINE: Late Corporate Bond Roundup
- Date $MM Issuer (Priced *, Launch #)
- 07/15 $1.5B *Univision Communications 7NC3 9.375% (upsized from $1B)
- 07/15 $1B *Conagra $500M 5Y +102, $500M 10Y +127
- 07/15 $1B Aecom 8NC3
- Expected this week:
- 07/15 $500M Boots Group 7NC3 (includes GBP & EUR issuance)
- 07/?? $1.5B Kioxia Holdings 5NC2, 8NC3
US TSYS: Late SOFR/Treasury Option Roundup: Better Puts Post-CPI, Sites on PPI
SOFR & Treasury options saw better put volume Tuesday, outright and spd, as underlying futures rejected the initial post-CPI rally. Focus turns to Wednesday's June PPI data. Curves hold flatter profiles/well off lows, 2s10s -0.067 at 53.072, projected rate cut pricing continues to soften vs morning/pre-data (*) levels: Jul'25 steady at -0.6bp, Sep'25 at -14.1bp (-15.7bp), Oct'25 at -27.1bp (-29.4bp), Dec'25 at -43.7bp (-46.7bp).
- SOFR Options
- Block/pit, -11,500 SFRU5 95.25/95.75 put spds, 3.5 ref 95.815
- Block, 5,000 SFRU5 95.68/95.81 2x1 put spds, 4.25
- Block, -10,000 SFRZ5 96.25/96.50/96.75/97.00 call condors, 4.0 net ref 96.125
- 1,250 SFRZ5 95.75/95.87/96.25/96.37 call condors
- Block, +20,000 SFRU5 95.62 puts, cab
- -16,000 SFRH6 96.00/96.50 put spds 23.75 vs. 96.385/0.30%
- 10,250 SFRU5 95.81 puts, ref 95.84
- +2,000 SFRU5 95.87/96.00/96.06/96.18 call condors, 2.75
- 2,000 SFRU5 95.56/95.68 2x1 put spds ref 95.85
- +2,500 SFRU5 95.25/95.75 put spds, 3.5
- +5,000 SFRZ5 95.75/95.87/96.00 put trees, 2
- 4,000 SFRQ5 95.75/95.81 put spds
- Block/screen +14,100 SFRU5 95.62/95.75/95.81/95.87 broken put condors, 0.5
- +2,500 SFRU5 96.12/96.37 call spds, 1.25
- Treasury Options:
- 13,200 TYV5 108.5 puts, 32 ref 110-08
- Block, 10,000 TYV5 108/TYX5 107.5 put strip, 54 vs. 110-10/0.20%
- +10,000 TYV5 113/115 call spds 12
- Block - adds to below w/ another 18,600 USU5 108 puts, 34-35 with 13,400 at 32 on screen
- Block, total 22,500 USU5 108 puts, 28-29 vs. 112-09/0.16%
- 6,500 TYQ5/wk3 TY 110 put spds, 4
- 5,000 TYQ5 112 calls, 4
- 2,000 TUQ5 103.25/103.37/103.62/103.75 put condors ref 103-20.38
- -10,000 TYU5 109.5/112 strangles, 38
- -2,500 wk3 TY 111.25 calls, 6 vs. 110-24.5/0.25%
- -2,000 FVQ5 107.75/108 put spds, 6
- +3,500 TYQ5 109.75 puts, 5 vs. 110-25/0.08%
- 2,000 TYQ5 111.5 calls, 9 vs. 110-24.5/0.21%
- -1,000 FVU5 108 straddles, 104.5 vs. 108-04/0.10%
- +20,000 FVQ5 107.75 puts, 7.5
- +4,000 Wednesday wkly TY 111.5/111.75 call spds, 1 ref 110-23.5 to -24.5
- +10,000 TYQ5 112 calls, 4
