IRAN: "*IRAN PRESIDENT SAYS WON’T BACK DOWN IN TALKS: STATE TV" -bbg

SOFR & Treasury options trade outlined below - two way 10Y flow and 30Y vol sales early segued to 10Y vol buying and consolidation of soon to expire May options. SOFR volumes remained modest. Underlying futures weaker - near midday lows. Projected rate cut pricing consolidates slightly vs. late Monday lvls (*): Apr'26 at +.1bp, Jun'26 at -0.1bp (-0.9bp), Jul'26 at -1.4bp (-2.9bp), Sep'26 at -3.6bp (-6.3bp), Oct'26 -5.4bp (-9.4bp).

• SOFR Options:
  • +7,000 SFRU6 96.31 straddles, 24.0-24.5
  • +5,000 0QZ6 97.87 calls, 4.0 vs. 96.58/0.06%
  • +3,000 SFRU6 96.31 straddles, 24.0 ref 96.36
  • +2,500 0QU6 96.62 puts, 26.5 vs 96.555/0.54%
  • +5,000 SFRV6/SFRZ6 96.68/96.81 call spd spd 0.5 net/Dec over
  • +5,000 SFRN6 96.50/96.75 call spds, 2.75 ref 96.36
  • Block/screen, 20,000 SFRM6 95.87/96.00 put spd vs. SFRZ6 95.75/96.00 put spd, 3.0 net/Dec over
  • +5,000 SFRU6 96.43/96.50/96.56 call flys, 0.5
  • +10,000 SFRU6 96.50/96.81/97.12 call flys, 3.5
  • 1,000 SFRM6 95.37/97.37 strangles, 17.5
  • 1,750 SFRU6 96.25/96.81 strangles ref 96.385
  • 1,000 SFRU6 96.43/96.56/96.75/96.87 call condors
  • 1,000 SFRM6 96.25/96.31/96.37 put flys ref 96.33
  • +2,000 0QM6 96.00/96.12/97.00/97.12 call condors, 11
  • +3,500 SFRM6 96.31 puts, 2.5 vs. 96.35/0.39%
• Treasury Options: reminder, May options expire Friday
  • appr +35,000 TYK6 111 puts, 8 ref 111-09, total volume over 53,600 (exp Fri)
  • 2,000 TYK6 110.75/111.5 put spds, 7 ref 111-09
  • 3,250 TUK6 103.87 calls, 2 ref 103-25.12
  • over 7,800 TUK6 103.75 puts. 1.5 ref 103-25.38
  • 10,000 TUM6/TUN6 104 call spds
  • 5,600 TYM'/TYN6 104 put spds
  • over +21,000 TYQ6 108.5 puts, 20 vs. 111-13/0.18%
  • -2,000 TYN6 109.5/113.5 strangles, 35
  • 1,750 USN6 99.00 put, 2 ref 114-05
  • 2,000 USM6 111/113 put spds, 21 ref 114-18
  • -1,750 USN6 97.00 put, 1 ref 114-05
  • -1,500 USM6 105/126 strangles, 3 ref 114-19
  • -1,000 USM6 105/124 strangles, 4
  • over 8,900 TYK6 112 calls, 5 ref 111-19
  • 2,000 TYK6 110.75/111 put spds
  • +2,400 TYK6 112/112.5 call spds, 4

• Fresh concerns around the stalling of peace negotiations have weighed on risk sentiment Tuesday, with the headlines on US Vice President Vance’s trip to Pakistan being on hold fuelling the next leg higher for crude.
• WTI May 26 is up by 2.6% at $91.9/bbl.
• Headlines reported that the US-Iran diplomatic process is paused due to Iran’s continued failure to confirm whether they were attending the peace talks.
• Fars news reported previously that Iran has yet to decide whether it will attend the peace talks in Islamabad that were set for this week.
• Meanwhile, a more recent headline that cited CNN stating that Vance was likely to depart for Pakistan on Wednesday remains unconfirmed and is likely to have been erroneous.
• That headline caused a dip in crude away from the intraday high.
• The fate of US-Iran peace talks thus remains uncertain with the ceasefire, scheduled to end tonight, likely extended at least to tomorrow based on Trump’s morning comments.
• From a technical perspective, recent weakness in WTI futures is considered corrective. The contract is still trading through the 20-day EMA, at $94.58. Attention is on support at the 50-day EMA, at $87.58, a clear break of which is required to highlight a stronger short-term reversal.
• On the upside, key resistance and the bull trigger has been defined at $101.17, the Apr 7 high. Clearance of this hurdle would confirm a resumption of the uptrend.

• RES 4: 161.95 High Jul 3 ‘24 and a major resistance
• RES 3: 161.46 1.618 proj of the Jan 27 - Feb  - 12 price swing
• RES 2: 160.79 1.500 proj of the Jan 27 - Feb  - 12 price swing
• RES 1: 160.03/160.46 High Apr 7 / High Mar 30 and the bull trigger
• PRICE: 159.42 @ 16:37 BST Apr 21
• SUP 1: 157.59 Low Apr 17
• SUP 2: 157.00 100-DMA 
• SUP 3: 156.46 Low Mar 5 
• SUP 4: 155.85 Low Mar 2 

Prices dropped sharply Friday on Iran de-escalation, pushing price through the 50-day EMA support to touch the 50-dma at 157.66 for the first time since early February. Further weakness here needs to test 156.46 to knock trend monitor studies lower, keeping the broader outlook positive for now, and highlighting a dominant medium-term uptrend. The recovery from last week’s low reinforces current conditions and scope is seen for a climb towards 160.79 next, a Fibonacci projection.