IRAN: “IRAN'S REVOLUTIONARY GUARDS SAY TWO TANKERS STRUCK NAVAL MINES

SOFR & Treasury options trade outlined below: early SOFR call volumes saw rise in puts as underlying retreated, Treasury options leaning towards 10Y puts for second consecutive session. Rate hike projections vs. late Tuesday levels (*): Oct'26 at +15.4bp (+12.2bp), Dec'26 +35.4bp (+31.4bp), Jan'27 +47.7bp (+41.9bp), Mar'27 +64.8bp (+58.2bp).

• SOFR Options
  • +7,000 OQF7 95.00 puts, 16.5 vs. 95.205/0.37%
  • -4,000 SFRH7 94.87/95.87/96.00 put trees, 3.75 ref 95.355
  • -5,000 SFRM7 95.62/95.87/96.12 call flys w/ 2QZ6 95.87/96.12 call spd strip, 3.5
  • -4,000 SFRZ6 95.18/95.31/95.62/95.75 put condors, 5.75 ref 95.64
  • +10,000 SFRZ6 95.31/95.43/95.81/95.93 put condors, 10.5 ref 95.64
  • +10,000 SFRX6 95.50/95.56/95.62 put trees, 0.5 to 0.62 ref 95.64
  • -2,000 SFRH7 95.00/95.37 put spds, 12.5 ref 95.365
  • +7,500 SFRM7 96.62/97.37 2x3 call spds, 2.0 net ref 95.21
  • +10,000 SFRX6 95.87/95.93/96.00 call flys, 0.25 ref 95.675
  • +2,000 SFRM8 95.00 puts w/ SFRU8 95.25 puts, 89.0
  • +2,000 SFRX6 95.50/95.56/95.62 put trees, 0.5 ref 95.675
  • Block, 5,000 0QV6 95.68/95.81 call spds, 0.5 ref 95.285
  • 4,000 SFRX6 95.56 put with SFRZ6 95.75/96.00 2x1 put spds, 11.25 total vs. 95.68/0.09%
  • +1,000 OQH7 95.31 straddles, 58.25 ref 95.30
  • +5,000 SFRX6 95.87/95.93/96.00 call flys, cab ref 95.675
  • 2,000 SFRZ6 95.75/96.00/96.25 call trees, ref 95.68
  • 3,250 SFRZ6 95.56/95.62 put spds ref 95.68
  • 1,800 SFRZ6 95.62/95.75/95.87 put flys ref 95.675
  • 6,500 0QX6 95.62 calls ref 95.275
  • 2,000 SFRZ6 95.75/96.00 put spds
  • 9,000 SFRX6 95.75/95.87/96.00 call flys ref 95.68
  • 7,500 SFRH7 97.75 calls, 0.75 ref 94.43
  • 4,500 SFRV6 95.50/95.56/95.87/96.00 broken put condors ref 95.68
  • 2,500 SFRZ6 96.37/96.50 1x2 call spds ref 95.68
• Treasury Options
  • 20,288 TYX6 105/107/109 call trees, 47 ref 105-06
  • +6,000 TYX6 105.5 straddles, 123
  • 4,000 TUZ6 101.25 puts, 8 ref 101-23.38
  • 15,000 TYV6 106.25 calls, 2 ref 105-12
  • +20,000 wk1 TY 105/106 strangles, 27 ref 105-13 (exp Oct 2)
  • over +23,000 TYX6 105/107 put over risk reversals, 4 net
  • 4,000 TYZ6 105.5 puts, 42 ref 105-29
  • 3,600 TYZ6 106 straddles, 149 ref 106-01.5
  • 10,000 USV6 112 calls, ref 107-18
  • 4,400 TYZ6 106 puts, 55 ref 106-02
  • 1,000 USV6 107/108/109 call flys ref 107-24

• RES 4: 0.7310 1.00 proj of the Mar 30 - May 6 - Jun 30 price swing
• RES 3: 0.7278 High May 6 and key resistance
• RES 2: 0.7238 High Sep 09 and a S/T bull trigger
• RES 1: 0.7137 20-day EMA 
• PRICE: 0.7034 @ 17:04 BST Sep 23
• SUP 1: 0.7032 Low Sep 23
• SUP 2: 0.7007 61.8% retracement of the Jun 30 - Sep 9 bull leg
• SUP 3: 0.6984 Low Aug 3 
• SUP 4: 0.6953 76.4% retracement of the Jun 30 - Sep 9 bull leg  

Wednesday’s move down in AUDUSD strengthens a short-term bear cycle. Recent weakness has resulted in a breach of the 20-day and 50-day EMAs. A clear breach today of the 50-day EMA, currently at 0.7107, undermines the bull theme and signal scope for a deeper retracement. Sights are on 0.7007 next, a Fibonacci retracement. Key resistance is at 0.7238, the Sep 09 high. First resistance is at 0.7137, the 20-day EMA.         

• Treasuries look to finish broadly weaker but off midday lows after yields climbed to the highest levels in 20 years Wednesday. Higher than expected S&P flash PMIs (carry over from hawkish flash PMIs for EGBs) triggered heavy selling, while doubts over US/Iran diplomatic efforts spurred crude prices higher.
• TYZ6 currently -30 at 105-02 vs. 104-28 low, yield +.1466 at 5.1079% vs. 5.1329% high. Tsy futures extended lows after large 3.1bp tail - 16th consecutive for the $70B 5Y note auction (91282CRK9) drew 5.033% high yield vs. 5.032% WI; 2.21x bid-to-cover vs. 2.37x prior (2.33x 5-auction avg).
• The S&P Global US PMIs were far stronger than expected in the flash September update, with manufacturing hitting a 52-month high (57.0 (cons 53.7) in Sep prelim after 53.9 in Aug) and services a 59-month high (58.7 (cons 55.8) in Sep prelim after 56.5 in Aug). Input costs also surged higher on the back of higher energy prices, less surprising considering the survey was collected 10-22 Sep, although selling price inflation was more muted and still below those seen through March-July.
• Crude oil has risen on Wednesday as earlier optimism around US-Iran diplomatic efforts has faded following more hardline rhetoric from Iranian officials WTI Nov 26 is up by 2.0% at $92.4/bbl. US Secretary of State Marco Rubio said that if there is to be a deal with Iran, it would require hard work and time and that Tuesday talks with Iran were positive but not a breakthrough. A senior Iranian official told Reuters that Tehran was reviewing a US response to its proposal to end hostilities, although many differences remain between the sides.
• Gov Barr (permanent FOMC voter)'s speech Tuesday is primarily on the longer-term outlook for the housing sector, but importantly he notes that his "base case" is for "further policy adjustments" (plural). "In my base case, further policy adjustments are likely to be needed to ensure inflation comes down to target in a timely fashion. We want to support sustainable, durable growth in support of maximum employment, and price stability is crucial to that."
• Look ahead to Thursday: After Aussie jobs data, the focus will be on CB decisions in Sweden, Switzerland and Norway. Meanwhile, headlines emanating from the Trump-Xi summit will garner significant attention after Xi . China bank holiday Thursday.