OPTIONS: Larger FX Option Pipeline
Mar-09 12:45
- EUR/USD: Mar10 $1.0500(E1.1bln), $1.0525-27(E1.3bln), $1.0550-65(E1.0bln), $1.0600-20(E1.1bln), $1.0660-65(E1.1bln); Mar13 $1.0500-10(E1.1bln), $1.0600(E1.0bln), $1.0690-00(E2.1bln)
- USD/JPY: Mar10 Y136.00($2.3bln)
- AUD/USD: Mar10 $0.6800-20($1.0bln)
- USD/CNY: Mar13 Cny6.8500($1.2bln)
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US TSYS: Early SOFR/Treasury Option Roundup
Feb-07 12:31
Option volumes well off Monday's pace, better put trade on net:
- SOFR Options:
- Block, 3,000 SFRM3 94.62/94.75 put spds, 3.25 ref 94.875
- Block, 4,000 SFRN3 94.87/95.00 put spds, 6.0 vs. 94.945/0.10%
- 3,600 SFRH3 95.00/95.06/95.18/95.25 put condors ref 95.09
- Block, 4,000 SFRG3 95.12/95.18/95.25 put trees, 3.0 vs. 95.105/0.70%
- Block, 3,000 OQH3 95.87/96.00 put spds, 8.0 ref 95.78
- 2,000 SFRU3 95.06/95.12/95.18/95.25 call condors ref 94.985
- Treasury Options:
- 3,000 TYH3 114.25 calls, 27 ref 113-18
- 2,600 wk2 TY 112.25/112.5/112.75/113 put condors ref 113-14.5
- 2,400 FVJ3 108.25/109.75 put spds ref 108-31.75
- 1,500 FVH3 106.5/107/108 broken put flys ref 108-15.25
US EURODLR FUTURES: Post-LIBOR Settle Update: 3M New High, Spds Pare Inversion
Feb-07 12:13
Lead quarterly Mar'23 (EDH3) -0.010 to 94.94 after 3M LIBOR set' inches +0.00186 to new 14-year high of 4.84500% (+0.01086/wk).
- Fed funds implied hike for Mar'23 at 25.4bp, May'23 cumulative 44.2bp to 5.026%, Jun'23 53.6bp to 5.120%, terminal at 5.120% in Jul'23/Aug'23.
- Balance of Eurodollar Whites (EDM3-EDZ3) steady to +/-0.005, Reds (EDH4-EDZ4) +0.005-0.030, Greens through Blues (EDH5-EDZ6) +0.035-0.015, Golds (EDH7-EDZ7) steady to -0.005.
- Current deferred spds vs. prior settles:
- Jun'23/Sep'23: +0.000 vs. +0.005
- Mar'23/Red Mar'24: -0.555 vs. -0.550
- Jun'23/Red Jun'24: -1.280 vs. -1.260
- Option recap: Surge in SOFR option volume Monday, two-way in wings as underlying continued to sell-off/price in higher for longer rate hike expectations following last Fri's NFP jobs surge.
US 10YR FUTURE TECHS: (H3) Bear Cycle Extends
Feb-07 11:59
- RES 4: 116-00 High Feb 2
- RES 3: 115-22+ High Feb 3
- RES 2: 114-18 20-day EMA
- RES 1: 114-11+ High Feb 6
- PRICE: 113-15+ @ 11:46 GMT Feb 7
- SUP 1: 113-10+ Feb 6 Low
- SUP 2: 112-29 76.4% retracement of the Dec 30 - Jan 19 bull run
- SUP 3: 112-18+ Low Jan 5
- SUP 4: 112-10+ Trendline support drawn from the Oct 21 low
A sharp pullback in Treasury futures Friday and a continuation lower Monday, highlights a bearish cycle and signals scope for an extension of the current bear cycle. The contract has breached 114-05+, the Jan 30 low and a short-term bear trigger. Note that price has also breached the 50-day EMA. This opens 112-29 next - a Fibonacci retracement. Initial firm resistance is seen at 114-18, the 20-day EMA.
