US TSYS: Late Eurodollar/SOFR/Treasury Option Roundup

Oct-24 18:40

Carry-over upside call trade in SOFR options overnight following Fri's strong rebound in 2s-10s amid speculation over a 75bps hike at year end (WSJ/Timiraos) underscored by midday comments from SF Fed Daly (FOMC needs to start considering a slowing the pace of interest rate hikes in order to avoid tightening monetary policy too much).

SOFR Options:
- Block, +10,000 SFRZ2 95.75/95.87 call spds, 1.0
- Update +60,000 SFRZ2 95.75/95.87 call spds, 0.75
- -3,000 SFRF3 95.75 calls 5.0 ref 95.125
- Block, 15,000 SFRZ2 95.75/96.00/96.25 call flys, 0.75
- 8,500 Block/screen SFRZ2 95.37/95.50/95.56/95.68 call condors
- 3,000 short Aug 95.25 puts
- Block, 8,880 SFRZ2 95.00/95.12/95.25/95.37 put condors, 5.0-5.5
Treasury Options saw better put volumes :
- 4,000 TYZ 104.25 puts, 5
- 4,200 FVZ 105.25 puts, 26
- Block, 10,000 FVZ2 105 puts, 25.5 ref 106-04.75
- 5,000 TYZ 109/110 put spds, 25-27
- 10,000 Block/screen TYZ 108 puts, 33-32
- Block, total 15,000 FVZ 105.25 puts, 28-23

Want to read more?

Find more articles and bullets on these widgets:

Link to the page Link to the page Link to the page Link to the page

Historical bullets

USDCAD TECHS: Impulsive Rally Extends

Sep-23 20:00

RES 4: 1.3716 High Jun 26 2020
RES 3: 1.3702 2.382 proj of the Aug 25 - Sep 7 - 13 price swing
RES 2: 1.3651 61.8% retracement of the 2020 - 2021 bear leg
RES 1: 1.3582 2.00 proj of the Aug 25 - Sep 7 - 13 price swing
PRICE: 1.3561 @ 15:32 BST Sep 23
SUP 1: 1.3358 Low Sep 21
SUP 2: 1.3194 20-day EMA
SUP 3: 1.3058 50-day EMA
SUP 4: 1.2954 Low Sep 13

USDCAD maintains a clear bullish tone and the pair traded higher again Friday. The extension reinforces bullish conditions and maintains the positive price sequence of higher highs and higher lows. Moving average studies are in a bull mode position, highlighting current market sentiment. Sights are set on 1.3582 next, a Fibonacci projection. On the downside, initial firm support is at 1.3194, the 20-day EMA.

US TSYS: Tsy Ylds Off New Lows, Stocks Bouncing Late, US$ Index Surge To 113.228

Sep-23 19:36

Well off late overnight lows when 2YY made new 15Y high of 4.2657%, FI markets finishing mixed, curves unwinding a large portion of Thu's steepening with bonds trading higher through the second half, 2s10s currently -10.559 at -51.613.

Tsy dipped briefly after better than exp S&P US Sep Flash Mfg PMI: 51.8 vs. 51.0 est, much better than expected services (49.2 vs. 45.5 est) and comp (49.3 vs. 46.1) still contractionary (below 50).
Otherwise, Tsys and EGBs tracked Gilts amid heavy selling in short end to intermediates after fiscal event concluded by Chancellor Kwasi Kwarteng in the House of Commons earlier. Event marked largest shift in the policy stance of the Conservative party in a generation. Bloomberg reports that the cost of the package will be GBP161bn over five years.
In the aftermath of Wed's 75bp Fed and Thu's 50bp BoE hikes, debate over how much hawkish forward guidance to price in continues. Many US and London banks adjusting rate hike expectations to 75bp again in respective November policy meetings.
Meanwhile, persistent rally in USD Index has extended through the London close, with the greenback hitting new cycle highs of 112.866. Move exacerbated by protracted weakness in GBP (making up around 12% of the USD Index) following the UK mini budget earlier today.
Cross asset roundup: stocks making a move off late session lows, Energy sector underperforming (SPX -77 at 3695.0) crude sharply lower (WTI -4.67 at 78.82), as is Gold -28.64 at 1642.58.