STIR: Late SOFR Option Roundup
Fixed income options traded more mixed, leaning toward Tsy calls early Wednesday compared to better downside put trade Tuesday. Scale buying year end upside call spreads (+50k SFRZ3 95.50/96.50 call spds and +30,000 SFRZ3 95.75/96.75 call spds) were reported post-data as projected rate hike pricing eases, markets discounting mildly hawkish comments from Richmond Fed Barkin this morning. Put volume picked up in the second half as accounts faded the strength of the rally, anticipating a retrace in the days to come. Salient trade includes:
- SOFR Options:
- Block/screen 20,000 SFRZ3 94.56/94.68/94.81 put flys,
- Block, 8,000 SFRZ3 94.37/95.00 put spds, 38.5 ref 94.685
- 7,000 SFRZ3 94.00/94.12/94.25 put flys
- Block 7,500 SFRZ3 94.56/94.68/94.81 put flys, 1.5
- Update, +20,000 SFRH4 96.00/97.00 call spds, 10.0
- Block, 25,000 SFRU3 94.62/94.87 2x1 put spds, 14.0 ref 94.615
- Block, 5,000 SFRM4 96.00/OQM4 97.00 call spds, 1.0 net steepener
- +10,000 SFRZ3 94.00/94.12/94.25 put flys, 1.0
- 30,000 SFRZ3 95.75/96.75 call spds, 3.5 ref 94.67
- +50,000 SFRZ3 95.50/96.50 call spds, 4.5-5.0
- -3,600 SFRH4 93.37/93.75 put spds
- -10,000 SFRU3 94.37/94.50 2x1 put spds, 1.0
- 3,000 OQN3 95.43/95.50 put spds, 1.0 ref 95.675
- Block, 2,500 OQH4 95.00/96.00 put spds 3.5 over SFRH4 94.62 puts covered
- 4,000 OQZ3 94.50 puts ref 96.00
- 6,000 OQU3 95.50/2QU3 96.12 put spds
- +16,000 OQV3 95.62/95.87 put spds vs. 2QV3 96.12/96.37 put spds, 1.0 net db, flattener
- 1,500 SFRH4 94.87/95.87 call spds vs. 2QH4 96.87/97.87 call spds
- 7,500 SFRU3 94.50 puts, 0.5 ref 94.58
- 2,000 SFRN3 94.50/94.56 put spds ref 94.58
- 5,200 SFRN3 94.50 puts ref 94.585
- 4,000 SFRQ3 94.62/94.68/94.75/94.81 call condors ref 94.59
- 13,000 SFRQ3 94.56/94.62/94.68 call flys ref 94.58 to -.59
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Historical bullets
US TSYS: A Mixed Session Ending Modestly Richer Ahead Of US CPI (updated)
[updating prior bullet to account for a short, sharp rally in the longer end of the curve to drive an outright bull rather than twist steepening]
- Treasuries have seen a volatile session, in part having lurched higher and then more than reversing on questionable Taiwan headlines from The Messenger early on.
- Subsequent attention was then on the twin note auctions, with the 3Y progressing smoothly before the 10Y saw another tail following its recent trend along with soft internals.
- A brief cheapening aside on the latter, the broad trend since then has been one of paring earlier losses, which have accelerated in latest trade for a still mild bull steepening on the day (2YY -2.3bps, 5YY -1.9bps, 10YY -0.4bps and 30YY -0.4bps) after a twist steepening for most of the session.
- TYU3 shifts towards the higher end of the day's range at 113-17 (up 4+ ticks) as volumes start to pick up closer to recent averages in increased activity of late but still lagging at 1.13M ahead of tomorrow’s CPI report and the FOMC decision on Wed. It doesn’t trouble resistance at 114-06+ (Jun 6 high) whilst the key bear trigger at 112-29+ (May 26/30 lows) remains exposed.
AUDUSD TECHS: Northbound
- RES 4: 0.6865 High Feb 22
- RES 3: 0.6818 High May 10 and key resistance
- RES 2: 0.6812 3.0% 10-dma envelope
- RES 1: 0.6773 High Jun 12
- PRICE: 0.6749 @ 16:49 BST Jun 12
- SUP 1: 0.6751 Lowe Jun 9
- SUP 2: 0.6634 20-day EMA
- SUP 3: 0.6567/6458 Low May 31 and the bear trigger
- SUP 4: 0.6403 76.4% of the Oct - Feb bull cycle
The AUDUSD bull cycle that started on May 31 remains in play and the pair is trading higher once again. Price is through 0.6733, 76.4% of the downleg in May. This reinforces current bullish conditions and signals scope for an extension towards 0.6818, the May 10 high and a key resistance. On the downside, a strong reversal is required to refocus attention on 0.6458, the May 31 low. Initial firm support is seen at 0.6634, the 20-day EMA.
US TSYS: A Mixed Session Ending Ultimately Little Changed Ahead Of US CPI
- Treasuries have seen a volatile session, in part having lurched higher and then more than reverting on questionable Taiwan headlines from The Messenger early on.
- Subsequent attention was then on the twin note auctions, with the 3Y progressing smoothly before the 10Y saw another tail following its recent trend along with soft internals.
- A brief cheapening aside on the latter, the broad trend since then has been one of paring earlier losses for only a mild twist steepening on the day the pivot from 10s onwards remaining modestly cheaper on the day (2YY -1.9bps, 5YY -1.4bps, 10YY +0.4bps and 30YY +0.1bps).
- TYU3 sits a little above the middle of its range at 113-14+ (+2 ticks) as volumes start to pick up closer to recent averages in increased activity of late but still lagging at 1.13M ahead of tomorrow’s CPI report (preview) and the FOMC decision on Wed (preview). It doesn’t trouble resistance at 114-06+ (Jun 6 high) whilst the key bear trigger at 112-29+ (May 26/30 lows) remains exposed.
