US TSYS: Late SOFR/Treasury Option Roundup
Volumes picked up as the session wore on, overall trade still revolving around downside puts, positioning for hikes to continue into this fall.
- SOFR Options:
- 11,500 SFRN3 94.81/94.93/95.06 put flys, ref 94.915
- 11,500 SFRU3 94.87/95.00/95.12 put flys, ref 94.915
- Block, update over 30,000 2QH3 96.50 puts, 6.5-7.0
- Block, 5,000 SFRJ3 94.62 puts, 2.75 ref 94.85
- 2,500 SFRU3 94.87/95.00/95.12 put flys, ref 94.92
- Block, total 10,000 SFRZ3 96.25/96.75 call spds, 4.5
- 5,000 SFRM3 94.62/94.75/94.93 2x3x1 broken put flys
- Block, 2,500 SFRM3 94.62/94.75 3x2 put spds, 2.75 net ref 94.875
- Update, over -20,000 SFRM3 94.62/95.12 put over risk reversals 0.0-0.5
- +5,000 SFRU3 94.25/95.00 3x1 put spds, 14.5 vs. 94.955/0.20%
- Block, 10,000 SFRZ3 93.93/94.00 put spds, 0.5 ref 95.255
- Block, update 19,000 SFRU3 94.00/94.50 put spds, 6.0 ref 94.965
- -4,000 SFRM3 94.62/95.12 risk reversal, 0.0 -p vs. 94.875/0.44%
- 2,000 SFRJ3 94.37/94.62/94.87/94.93 put condors ref 94.885
- Blocks, 14,000 SFRU3 94.00/94.50 put spds, 6.0 vs. 94.96/0.15%
- 1,500 SFRM3 94.56/94.68/94.81 put flys ref 94.885
- 2,000 SFRJ3 94.50/94.75 put spds, ref 94.88
- 3,500 SFRZ3 96.25/97.00/97.50 broken call flys, ref 95.275
- Block, 2,500 SFRM3 94.62/94.75/94.87 put trees, 1.0 ref 94.87
- Treasury Options:
- 15,000 FVH3 107.5 puts, 9.5-10.5 ref 108-11.25 to -13.25
- over 16,000 TYH3 112.25 puts, 14-11 ref 113-22 to -15.5
- 5,000 TUH3 102.25 puts, 8 ref 102-11.75
- 2,400 USH3 126 puts, 22 ref 128-25
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AUDUSD TECHS: Northbound
- RES 4: 0.7137 High Aug 11
- RES 3: 0.7059 2.236 proj of the Oct 13 - 27 - Nov 3 price swing
- RES 2: 0.7009 High Aug 26
- RES 1: 0.6976 2.00 proj of the Oct 13 - 27 - Nov 3 price swing
- PRICE: 0.6876 @ 15:50 GMT Jan 10
- SUP 1: 0.6860 Low Jan 9
- SUP 2: 0.6775 20-day EMA
- SUP 3: 0.6688 Low Jan 3 and key support
- SUP 4: 0.6650 Low Dec 22
AUDUSD traded higher Monday, extending Friday’s rally to reinforce the current bullish condition. The pair has cleared 0.6893, Dec 13 high and this confirms a resumption of the uptrend that started Oct 13. The break higher maintains the bullish price sequence of higher highs and higher lows and moving average studies are in a bull mode position. Gains open 0.6976 next, a Fibonacci projection. Key support has been defined at 0.6688, Jan 3 low.
CANADA: Yields/Rates Give Back Some Of Recent Underperformance To US
- GoCs have cheapened 1-3.5bps today for 3bp and 5bp outperformance to Tsys at 2Y and 10Y tenors, although a 2Y yield diff at -31bps remains notably narrower than the -40 to -45bps before CAD employment surged on Friday led to some analysts at the more dovish end of the spectrum calling for an extra 25bp hike this month.
- Similarly, BAX futures see minimal change with Macklem’s remarks not touching directly on monetary policy compared to Eurodollars yields climbing up to 8bps in late 2024.
- US CPI on Thu remains firmly in focus with key CAD indicators next week with the BoS/CSCE surveys (Jan 16) and CPI (Jan 17) before the BoC Jan 25.
US TSYS: Late SOFR/Treasury Option Roundup
Session flow focused on downside puts in SOFR options, new and re-positioning as underlying futures continued to unwind post-NFP strength, vol offered. Notable large put condor roll 5.5 net cr: +28,953 SFRJ3 94.62/94.87/95.00/95.25 put condors, ref 95.075-.080 vs. -27,153 SFRH3 94.62/94.87/95.12/95.38 put condors, ref 95.105-.085. Vol seller: appr -20,000 Dec SOFR 95.62 straddles from 81.0-2.0 since Monday.
- SOFR Options:
- Block, 5,000 SFRU3 95.00/95.43 1x2 call spds, 0.5 net/2-leg over ref 95.245
- 2,000 SFRU3 95.5/96.00/96.50 call flys
- Block, 5,000 SFRU3 94.75 puts, 10.5 vs. 95.245/0.24%
- Block, 9,500 SFRZ3 97.50/98.50 call spds, 3.5
- Block, 2,500 SFRM3 94.68/94.81/94.93/95.06 put condors, 3.25
- Block, 2,500 SFRU3 94.68/94.81/94.93/95.06 put condors, 2.0
- Blocks, over -14,000 SFRZ3 95.62 straddles, 81.0-82.0
- Block, total 5,030 SFRH3 94.93/95.06/95.18 put flys, 2.5
- 7,750 OQF3 96.12/96.25 call spds, ref 96.075
- 5,000 SFRF3 95.25/95.37 call spds, ref 95.105
- 10,000 OQF3 96.00 puts, ref 96.075
- Large put condor roll 5.5 net cr:
- +28,953 SFRJ3 94.62/94.87/95.00/95.25 put condors, ref 95.075-.080 vs.
- -27,153 SFRH3 94.62/94.87/95.12/95.38 put condors, ref 95.105-.085
- 3,000 SFRF3 95.00 puts, 1.0 ref 95.11-.115
- Block, 2,000 SFRH3 95.12/95.18/95.25/95.37 call condors, 1.0 net ref 95.115
- 6,150 SFRG3 95.31 calls ref 95.105-.115
- Block, 3,750 SFRG3 95.18/95.31/95.43 call flys, 2.5
- Treasury Options:
- 1,000 USG 117/120/124 2x3x1 put flys ref 128-03
- 6,000 TYG3 115 calls, 19 ref 113-31
- over 27,000 TYG3 115.25 calls, 17-20
- 10,000 wk2 TY 114.5 calls, 26 ref 114-02.5
- 4,000 TYH3 111/112/114 broken put flys, 31 ref 114-05
- 2,000 TYG3 110.5 puts, 2 ref 114-09
- 1,500 TYG3 113/113.25/114 put trees, 1 net ref 114-09.5
- +2,000 FVG 110 calls, 11
- +7,150 FVH3 105.25 puts, 2 ref 109-04
