US TSYS: Late SOFR/Treasury Option Roundup
Better put volumes persist but direction has changed to include some large position unwinds for some accounts. Getting out while the getting is good? Paper sold -55,000 TYH3 111/112 put spreads at 12, an unwind from 4-6 low bought late January. Good timing as market pricing of rate hikes at the next FOMC on March 22 remains anchored at 25bp. Meanwhile, implied hikes for mid- to year end have risen Tuesday as several Fed speakers expressed the need for continued rate hikes and/or the risk of not hiking enough. Salient trade includes:
- SOFR Options:
- Block, 5,000 SFRZ3 95.00 puts, 40.0
- Block, 10,000 2QH4 96.25 puts, 7.0 ref 96.53
- Block, 5,000 SFRZ3 94.62/95.12/95.62 put flys, 10.5 ref 94.985
- Block, total 35,000 SFRH3 95.12/95.31 2x1 put spds, 9.0-10.5 ref 95.06-.0625
- Block, -20,000 SFRZ3 94.37/95.12 put spds 29.0
- +10,000 SFRN3 94.50/95.50 put over risk reversals 6.5 vs. 94.81/0.36%
- Block, 3,000 OQJ3 95.75/2QJ3 96.50 put calendar, 1.0 short Apr over
- 5,000 SFRM3 94.93/95.06 put spds ref 94.805
- Block, 2,500 SFRJ3 94.68/94.81/94.87/94.93 put condors, 1.0 net
- 5,700 SFRM3 94.43/94.62/94.81 put flys ref 94.805
- Block, 10,000 SFRM 94.62/94.75 put spds, 4.5 vs. 94.79/0.14%
- 5,000 OQM3 97.25 calls ref 96.07
- Block, 8,000 SFRJ3/SFRK3 94.62/94.75 put spd spd, 0.5 net/May over
- 2,500 OQJ3 95.25/95.62/96.00 put flys vs. 2QJ3 96.25/96.50 put spds
- over 5,000 OQJ3 96.50 calls, 11.0 ref 96.075
- Block, 5,000 SFRM3 94.68/94.81 put spds, 5.5 ref 94.805
- 2,500 SFRM3/SFRU3/SFRZ3 94.68 put strip
- 5,500 OQH3 95.81/96.00 call spds ref 95.605 - .61
- Treasury Options:
- Ongoing 8,500 FVH3 107/107.5 put spds, 12.5 from 7 low
- -10,000 TYH 113/TYJ 111.5 put diagonal spds, 27-26 march over
- Block, 12,985 wk3 TY 111.25/112.25 put spds, 18, 5k more on screen
- 1,380 USH3 123/126 put spds 15 over USH 131 calls, ref 127-19
- 2,500 TYH3 111.75 puts, 14
- over 20,000 FVH3 109 calls, 2
- 4.000 FVH3 107/107.5 puts, 7 ref 107-19.5
- 3,200 FVH3 107.5/108 put spds, 15 ref 107-22.5
- 1,600 FVJ3 107/108.25 2x1 put spds ref 107-30.75
- 5,000 FVH3 107.25 puts, 7 ref 108-01.75
- over 11,000 TYH3 111.75 puts, 13 ref 113-01
- over -55,000 TYH3 111/112 put spds, 12, unwind from 4-6 low bought late Jan
- over 6,000 wk3 FV 109 calls 4.5 ref 108-00.25
- 3,300 TYK 115 straddles, 258 ref 112-30.5 to -31.5
- 4,000 TYH3 112.25 puts 7 over TYH 113/113.75 call spds ref 112-30
- 4,900 TYH3 111.5/112 2x1 put spds ref 112-29
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
AUSSIE 10-YEAR TECHS: (H3) Extends Spell of Strength
- RES 3: 97.185 - High Apr 5
- RES 2: 97.040 - High Aug 03
- RES 1: 96.714 - High Dec 9
- PRICE: 96.420 @ 15:47 GMT Jan 13
- SUP 1: 95.675 - Low Oct 24
- SUP 2: 95.670 - Low Jun 17 and a key support
- SUP 3: 95.360 - 1.00 proj of the Aug - Oct - Dec price swing
Aussie 10y futures extended their bounce off cycle lows with a solid bounce last Friday. The rally puts prices around 40 ticks above the late December lows, but still short of the next material resistance at 96.714. For now, the bear leg remains in play and the recent continuation lower into end-2022 suggests scope for weakness near-term. An extension would expose the key support at 95.675, the Oct 24 low and 95.670, the Jun 17 low, on the continuation chart.
USDCAD TECHS: Downtrend Remains Intact
- RES 4: 1.3751 High Nov 4
- RES 3: 1.3705 Dec 16 and the bull trigger
- RES 2: 1.3665 High Jan 6
- RES 1: 1.3515 50-day EMA
- PRICE: 1.3416 @ 16:18 GMT Jan 13
- SUP 1: 1.3322 Low Jan 13
- SUP 2: 1.3317 Low Nov 24 / 25
- SUP 3: 1.3226 Low Nov 15 and bear trigger
- SUP 4: 1.3205 61.8% retracement of the Aug 11 - Oct 13 rally
The short-term outlook in USDCAD remains bearish. The pair has breached a key support at the 1.3385 level - the Dec 5 low. The break strengthens bearish conditions and opens 1.3317, the Nov 24 / 25 low. The bear trigger lies at 1.3226, the Nov 15 low. On the upside, key resistance is far-off at 1.3705, the Dec 16 high. Initial firm resistance is seen at 1.3515, the 50-day EMA.
AUDUSD TECHS: Trend Needle Points North
- 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: 0.6994 High Jan 13
- PRICE: 0.6944 @ 16:16 GMT Jan 13
- SUP 1: 0.6860 Low Jan 9
- SUP 2: 0.6813 20-day EMA
- SUP 3: 0.6688 Low Jan 3 and key support
- SUP 4: 0.6650 Low Dec 22
AUDUSD extended higher Thursday, amid global dollar weakness. This retains a bullish theme. The pair has cleared 0.6893, the Dec 13 high and this confirmed a resumption of the uptrend that started Oct 13. The move higher maintains the bullish price sequence of higher highs and higher lows and note that moving average studies are in a bull mode position. The focus is on 0.7009 next, the Aug 26 high. Key support lies at 0.6688, Jan 3 low.
