US TSYS: Late SOFR/Treasury Option Roundup
Mar-02 20:20
Option trade more mixed Thursday, some chunky put fly trade in SOFR options (+50,000 SFRJ3 94.12/94.25/94.37 put flys, 1.0 ref 94.575) as option accts continued to hedge downside risk in face of stubborn inflation. Large strangle blocks in late trade.
- SOFR Options:
- Block, 29,200 SFRZ3 94.25/95.25 strangles, 34.5
- Block, 25,000 SFRZ3 94.50/95.50 strangles, 40.0
- Update, over +50,000 SFRJ3 94.12/94.25/94.37 put flys, 1.0 ref 94.575
- 10,000 SFRM3 94.37/94.50/94.56/94.68 put condors, ref 94.565
- Block, 10,500 SFRM3 94.50/94.62 3x2 put spds 2.0
- Block, 8,000 SFRN3 94.81/94.93/95.06 put flys, 0.75 ref 94.51
- Block, 6,000 2QH3 96.25 puts, 16.5 ref 96.155
- Block, 8,880 SFRJ3 95.00 calls, .5 ref 94.555
- 6,700 SFRM3 94.43/94.75 strangles, 11.5-12.0 ref 94.565
- Block, 3,000 OQJ3 95.75/95.93 put spds 4.5 over 2QJ3 96.31/96.50 put spds
- Treasury Options:
- 5,800 TYM3 108.5/110.5 2x1 put spds, 3 net refc 110-15.5
- -6,200 TYK3 114 calls, 14 ref 110-17
- +20,000 wk1 FV 106.75 calls, 3.5 ref 106-12.25 to -12.5
- 3,000 TYK3 108/109/110 put flys, 20 ref 110-15
- over 10,200 USM3 116/120 put spds vs. USJ3 122 puts, 17 net/Apr over
- 7,700 TYJ 110.75/112 vs. TYJ 109.75 puts, 5 net ref 110-25
- 2,000 TYJ 112.5/113 call spds, 4
- over 4,400 TYJ3 108.5 puts, 14-15 ref 110-24
- 2,000 TYK3 107/108 2x1 put spds, ref 110-22
- 4,000 FVJ3 106 puts, 28.5-29 ref 106-14.75
- 2,600 USM3 113/114 put spds, 7 ref 123-24
- 2,500 USJ3 119/119.5 put spds, 5 ref 123-24
- 2,300 TYK3 109/110 put spds, 21 ref 110-26
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Historical bullets
STIR FUTURES: Fed Terminal Back In Middle Of Months’ Range After ECI
Jan-31 20:12
- Fed Funds implied hikes have unwound yesterday’s climb, easing firstly on the softer than expected ECI before further downward pressure from misses for the MNI Chicago PMI and Conference Board consumer survey (albeit the latter with conflicting details such as stronger labour market perceptions).
- Ahead of tomorrow’s FOMC decision, it keeps 26bps priced (-0.5bp on the day) before a cumulative 46bp for March (-0.5bp) and 58bp to a terminal 4.91% in Jun (-1.5bp) as the latter falls back nearer the middle of its 4.86-4.94% range seen since payrolls/ISM services on Jan 6.
- That’s followed by 44bp of cuts to 4.47% (-3bp) by year-end.
US TSY FUTURES: BLOCK, Late 10Y Sale
Jan-31 20:07
- -5,000 TYH3 114-17, post-time bid at 1458:38ET, 114-16.5 last (+7.5)
EURJPY TECHS: Bull Flag?
Jan-31 20:00
- RES 4: 144.00 Round number resistance
- RES 3: 143.16 61.8% retracement of the Dec 15 - Jan 3 bear leg
- RES 2: 142.86/94 High Jan 11 / High Dec 28 and key resistance
- RES 1: 142.30 High Jan 25
- PRICE: 141.39 @ 16:39 GMT Jan 31
- SUP 1: 140.47/137.92 Low Jan 23 / Low Jan 19
- SUP 2: 137.39 Low Jan 3 and the bear trigger
- SUP 3: 137.03 Low Aug 29
- SUP 4: 136.02 Low Aug 25
EURJPY is holding on to the bulk of its latest gains. Recent consolidation appears to be a bull flag formation. If correct, the pattern suggests scope for a break higher near-term. The 50-day EMA, at 141.73, has been pierced. A clear break of this average would strengthen a bullish condition and expose key resistance at 142.86, the Jan 11 high. For bears, a reversal lower would refocus attention on the bear trigger at 137.39, Jan 3 low.
