US TSYS: Late SOFR/Treasury Option Roundup
Modest early put trade coming into the session gave way to better upside call structure and vol buying as underlying futures gapped higher after Philly Fed manufacturing index reported much weaker than expected (-31.3 vs. -19.3 est), projected rate cuts for year end firming again.
- SOFR Options:
- +10,000 SFRQ3 95.25/95.50/95.75 call flys, 4.0
- Block, 5,000 SFRM3 94.81/94.93/95.06 3x5x2 ratio put flys, 0.5 net/wings over ref 94.90
- Block, +10,000 SFRM3 94.43/94.56/94.68/94.75 broken put condors, 1.5 vs. 94.92/0.03%
- total +16,500 (10K Blocked) SFRM3 94.87 straddles 3.5 over SFRN3 95.25 calls vs. 95.11/0.42%
- +10,000 SFRH4 97.50/98.00 call spds vs. 95.96/0.05% w/
- +10,000 OQU3 97.50/98.00 call spd vs. 96.67, paying 15.25 to buy both
- 5,000 SFRU4 1Y strip 94.25/94.50 put spd
- Block, +12,000 SFRM3 94.68/94.75 put spds, 2.5 vs.
- Block, -6,000 SFRM3 94.43/94.56 put spds 1.0 vs. 94.905/0.10%
- Block, 5,000 SFRM3 94.68/94.81/95.00 2x3x1 put flys, 2.0 net ref 94.885
- 21,000 SFRM3 94.93/95.00/95.06/95.12 put condors ref 94.89
- 2,000 SFRZ3 94.87/95.12/95.37 put flys ref 95.475
- 2,500 SFRU3 94.75/94.87/95.00/95.12 iron condors ref 95.12
- 3,500 SFRM3 94.50/94.68/94.75 put trees ref 94.89
- Treasury Options:
- +5,000 TYK3 113.5/114 put spds, 3
- 3,400 TYK3 114 puts, 4 ref 114-20
- over 3,000 FVK3 109.5 calls, 6 ref 109-07.25
- 7,500 FVK3 109.5/110 call spds ref 109-04.75
- 2,500 FVM3 112.5 calls, 5.5 ref 109-03.25
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EURGBP TECHS: Defies Bear Threat Backdrop
- RES 4: 0.8925 High Mar 7 and a key resistance
- RES 3: 0.8900 Trendline drawn from the Feb 3 high
- RES 2: 0.8890 High Mar 10
- RES 1: 0.8840/0.8844 High Mar 21 / 15
- PRICE: 0.8832 @ 16:19 GMT Mar 21
- SUP 1: 0.8719 Low Mar 15 and key support
- SUP 2: 0.8712 61.8% retracement of the Dec 1 - Feb 3 bull leg
- SUP 3: 0.8691 Low Dec 19
- SUP 4: 0.8649 76.4% retracement of the Dec 1 - Feb 3 bull leg
EURGBP defied bearish short-term signals, although the cross is trading close to recent lows. Price has recently breached support at 0.8755, the Feb 28 low and recently pierced 0.8722, the Jan 19 low. Clearance of 0.8722 would leave the 0.8700 handle exposed and signal scope for a continuation lower. Initial firm resistance is seen at 0.8844, the Mar 15 high. A breach of this hurdle would ease bearish pressure and open 0.8900, a trendline resistance.
US TSY FUTURES: BLOCK, 10Y Vs. 10Y Ultra
- +5,972 TYM3 114-03, post-time offer at 1449:00ET vs.
- -4,230 UXYM3 120-00, through 120-00.5 post-time bid
US STOCKS: CORRECTs Late Equities Roundup: Best Levels Since March 9
- US stocks holding moderate gains in late trade, front month S&P futures currently at 4020.0 after breaching the 50-day EMA short term resistance of 4025 earlier to a session high of 4028.0, the best level since March 9.
- Leading gainers were Energy (+3.37%), Consumer Discretionary (+2.35%) and Financials (+2.20%) sectors.
- Banks outperformed while Treasury Secretary Janet Yellen said Tuesday the U.S. banking system is stabilizing, while Treasury remains committed to ensuring the ongoing health and competitiveness of America's regional banks.
- From a technical standpoint, S&P E-Minis continue to extend a recovery from 3839.25, Mar 13 low. Key short-term resistance to watch is the 50-day EMA which today intersects at 4025.01. This EMA represents an important pivot level.
- While price remains below the EMA, it is likely that gains are a correction ahead of a resumption of the downtrend. A clear break of the average would change that and highlight a stronger bullish environment.
