US TSYS: Late SOFR/Treasury Option Roundup
Jun-29 19:18
- Mixed trade on light summer volumes continued overnight into Thursday' session. Underlying futures broadly weaker, initially tracking Bunds after German regional CPI metrics climb, while GDP data showing economy grew faster than anticipated. Projected consecutive 25bp rate hikes between Sep'23-Dec'23 gradually pricing in, while majority of Fed officials anticipate two hikes by year end, Fed Chair Powell reiterated in comments at Bank of Spain conf overnight.
- SOFR Options:
- +5,000 SFRZ3 93.75/94.00/94.25 put flys, 3.25
- Block, 6,000 OQU3 96.00/96.50 put spds 13.0 over 2QU3 96.25/96.75 put spds
- +10,000 SFRU3 94.37/94.43 put spds, 1.75 vs. 94.60/0.12%
- 5,600 SFRZ4 94.00 puts, 2.0 ref 94.70
- 1,500 SFRU3 96.18 calls, 2.25 ref 94.625
- 1,500 SFRQ3 95.81 calls, 1.75 ref 94.62
- Block, 4,000 SFRZ3 94.62/94.75 put spds, 8.0 vs. 94.72/0.10%
- 1,750 2QN3 96.87/97.06 call spds ref 96.655
- Treasury Options:
- Block, 12,000 wk1 TY 112.75/113.25 call spds 8 vs. 112-05.5/0.12%
- over 5,000 TYQ3 114.25/114.75 call spds, 4 ref 112-08.5 to -06
- over 9,900 TYQ3 113.25 calls, 21 last ref 112-04
- over 10,500 TYU3 108 puts, 12 last ref 112-03
- +2,500 FVQ3 106.75/107.25 put spds, 13.5 ref 107-06.75
- +3,500 TYZ3 113 puts, 155 to 203
- +4,000 TYQ3 113 straddles, 126-127
- over 4,200 wk5 TY 113.5 calls, 4 ref 112-30
- Block, 5,000 wk5 FV 108..5 calls, 1 ref 107-20.25
- 5,100 TYQ3 112 puts, 20 ref 112-31.5
- 5,300 TYQ3 114 calls, 20 ref 113-00
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US TSYS: Late SOFR/Treasury Option Roundup: Bullish Rate Hedging
May-30 19:04
Mixed trade in SOFR and Treasury options overnight, segued to better 5- and 10Y call trade after initially better puts during the NY session. Underlying futures climbing higher, 10s +25 at 113-06, yield 3.6942% -.1041.
- SOFR Options:
- +5,000 SFRZ3 94.50/94.75/95.00 put trees, 2.75-3.0 2 legs over
- 4,500 SFRN3 95.00/95.25/95.50 call flys ref 94.77
- -2,000 SFRM3 94.81/94.87 put spds, 5.25
- 2,500 SFRM3 95.00/95.25/95.50 call flys ref 94.685
- 2,000 SFRN3 95.00/SFRU3 95.12 call spds
- 4,150 OQM3 96.00/96.25 put spds ref 95.935
- 2,500 SFRM3 94.56 puts, 2.0 ref 94.70
- 2,500 SFRN3 94.50/94.75 3x2 put spds ref 94.79
- 2,000 OQM3 95.93/96.06/96.18 call flys ref 95.89
- 12,000 SFRM3 94.87/94.93/95.00 call flys, ref 94.70
- 5,100 SFRN3 94.75 puts, 16.5 ref 94.795
- 1,250 SFRU3 95.12/95.37/95.50 broken call flys ref 94.79
- Block, 5,000 SFRH4 95.25/95.50 put spds 7 over SFRH3 97.50/98.50/99.00 broken call flys
- Treasury Options:
- Block, 7,500 TYN3 114.5 puts ,116 ref 114-00.5
- -6,000 FVQ3 106.75 puts 1.5-2.0 over the FVQ3 110/112 call spds
- 2,500 TYN 115 calls, 33 ref 113-23.5
- 5,500 USN3 120 puts, 9 ref 127-08
- 4,300 USN3 122/123 put spds, 10 ref 127-08
- 22,000 wk2 TY 115.75/116.75 call spds ref 113-27.5
- 4,100 FVN3 110.75 calls ref 108-17.75
- over 11,000 FVQ3 110.5 calls, ref 108-15
- 5,500 wk2 TY 114 calls, 36 ref 113-22
- 1,500 FVN3 108.5 calls, ref 108-12.75
- 7,600 TYQ3 113.5 calls, 129 ref 113-18
- 5,200 FVN3 109 calls ref 108-11.75
- 5,700 FVN3 110 calls, ref 108-10.5
- 7,100 wk2 TY 114.5 calls ref 113-18.5
- 4,000 TUN3 102.5 puts, 21 ref 102-18.25
- 4,700 TYN3 110.5 puts, 13 ref 113-15.5
- 5,000 TYN3 113 puts ref 113-15.5
CANADA: CIBC Previewing Q1 GDP
May-30 19:02
- CIBC forecast Q1 GDP growth of 2.6% annualized, after a solid quarter albeit one that ended on a weaker footing.
- They see it driven largely by net trade as export volumes surged but imports floundered. However, weak imports likely mean a slower pace of inventory building as well, which will be a drag on overall GDP.
- Despite softer imports, they see final domestic demand, and in particular consumer spending, looking much more solid in Q1 than it was in 2H22. However, the strength in consumer spending during Q1 will be partly misleading, as a large chunk will represent the delivery of auto orders that were placed in 2022.
- Monthly data suggest that momentum faded noticeably as the quarter wore on, with a -0.1% M/M decline anticipated for March. With power outages in Quebec and a strike by Federal workers both disrupting the economy during April, the advance estimate for that month could point to another slight decline in GDP to start Q2.
EURJPY TECHS: Bullish Outlook
May-30 19:00
- RES 4: 152.81 1.50 proj of the Mar 20 - 21 - Apr 6 price swing
- RES 3: 152.00 1.382 proj of the Mar 20 - 21 - Apr 6 price swing
- RES 2: 151.61 High May 2 and the bull trigger
- RES 1: 151.07 High May 29
- PRICE: 149.94 @ 16:09 BST May 30
- SUP 1: 149.02 20-day EMA
- SUP 2: 147.32/146.64 13 50-day EMA / 2.0% 10-dma envelope
- SUP 3: 146.13 Low May 11 and a key support
- SUP 4: 145.67 High Mar 31
EURJPY maintains a short-term bullish tone. Last week’s move higher resulted in a breach of 150.32, 76.4% of the May 2 - 11 sell-off. The break of this level opens 151.61, the May 2 high and a bull trigger. The 50-day EMA, which intersects at 147.32, remains intact and is a key support. A clear break of this EMA is required to signal a reversal. Initial support lies at 149.02, the 20-day EMA.
