US TSYS: Late SOFR/Treasury Option Roundup
Better downside put trade continued to drive SOFR and Treasury option volumes Thursday, underlying futures broadly lower/near lows after late market chatter the BOJ will discuss yield curve control at tonight's policy meeting. Curves bear steepened, however, as projected rate moves through year end move closer to no change after Goldilocks nature of strong data w/ cooling recession expectations.
- SOFR Options:
- Update, +20,000 SFRZ3 93.50/94.25 put spds 2.75-3.0 vs. 94.595/0.13%
- Block, -5,000 SFRZ3 94.87/95.12/95.25/95.50 put condors, 1.0 vs. 94.57/0.10%
- +5,000 SFRH4 94.12/94.37/94.62/94.87 put condors, 10.0
- 5,500 SFRH4 94.00/94.25/94.37/94.62 put condors ref 94.835 to -.825
- Block, 5,000 SFRZ3 94.75/95.25 call spds 5.0 w/ SFRZ3 94.25/94.75 put spds 24.0, 29.0 total iron fly vs. 94.60/0.26%
- +3,000 2QV3 96.00 puts, 9.0 vs. 96.52/0.22%
- 5,000 SFRZ4 94.00 puts, 8.0
- Block/screen -20,000 SFRU3 94.50 puts, 2.5
- 2,000 OQV3 95.37/95.62/95.87 put trees
- 5,000 OQU3 95.50/95.75/96.00 call flys, ref 95.63
- Block, 8,000 SFRU3 94.37/94.50 put spds, 2.25 vs. 94.575/0.20%
- Block/screen, 10,500 SFRZ4 93.50/94.25/95.00 put flys, 10.5 net ref 95.97 to -.975
- 2,000 SFRU3 94.12 puts, 0.5 ref 94.575
- Treasury Options:
- over 8,300 FVU3 108.25 calls, 11 ref 106-25
- 2,500 TUU3 103 puts, 131.5
- 2,000 USU3 122 puts, 27
- 5,000 TYU3 108/110 put spds ref 111-23.5
- 6,200 wk4 TY 112/112.5/113 call flys, 4.0 ref 111-24.5
- 8,300 TYU3 110 puts, 14 ref 112-03 to -03.5
- 3,100 TYU3 108.25 puts, 4
- over 3,000 FVU3 108 calls, 20.5 last
- over 3,700 TYU3 109.5 puts, 10 last
- over 4,300 TYU3 110.5 puts, 21 last
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
AUDUSD TECHS: Bear Cycle Remains In Play
- RES 4: 0.6993 76.4% retracement of the Feb - May downleg
- RES 3: 0.6921 High Feb 20
- RES 2: 0.6857/6900 High Jun 20 / 16 and key resistance
- RES 1: 0.6726/6806 20-day EMA / High Jun 27
- PRICE: 0.6684 @ 16:31 BST Jun 27
- SUP 1: 0.6663 Low Jun 23
- SUP 2: 0.6627 61.8% retracement of the May 31 - Jun 16 rally
- SUP 3: 0.6610 Low Jun 6
- SUP 4: 0.6562 76.4% retracement of the May 31 - Jun 16 rally
The recent pullback in AUDUSD resulted in a break of the 20- and 50-day EMA values. The break of the 50-day average, at 0.6702, suggests potential for a deeper retracement. The next support lies at 0.6627, a Fibonacci retracement point. Clearance of this level would strengthen bearish conditions. Initial firm resistance is at 0.6806, the Jun 27 high. Clearance of this level would ease a bearish threat. Key resistance is 0.6900, Jun 16 high.
CANADA: Scotia: CPI Tentatively Favours A Skip
- Scotia note that Canadian inflationary pressures sharply ebbed at the margin and this gives the BoC a little more breathing room to potentially spread out possible further tightening.
- They would personally hike in July given continued upside risk to trend inflation, but the BoC’s emphasis upon intermeeting data dependence and historical lessons on the fine tuning stages make them doubtful at this point of a back-to-back hike.
- Scotia still call for a 25bps hike in Q3 but had positioned the call over July versus September as being highly data dependent. At the margin, this data tentatively leans against July.
- There is clear precedence for BoC policy adjustments not having to go in a straight line with back-to-back steps (e.g. skipping a hike in Sep’18 or skipping a cut in Mar’15).
- They still want to see the full suite of data before the July decision, including Friday’s BoC surveys plus April and May GDP estimates and then the following Friday’s jobs and wages, but at this stage even post-CPI pricing for a July hike seems high.
EURJPY TECHS: Extends Run Higher
- RES 4: 158.72 2.00 proj of the May 11 - 29 - 31 price swing
- RES 3: 158.48 2.0% 10-dma envelope
- RES 2: 158.00 Psychological Resistance
- RES 1: 157.87 High Jun 27
- PRICE: 157.84 @ 16:27 BST Jun 27
- SUP 1: 155.06/154.05 Low Jun 23 / 20 and key short-term support
- SUP 2: 153.08 20-day EMA
- SUP 3: 151.61 Low Jun 15
- SUP 4: 150.35 50-day EMA
The EURJPY uptrend extended Tuesday to put the cross at a fresh multi-month high, taking out nearby resistance in the process. Tuesday’s price action reinforces the current bullish theme after the latest impulsive rally. Price has recently cleared key resistance at 151.61, the May 2 high and an important bull trigger. Moving average studies are in a bull mode position too, highlighting positive market sentiment. The focus is on 158.72, a Fibonacci projection. Initial key support is at 154.05, the Jun 20 low.
