US TSYS: Late SOFR/Treasury Option Roundup
SOFR and Treasury option trade remained mixed Thursday, Treasury options leaning toward upside 5- and 10Y calls while SOFR options revolved around downside puts since midmorning. Underlying futures held weaker levels after this morning's lower than expected weekly claims and strong PCE data saw chances of a rate cut in 2024 evaporate. Projected rate cut pricing vs. pre-data levels: May 2024 -2.6% w/ cumulative -2.6bp at 5.322%; June 2024 at -8.9% from -16.2% earlier w/ cumulative rate cut -2.9bp at 5.300%. July'24 cumulative at -8.6bp from -12.1bp, Sep'24 cumulative -18.6bp from -24.4bp.
- SOFR Options:
- Block, +5,000 SFRZ4 94.50 puts, 8.0 vs. 95.01/0.22%
- Block, 12,000 SFRZ4 94.00/94.25 put spds, 1.5 vs. 95.065/0.02%
- +5,000 SFRM4 94.50/94.62 put spd vs SFRM4 94.81/94.93/95.06 call flys 0.0
- +7,000 SFRM4 94.68/94.75 2x1 put spds, 2.25 ref 94.71
- Block, +25,970 SFRM4 94.75 puts, 9.0 ref 94.705
- -5,000 SRFZ4 94.87 puts, 21.0 ref 94.99
- -12,000 0QK4 95.56 calls, 5.5 vs. 95.375/0.28%
- -5,000 SFRU4 94.87 calls, 14.5 ref94.86
- +5,000 SFRZ4 96.00/97.00 call spds 5.5 ref 95.01
- +5,000 SFRM4 94.88/95.00 call spds 1.0 ref 94.72
- +10,000 SFRZ4 96.00/97.00 call spds 5.75 ref 95.03
- 2,000 0QN4 95.87/96.12/96.37 call flys ref 95.505
- 1,500 3QM4 95.25/95.75/96.25 put flys ref 95.92
- 3,000 0QN4 94.75 puts ref 95.595
- Treasury Options: Reminder, May options expire Friday
- -5,000 TYM4 108 puts, 113 ref 107-14
- -10,000 TYM4 107.5 puts, 59 ref 107-13
- +5,000 TYU4 110.5 calls, 46
- +50,000 wk1 FV 105.5 calls, 9.5 ref 104-24 opener, expires May 3
- 2,800 FVK4 105.75/106.25 1x2 call spds
- 9,000 TYM4 111/112/113/114 call condors
- 4,000 FVM4 103.5/104.5 put spds ref 104-26
- 5,000 FVM4 106/107 call spds ref 104-26.75
- 3,200 TYK4 107.25/107.5 put spds, 4 ref 107-23.5
- 1,600 USM4 119 calls, 15 ref 113-30
- over 6,600 TYK4 107.5 puts, 7 last
- 5,000 FVM4 106/107 call spds ref 105-03
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US: President Biden To Deliver Remarks In North Carolina Shortly
President Biden and Vice President Kamala Harris are shortly due to deliver remarks in North Carolina where they will, "lay out their plan to make health care more affordable," according to a White House fact sheet. LIVESTREAM
- The event is part of a multi-stop tour of swing states when Biden is touting the legislative achievement of his first terms and presenting the platform for his re-election campaign.
- Biden will argue that the GOP will slash social security and Medicare if they win the White House and Congress in November.
- The White House: "The budget from the Republican Study Committee—which represents 100% of House Republican leadership and 80% of House Republicans—would:
- "Slash $4.5 trillion from the Affordable Care Act, Medicaid, and the Children’s Health Insurance Program.
- "Ripping away coverage for more than 45 million people enrolled in ACA coverage and Medicaid expansion.
- "Turning Medicaid into block grants that would threaten coverage and care for an additional over 60 million Americans with Medicaid."
- The event will be Biden's second public remarks since the Francis Scott Key Bridge in Baltimore, Maryland collapsed overnight when one of its support structures was hit container vessel.
- In remarks earlier today, Biden said he intended that the federal government cover the costs of reconstruction. In Raleigh, Biden may highlight the incident as evidence that more work must be done to refresh critical infrastructure across the US via Biden's flagship Bipartisan Infrastructure Law, as he did in June 2022 when he visited Pittsburgh just hours after a bridge collapsed.
EURGBP TECHS: Short-Term Bullish Outlook
- RES 4: 0.8678 38.2% retracement of the Feb 3 - Aug 23 bear cycle
- RES 3: 0.8620 High Jan 20
- RES 2: 0.8607 23.6% retracement of the Feb 3 - Aug 23 bear cycle
- RES 1: 0.8602 High Mar 22
- PRICE: 0.8575 @ 15:55 GMT Mar 26
- SUP 1: 0.8530/8504 Low Mar 21 / 08
- SUP 2: 0.8493 Low Aug 23 2023 and a key medium-term support
- SUP 3: 0.8454 76.4% of the Mar 7 - Sep 26 ‘23 bull phase
- SUP 4: 0.8388 Low Aug 17 2023
A short-term bullish condition in EURGBP remains intact. The cross last week breached resistance at 0.8578, the Feb 20 high. The break confirms a range breakout and a potential reversal. This opens 0.8607 next, a Fibonacci retracement point. Moving average studies remain in a bear-mode position and this continues to highlight a dominant downtrend. A reversal lower would expose the bear trigger at 0.8493, the Aug 23 2023 low.
US TSYS: Markets Roundup: Tsys Back Near Early Highs
- Treasury futures have see-sawed back near to higher opening levels following a well received $67B 5Y note sale (4.235% vs. 4.242% WI). Jun'24 10Y futures currently trade +4 at 110-20.5 vs. 110-16 pre-auction, compares to midmorning low of 110-11.5.
- Jun'24 10Y futures briefly marked session high of 110-23.5 this morning but quickly reversed course to extend session lows (TYM4 110-11.5) after the mixed initial data:
- Durable Goods Orders (1.4% vs. 1.0% est, prior down revised to -6.9% from -6.2%), Durables Ex Transportation (0.5% vs. 0.4% est); Cap Goods Orders Nondef Ex Air (0.7% vs. 0.1% est, prior down revised to -0.4% from 0.0%), Cap Goods Ship Nondef Ex Air (-0.4% vs. 0.1% est).
- Philly Fed Non-Mfg Activity missed estimate (-18.3 vs. -8.8 prior) - the lowest print since April 2023 and included fairly weak details: new orders remained negative, sales/revenues fell to a near-zero reading, full-time employment growth was "less widespread", and the price indexes "continued to indicate overall increases in prices".
- Consumer Confidence index dipped from 104.8 to 104.7, defying expectations of a rise to 107.0 (prior was revised down from 106.7). Present Situation rose from 147.6 (rev. from 147.2) to 151.0, with Expectations slipping from 76.3 (rev. from 79.8) to 73.8.
- Meanwhile, The S&P CoreLogic index posted 6.03% Y/Y growth, below the 6.12% expected but up from 5.57% prior; the 20-City index was in line at 6.59% vs 6.60% prior and 6.15% prior.
- Wednesday Data Calendar: Wholesale Sale/Inventories, Tsy $43B 7Y Note Auction while Fed Gov Waller will discuss economic outlook at Economic Club NY at 1800ET (text, Q&A).
