US TSYS: Late SOFR/Trewasury Option Roundup: Mixed, Consolidative
Mixed option trade Tuesday as underlying reversed early weakness, flow consolidative, tending toward vol selling into month end.
- SOFR Options:
- Block, -10,000 SFRZ3 94.25/95.25 strangles 21.0 over SFRU3 94.25/95.75 strangles
- Block, 5,000 SFRZ3 94.25/95.25 strangles, 32.0 ref 94.76
- Block, 6,000 2QH3 96.50 puts, 22.0 ref 96.325
- -20,000 SFRZ3 94.00/94.50 put spds, 14.25-14.0
- Block, 20,000 SFRU3 94.37/95.06/95.62 broken put flys, 8.5 ref 94.59 -.595
- Block, -20,000 SFRU3 94.00/94.25/94.31/94.62 put condors, 8.75 on splits ref 94.585
- +5,000 SFRZ3 94.25/94.50 put spds, 9.25
- -10,000 OQH3 95.12/95.37 call spds vs. 95.065, 6.5
- 7,500 SFRJ3 94.50 puts, ref 94.635
- 3,750 SFRU3 96.00 calls, 1.5 ref 94.575
- 6,000 OQH3 95.75 calls, cab
- 2,000 SFRM3 94.75/94.87/95.00 put flys ref 94362
- Treasury Options:
- 5,400 FVJ3 101.25 puts, .5 ref 107-00.75
- 7,500 TYJ3 110 puts, 25-26 ref 111-15.5 to -15, total over 22k from 23-28
- -10,000 TYJ3 110.5/111 put spds, 12
- -10,000 wk2 TY 110 puts, 9 vs. 111-20/0.08%
- over 11,500 wk/midcurve TY 110.75 puts, 3
- 10,000 wk/midcurve TY 112 calls, 5
- 6,000 TYJ3 110.5/111.5 put spds vs. TYJ3 113 calls, 3 net ref 111-17
- 2,000 FVJ3 105/106 put spds, ref 106-31.25
- 2,200 FVJ3 108.75 calls, 7.5 ref 107-01.25
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USDCAD TECHS: Remains Vulnerable
- RES 4: 1.3751 High Nov 4
- RES 3: 1.3705 Dec 16 and the bull trigger
- RES 2: 1.3665 High Jan 6
- RES 1: 1.3434/3521 20-day EMA / High Jan 19
- PRICE: 1.3334 @ 16:48 GMT Jan 27
- SUP 1: 1.3301 Low Jan 27
- SUP 2: 1.3226 Low Nov 15 and bear trigger
- SUP 3: 1.3205 61.8% retracement of the Aug 11 - Oct 13 rally
- SUP 4: 1.3131 0.764 proj of the Oct 13 - Nov 15 - Dec 16 price swing
USDCAD bearish trend conditions have been reinforced. The move lower Thursday extended through to the Friday close having resulted in a print below initial support at 1.3322. A clear break of this level signals scope for 1.3226, the Nov 13 low and the bear trigger. Moving average studies are in a bear mode position, highlighting a downtrend. On the upside, the pair needs to clear 1.3521 to signal a reversal.
AUDUSD TECHS: Northbound
- RES 4: 0.7245 2.00 proj of the Nov 21 - Dec 13 - Dec 20 price swing
- RES 3: 0.7202 High Jun 9
- RES 2: 0.7172 1.764 proj of the Nov 21 - Dec 13 - Dec 20 price swing
- RES 1: 0.7142 High Jan 26
- PRICE: 0.7108 @ 16:45 GMT Jan 27
- SUP 1: 0.6994/6943 Low Nov 24 / 20-day EMA
- SUP 2: 0.6872 Low Jan 19 and a key support
- SUP 3: 0.6826 50-day EMA
- SUP 4: 0.6688 Low Jan 3 and key support
AUDUSD remains firm and traded higher Thursday. Resistance at 0.7063, the Jan 18 high, has been cleared this week. This has confirmed a resumption of the uptrend and maintains the bullish price sequence of higher highs and higher lows. The focus is on a move to 0.7172 next, a Fibonacci projection. On the downside, short-term support is seen at the 20-day EMA - it intersects at 0.6943.
US TSYS: Late Tsy Roundup: Implied Hike Steady at 25.9Bp Ahead Wed FOMC
- Tsys mildly weaker after the bell, well off late morning lows to near middle of range through early overnight trade. Tsy 30YY currently 3.6306 -.0091, vs. 3.6845% high)
- Higher than expected Japanese CPI data overnight (+4.4% Y/Y; MEDIAN 4.0%; Dec 3.9%) got the ball rolling overnight, Tsys extending lows ahead the NY open.
- Tsys see-sawed off lows drawing modest buying in intermediates to long end after largely in-line data: personal income +0.2%; NOM PCE -0.2%, modest lower revision to prior. Little react to midmorning Pending Home Sales (+2.5% MOM; -33.8% YOY) and UofM sentiment 64.9; est. 64.6.
- Fed funds implied hike for Feb'23 at 25.9bp (-0.7), Mar'23 cumulative at 46.4bp (-0.5) to 4.793%, May'23 56.9bp (+.1) to 4.898%, terminal at 4.905% in Jun'23.
- Focus on next week Wed's FOMC policy annc, dovish risks to this meeting appear at least partly priced in, including some expectations of Statement language acknowledging decelerating inflation, or a clear signal that the end of the hiking cycle is near.
- Next employment report covering January out next Friday as well, current median est at +175k vs. +223k prior..
