US TSYS: Late SOFR/Treasury Option Roundup: 10Y Call Buyer Resumes
SOFR & Treasury options trade remained mixed with a rise in Treasury 10Y call volume in the second half. Underlying futures firm - but off midday highs, curves mixed (2s10s -.898 at 70.633; 5s30s +1.696 at 114.275). Projected rate cut pricing has consolidated vs. early morning levels (*): Jan'26 steady at -4bp (-4.6bp), Mar'26 at -13.9bp (-14.5bp), Apr'26 at -19.5bp (-20.6bp), Jun'26 at -34.3bp (-35.3bp).
- SOFR Options:
- Block: 5,000 SFRH6 96.50/96.75 call spds vs. SFRU6 96.75/97.00/97.25 call flys, 0.75 net/March over
- +3,000 0QM6 97.00/97.37/97.75 1x3x2 call flys, 1.75 net/wings over
- +10,000 SFRF6 96.43 puts, 2.0
- -8,000 0QG6 97.25/97.75/98.25 call flys, 1.5
- +4,000 SFRH6/SFRM6 96.00/96.25 put spd strip, 0.5
- -2,500 SFRF6 96.43 puts, 1.75 ref 96.48
- +4,000 SFRM6 98.00 calls, 2.0 ref 96.69
- 24,059 SFRH6 96.31/96.37/96.50 put trees ref 96.485
- -10,000 SFRJ6 96.68/96.93 call spds, 6.75 ref 96.70
- -3,000 SFRM6 96.37/97.37 strangles, 5.25
- 2,350 SFRH6 96.31 puts, 0.5
- Treasury Options:
- -11,000 TYG6 114.25/115 1x2 call spds 0.0 vs. 112-14/0.04%
- +50,000 TYH6 114 calls, 14 ref 112-15 (exp 2/20) total volume over 64,900
- +10,000 TYG6/TYH6 113 call spds 17
- +20,000 TYG6 114 calls, 3 vs. 112-12.5 to -13
- +5,000 TYG6 114 calls, 2 ref 112-12
- Block, 1,000 TYG6 111.25/112.25 5x4 put spd, 1-04 net vs. 1,000 TYH6 112-12
- 2,800 TYG6 111 puts, 4 ref 112-12.5, total volume over 13,100
- +2,000 USH6 113/114 put spds, 19 ref 115-07
- 1,000 TYH6 104.5/105 call spds ref 104-12.37
- 1,500 TYG6 111/113.5 strangles ref 112-09.5
- +1,500 TYG6 112.75/113.5 1x2 call spds, 6 net ref 112-09
- +1,800 TYG6 112 puts, 21 ref 112-08.5
- over 6,600 wk2 TY 112 puts, 10 ref 112-08.5 to -09.5
- 2,250 TYG6 112.25/113 call spds ref 112-07
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USDCAD TECHS: Bull Channel Breakout
- RES 4: 1.4140 High Nov 5 and a key resistance
- RES 3: 1.4131 High Nov 21
- RES 2: 1.4051 High Nov 28
- RES 1: 1.3939/4016 Low Nov 28 / 20-day EMA
- PRICE: 1.3865 @ 16:35 GMT Dec 5
- SUP 1: 1.3853 Intraday low
- SUP 2: 1.3840 50.0% retracement of the Jun 16 - Nov 6 bull cycle
- SUP 3: 1.3812 Low Sep 23
- SUP 4: 1.3779 Low Sep 22
A bear theme in USDCAD remains intact and Friday’s strong sell-off reinforces a bear theme. The pair has breached an important support at 1.3942, the base of a bull channel drawn from the Jul 23 low. The break highlights a stronger bear cycle and signals scope for an extension towards 1.3840 next, a Fibonacci retracement point. Initial firm resistance to watch is 1.4016, 20-day EMA.
LOOK AHEAD: US Week Ahead: FOMC Decision Dominates, Post Shutdown Data Catch-Up
- Next week’s US calendar is dominated by the FOMC decision on Wednesday, with a third consecutive 25bp cut almost fully priced.
- Expect it to be a contentious meeting however, with many arguing for a pause not least whilst they’re still relatively in the dark on key official data releases following the government shutdown.
- Fed Chair Powell opted for a surprisingly hawkish tone at the late October press conference, highlighting a deeply divided committee on prospects for another cut in December.
- The “fog” had appeared to win out until NY Fed’s Williams, a senior permanent voter, gave unusually explicit guidance on still seeing room “for a further adjustment in the near term”. With no pushback from FOMC members or media briefings, it appears this message has approval from the core of the FOMC which should be enough to see a rate cut this month. The likely catalyst was the further increase in the unemployment rate to 4.44% back in September, although subsequent tracking suggests stabilization and jobless claims data don’t show any signs of deterioration.
- We’ll be looking for the number of hawkish dissents (we’d be surprised if anyone joins Miran dissenting for a 50bp cut) and expect a greater number to object to a cut in the 2025 dot plot, whilst the distribution of dots for 2026 should be in greater focus.
- As for the economic projections, we expect upward revisions to GDP growth but downward revisions to near-term core PCE inflation with tariff passthrough proving less severe than previously feared.
Aside from the Fed, we also receive two months worth of JOLTS data along with other delayed releases as the shutdown data backlog is slowly caught up.
AUDUSD TECHS: Bullish Impulsive Wave Extends
- RES 4: 0.6723 High Oct 21 ‘24
- RES 3: 0.6707 High Sep 17 and a key resistance
- RES 2: 0.6660 High Sep 18
- RES 1: 0.6649 Intraday high
- PRICE: 0.6630 @ 16:32 GMT Dec 5
- SUP 1: 0.6580/6533 High Nov 13 / 20-day EMA
- SUP 2: 0.6517 Low Nov 27
- SUP 3: 0.6466/21 Low Nov 26 / 21
- SUP 4: 0.6415 Low Aug 21 / 22 and a bear trigger
A strong impulsive bull wave in AUDUSD remains intact, having printed 10 consecutive sessions of higher highs. Recent gains have cleared a number of important short-term resistance points, strengthening a bull theme and highlighting scope for a continuation higher. Today’s rally has resulted in a breach of 0.6640, 76.4% of the Sep 17 - Nov 21 bear leg. This opens 0.6707, the Sep 17 high and key resistance. Key support to watch is at 0.6533, 20-day EMA.
