US TSYS: Late SOFR/Treasury Option Roundup
Mixed FI option flow reported Thursday, SOFR more pared between calls & puts while Treasury option volume centered on 10Y puts, notably a large April 10Y put over risk reversals (+50k TYJ5 108 put 19 vs. -TYJ5 110.5 calls 11 ref 108-31) that printed just before underlying futures gapped higher on Tsy Sec Bessent comment on terming out debt "a long way off". Projected rate cuts through mid-2025 look steady to firmer vs. early morning levels (*) as follows: Mar'25 steady at -0.5bp, May'25 at -5.8bp (-3.2bp), Jun'25 at -15.1bp (-13.4bp), Jul'25 at -20.6bp (-19.1bp).
- Treasury Options
- Block, +10,000 TYJ5 109 puts 41 ref 109-06
- 19,000 TYJ5 109 puts, 39 ref 109-04.5
- Block, +19,500 TYK5 106 puts, 10 vs. 109-06/0.18%
- +5,000 TYJ5 110/111 call spds 14
- +50,000 TYJ5 108/110.5 put over risk reversals, 8 net ref 108-31.5
- 3,000 FVH5 106.25 puts, 2.5 last
- over 7,350 TYH5 108.25 puts ref 109-00.5
- 7,500 TYM5 107.5/109 2x1 put spds ref 109-01.5
- SOFR Options
- Block, +20,000 SFRU5 96.25 calls, 11.5 vs. 95.95/0.28%
- +10,000 0QM5 95.12/95.50 put spds 3.0 ref 96.08
- +10,000 0QM5/2QM5 96.50/97.00 call spd spd 0.25 net steepener
- -8,000 SFRU5 95.93 straddles 37.0 ref 95.94
- +4,000 SFRU5 95.50/95.62 put spds 1.0 ref 95.94
- +5,000 SFRJ5 97.12 calls vs SFRM5 96.25/97.00 call spds, 1.5 vs. 95.80/0.06%
- +5,000 2QH5 95.75/95.87 put strips, 4.5 vs. 96.06/0.32%
- +5,000 0QM5/2QM5 96.31/96.93 call spds 0.0 net, flattener
- +5,000 0QJ5 96.25/96.62/96.93 call flys 5.0 ref 96.08
- 3,000 SFRM5 95.56/95.68 put spds
- 2,500 SFRM5 95.68/95.81/96.00/96.12 call condors ref 95.815
- 2,000 SFRZ5 95.62/95.68 put spds ref 96.01
- 7,500 SFRU5 96.00/96.37/96.75 call flys ref 95.935
- 1,500 0QH5 95.87/96.00/96.06/96.12 put condors ref 96.055
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COMMODITIES: Crude Loses Ground, Henry Hub Falls, Gold Rises Amid Tariff Fears
- Crude futures have lost ground today as the market assesses the potential impact of the new US administration, with Trump promising to boost US production further.
- WTI Feb 25 is down by 2.3% at $76.1/bbl.
- US President Trump declared a “national energy emergency” to be able to increase domestic oil and gas production and reverse Biden’s climate change policies.
- Trump also said that he planned to impose previously threatened tariffs of as much as 25% on Mexico and Canada by Feb 1.
- Platts expects a tentative bullish effect on oil prices from these tariffs, due to increased freight costs amid expected oil trade reshuffling.
- The trend structure in WTI futures remains bullish despite the latest pullback, which has allowed an overbought trend reading to unwind. Attention is on $79.48, the Apr 12 ‘24 high. Support to watch is the 20-day EMA, at $74.75.
- Meanwhile, Henry Hub has fallen as freezing weather over the long weekend failed to significantly curb gas output, while forecasts expect temperatures to rise, and thus cut heating demand, next week.
- US Natgas Feb 25 is down by 4.7% at $3.76/mmbtu.
- Spot gold has risen by a further 1.3% to $2,743/oz today, its highest level since Nov 6, driven by the possibility of tariffs on US gold imports.
- The yellow metal has pierced key short-term resistance at $2,726.2, the Dec 12 high, exposing $2,790.1, the Oct 31 all-time high.
POLITICAL RISK: Trump Set For First Oval Office Interview Wednesday Evening
Pres Trump will have his first Oval Office interview since returning to the White House on Wednesday at 9pm ET, with Fox's Sean Hannity - per Axios.
- "Trump is expected to discuss his second presidential term, recent executive orders and what to expect from the first 100 days, Fox exclusively confirmed to Axios."
USDJPY TECHS: Monitoring Support
- RES 4: 159.45 High Jul 12
- RES 3: 159.26 0.618 proj of the Sep 16 - Nov 15 - Dec 3 price swing
- RES 2: 158.08/87 High Jan 15 / 10 and the bull trigger
- RES 1: 156.56 20-day EMA
- PRICE: 155.44 @ 16:16 GMT Jan 21
- SUP 1: 155.00/154.78 50-day EMA / Intraday low
- SUP 2: 154.32 Trendline support drawn from the Sep 16 ‘24 low
- SUP 3: 153.16 Low Dec 17
- SUP 4: 152.46 Low Dec 13
The trend condition in USDJPY remains bullish and recent weakness appears corrective - for now. The pair has traded through the 20-day EMA and an extension lower would signal scope for a deeper retracement. Support to watch is 155.00, the 50-day EMA, and 154.32, a trendline drawn from the Sep 16 ‘24 high. A clear breach of both levels would highlight a stronger reversal. Key resistance and the bull trigger is 158.87, the Jan 10 high.
