US TSYS: Late SOFR/Treasury Option Roundup
Mar-04 20:03
Heavy SOFR and Treasury option volume on the day, leaning towards low delta puts well before the reversal in bonds to near session lows late. Projected rate cuts through mid-2025 gaining vs. late Monday levels (*) as follows: Mar'25 at -1.8bp (-3.1bp), May'25 at -12.2bp (-14bp), Jun'25 at -28.9bp (-31.0bp), Jul'25 at -38.8bp (-42.6bp).
- SOFR Options:
- 16,000 SFRJ5 95.62/95.68 put spds, cab
- -10,000 SFRU5 96.25 calls, 27.0 vs. 96.265/0.50%
- Block, 17,500 SFRZ5 96.12/96.50 3x2 put spds, 18.5 net ref 96.44 to -.435
- -5,000 SFRZ5 96.50/97.00 call spds, 14.5 ref 96.475
- Block, 15,000 0QM5 97.00/97.50 call spds 7.5 (scree/pit total over -50k)
- +10,000 0QM5 97.00/97.50 call spds, 7.5 ref 96.01
- +5,000 SFRZ5 96.00 puts, 15.5
- -3,000 SFRZ5 96.43 straddles, 72.0 ref 96.415
- +5,000 SFRU5 97.00 calls 11.0 ref 96.275
- -5,000 SFRJ5 96.12/96.37 call spds, 3.75 ref 96.005
- +20,000 0QM5 97.00/97.50 call spds, 7.25 ref 96.565
- -30,000 0QM5 95.12/95.50 put spds .75 vs. 96.545 to -.535/0.06%
- -10,000 SFRN5 95.56/95.75/95.93 put flys, 4. ref 96.26
- -5,000 SFRZ5 96.25/96.50 call spds, 10.0 ref 96.41
- -20,000 SFRZ5 96.25/96.75/97.25 call flys, 7.5 ref 96.41
- Block, 6,000 0QM5 96.75/97.25 call spds vs. 3QM5 96.62/97.12 call spds, 0.0
- Block, 4,000 96.62/96.75 call spds 4.5 vs. 96.59/0.08%
- over 7,600 0QM5 97.25/97.50 call spds ref 96.535
- over 38,900 SFRZ5 95.62 puts - partly tied to flys/condors below
- 5,000 SFRZ5 95.37/95.62/95.87/96.12 put condors
- 7,350 SFRZ5 95.12/95.62/96.12 put flys ref 96.385
- over 10,000 0QH5 96.50 calls ref 96.475
- 5,000 0QM5 97.25/97.50 call spds ref 96.52
- +4,000 SFRZ5 96.00/96.25 put spds, 11.5 ref 96.385
- +4,000 SFRZ5 96.50 calls, 30.0 ref 96.38
- 4,800 SFRZ5 95.93/96.12 put spds ref 96.38
- 5,000 SFRH5 95.75/95.87 call spds
- 5,000 2QH5 96.25/96.37 put spds ref 96.51
- Block, 3,716 SFRM5 96.00/96.25 call spds, 6.0 ref 95.99
- Treasury Options:
- Block -16,000 TYK5 112.5 calls, 41 vs. 111-09/0.20% vs. +17,500 wk4 TY 114 calls, 8
- Block -16,000 TYK5 112.5 calls, 47 vs. 111-20/0.20% vs. +17,000 wk4 TY 114 calls, 9
- -3,000 TYM5 111.5 straddles, 248
- +10,000 TYK 110.5 puts, 40
- -20,000 TYJ5 109 puts, 3.0 vs. 111-25.5 to -26/0.06%
- 5,000 TYJ 107/108 put spds, 0.5 ref 111-21
- 2,500 FVK5 110/112 call spds
- -12,000 wk1 TY 111/112.5/113.5 broken call flys, 2 ref 111-22, exp this Friday
- 24,800 TYJ5 109.5 puts, 6, total volume over 42,600
- over 8,700 USJ5 117.5 puts, 45 last
- over 8,000 USJ5 119.5 calls, 1-10 last
- 9,100 TYJ5 107/108 put spds ref 111-18
- 3,000 TYJ5 109/109.5 3x2 put spds ref 111-18 to -18.5
- 3,125 FVJ5 107.25 puts ref 108-09.25
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CANADA STILL CONSIDERING TAX ON OIL EXPORTS TO US- OFFICIAL
Feb-02 18:26
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FED: Powell To Deliver Semi-Annual Testimony In Mid-Feb
Jan-31 21:48
The House Financial Services Committee's website confirms that Fed Chair Powell will deliver his semi-annual Monetary Policy Report on Wednesday Feb 12 at 1000ET.
- The Semi-annual testimony will be closely eyed as Powell's first scheduled appearance since the January FOMC - and the House testimony on the 12th is the same day as the release of January CPI (and the week after nonfarm payrolls and benchmark revisions) so will be of particular interest.
US OUTLOOK/OPINION: Nonfarm Payrolls, Revisions Highlight Next Week In US Macro
Jan-31 21:39
Friday’s nonfarm payrolls for January highlights the US macro week. It's a highly anticipated report that could alter recent trends considering it will include annual benchmark revisions along with seasonal factors and an updated birth-death model.
- The preliminary estimate for the benchmark revision pointed to the level of payrolls being some 818k lower than currently reported for back in March 2024. There’s a broad expectation from what we can gather that the hit seen next week won’t be as large but it could still be significant. We also watch the seasonal revisions closely, as whilst they should have a zero-sum impact over the calendar year, we’ve noted some particularly favorable seasonal factors in recent months that have biased seasonally adjusted jobs growth higher.
- With these considerations in mind, the early days of the Bloomberg consensus points to nonfarm payrolls growth of 150k after a solid three-month average of 170k. Note that the unemployment rate from the separate household survey won’t be affected by these revisions, having already seen its own seasonal factor revisions last month. A population control will complicate month-on-month changes in the levels of employment and unemployment but shouldn’t be significant for the rate, which is seen unchanged at 4.1% having surprised lower with 4.09% in December. The recent high is technically 4.23% in November having first popped to 4.22% back in July.
- Two other special mentions for the week are: 1) rare remarks from FOMC Vice Chair Jefferson speaking on the economic outlook and monetary policy late on Tuesday with both text and Q&A, having last spoke on Oct 9. 2) ISM services on Wednesday after its priced paid series jumped 5.9pts to 64.4 in December for the highest since Feb 2023.
- Away from macro but still material, the coming week brings the US Treasury's quarterly refunding process - our preview is here.
