US TSYS: Late SOFR/Treasury Option Roundup
Option desks reported better SOFR & Treasury put volume in the lead-up to the FOMC annc, call buying an afterthought post FOMC even as underlying futures surged to session highs (TYM5 tapped 111-03 (+9.5) after marking session low of 110-14.5 ahead the annc. Projected rate cuts through mid-2025 gained some momentum vs. session lows (*) as follows: May'25 at -5.2bp ( -4.7bp), Jun'25 at -18.9bp (-16.4bp), Jul'25 at -28bp (-24.2bp).
- SOFR Options:
- +18,000 SFRH6 95.00/95.50 put spds, 4.375
- Block, 5,000 SFRM5 95.75/95.87 put spds 7.5 ref 95.855
- +30,000 SFRZ5 95.87/96.12/96.37/96.62 call condors, 6.25-6.5 ref 96.205
- +6,000 SFRM5/SFRU5 95.62/95.75 put spds, 0.25 net/June over
- -4,000 SFRK5 95.81/SFRH6 95.25 put spds, 0.5 net/Mar over
- +7,500 SFRH6 93.75/94.25 put spds, 0.75 ref 96.38
- +5,000 SFRM5 96.00/96.18/96.50/96.68 call condors, 1.75
- -2,000 SFRK5 95.75/95.81/95.87/95.93 iron condor, 4.25 ref 95.86
- +2,500 SFRQ5 96.00/96.62 1x2 call spds vs. 95.75 puts, 3.5 db
- 4,000 0QM5 97.00/97.50 call spds ref 96.38
- 2,000 0QZ5 96.87/97.25 call spds ref 96.395
- 1,300 SFRU5 95.68/95.75/95.81/95.87 put condors, ref 96.075
- +9,000 SFRM5 96.18/96.31/96.43/96.56 call condors, 0.5 ref 95.865 to -.87
- +6,500 SFRM5 95.62/95.75/95.81/95.87 broken put condors, 1.0 ref 95.865
- +2,500 SFRJ5 95.87/95.93/96.06/96.12 call condors, 1.25
- 2,000 0QM5 96.75/97.00 call spds ref 96.395
- Treasury Options: April options expire Friday
- +25,000 TYJ5 111 calls, 13 (appr vol 5.6%)
- +30,000 TYJ5 109.75 puts, 1
- +25,000 FVJ5 107 puts, 2
- +19,000 TYJ5 109 puts
- 1,500 TYK5 111.5/112.5 1x2 call spds, 4 net/2-legs over
- -7,500 TYK5 109/112 strangles from 39 to 38 ref 110-17.5
- Block, -9,500 TYJ5 109.75/110.00/110.50 1x1x2 put trees, 22 net/110.5 over
- 4,000 TYJ5 108.75/109.25 2x1 put spds ref 110-18
- +10,000 TYK4 114 calls 6-7
- 1,950 FVJ5 106.75/107/107.25 put flys ref 107-16.5
- 2,000 FVM5 105/106.5/107 broken put trees vs. FVM5 110 call
- over +38,000 TUJ5 103.25 puts, 4-4.5
- +5,000 TYM5 108/113.5 strangles, 39
- -10,000 FVJ4 107.5/107.75 strangles 6.5 over the wk4 FV 107/108.25 strangle
- 4,000 TYM5 110 puts, 51 ref 110-21.5
- over 7,300 TYJ5 111 calls, 10 last ref 110-22
- +6,000 TYM5 113.5 calls, 24 ref 110-24.5
- +5,000 TYM5 113 calls, 31 ref 110-26
- +4,500 TYJ5 111.5 calls, 4 ref 110-25.5
- 1,500 FVJ5 107/107.25 put spds ref 107-21.25
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US: President Trump Emphasises Desire for Reciprocity on Trade
- In a long post on reciprocal tariffs (via x.com) President Trump has said the following:
- "On Trade, I have decided, for purposes of Fairness, that I will charge a RECIPROCAL Tariff meaning, whatever Countries charge the United States of America, we will charge them - No more, no less!"
- "I have instructed my Secretary of State, Secretary of Commerce, Secretary of the Treasury, and United States Trade Representative (USTR) to do all work necessary to deliver RECIPROCITY to our System of Trade!"
- Full link here: https://x.com/realDonaldTrump/status/1891572283161944433
USDJPY TECHS: Bear Threat Remains Present
- RES 4: 158.87 High Jan 10 and a bull trigger
- RES 3: 156.75 High Jan 23
- RES 2: 155.89 High Feb 3
- RES 1: 154.36/80 50-day EMA and a pivot resistance / High Feb 12
- PRICE: 151.40 @ 16:15 GMT Feb 17
- SUP 1: 150.93 Low Feb 07 and a bear trigger
- SUP 2: 149.69 Low Dec 9
- SUP 3: 148.65 Low Dec 3 ‘24 and a key support
- SUP 4: 148.01 Low Oct 9 ‘24
USDJPY has pulled back from last week’s high. The latest move down highlights that - for now - resistance around the 50-day EMA, remains intact. The average is at 154.36. A clear break of the 50-day average is required to highlight a stronger bullish reversal. This would open 155.89, the Feb 3 high. Key support and the bear trigger is unchanged at 150.93, the Feb 7 low. Clearance of this level would resume the bear cycle that started on Jan 10.
EURGBP TECHS: Pivot Resistance Remains Intact
- RES 4: 0.8474 High Jan 20 and a key resistance
- RES 3: 0.8420 76.4% retracement of the Jan 20 - Feb 3 bear leg
- RES 2: 0.8388 61.8% retracement of the Jan 20 - Feb 3 bear leg
- RES 1: 0.8378 High Jan 6
- PRICE: 0.8312 @ 16:12 GMT Feb 17
- SUP 1: 0.8297/8248 Low Feb 4 / 3 and a bear trigger
- SUP 2: 0.8223 Low Dec 19 and a key support
- SUP 3: 0.8203 Low Mar 7 ‘22 and a lowest point of a multi-year range
- SUP 4: 0.8163 123.6% retracement of the Dec 19 - Jan 20 bull leg
EURGBP continues to trade in a range. The early February bounce still appears to have undermined a recent bearish threat. Attention is on 0.8378, the Jan 6 high and a key short-term pivot resistance. Clearance of it would strengthen a bullish condition and signal scope for a stronger recovery. For bears, a resumption of weakness would once again refocus attention on 0.8248, the Feb 3 low and bear trigger.
