US TSYS: Late SOFR/Treasury Option Roundup: Better Calls on Net
Option desks reported better upside call volume on net underlying futures see-saw near midday highs (TYM5 +7.5 at 112-04.5 vs. -07.5 high). Curves mildly steeper (2s10s +.412 at 51.346). Projected rate cut pricing rising in the second half of the year compared to this morning's levels (*) as follows: May'25 at -2.6bp (-2.3bp), Jun'25 at -16.9bp (-16.9bp), Jul'25 at -39.1bp (-37.6bp), Sep'25 -61.0bp (-57.4bp).
SOFR Options:
+20,000 SFRU5 96.00 puts, 10.0 vs. 96.315 to -.32/0.25%
-15,000 SFRN5/0QN5 96.12/96.25 call spd spd, 5.25 midcurve over, steepener
+10,000 SFRZ5 96.75/97.25 call spds, 14.25 ref 96.645
-8,000 0QM5 96.87/97.00/97.25/97.3 call condors, 2.87 ref 96.98
+2,500 0QM5 97.50/98.00/1000 2x3x1 call flys 7.0 vs. 96.365/0.14%
+3,500 0QK5 96.75 puts, 6.5
+5,000 SFRZ5 96.00/96.25/96.50 put trees, 2 ref 96.585
-4,000 0QM5/2QM5 95.87/96.12 put spd strip w/2QM5 96.00/96.25 put spd, 2.5 total
21,000 SFRM5 95.87/96.00/96.25/96.37 call condors
15,400 SFRM5 95.75/95.81 put spds ref 95.895
11,400 SFRM5 95.68 puts, 0.5 last
over 5,900 SFRZ5 95.62 puts, 3.5 last
12,580 SFRZ 95.56/95.68/95.81 put flys ref 96.575
2,500 0QZ5 97.00/97.50 call spds ref 96.935
1,850 SFRK5 95.81/96.18 1x2 call spds ref 95.885
Treasury Options:
+15,000 wk2 TY 112.75 calls, 21
2,500 TYM5 112 straddles,
+5,000 TYM5 109/113 strangles, 35-36
-6,000 TYM5 111.75 straddles, 142 (imp vol 7.22%)
+12,000 TYM5 110/113 strangles, 38-39 vs. 111-25/0.25% (imp vol 7.36%)
20,000 wk1 5Y (exp Fri)/Mon wkly 5Y (exp Mon) 110 call spds ref 108-26.75
6,300 TYM5 113/116 call spds ref 111-27.5
over 4,300 TYM5 114 calls
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USDCAD TECHS: Bullish Outlook
- RES 4: 1.4700 Round number resistance
- RES 3: 1.4641 76.4% retracement of the Feb 3 - 14 bear leg
- RES 2: 1.4452/4543 High Mar 13 / 4 and a bull trigger
- RES 1: 1.4402 High Mar 20
- PRICE: 1.4292 @ 16:50 GMT Mar 28
- SUP 1: 1.4235 Low Mar 26 and a key near-term support
- SUP 2: 1.4151/4107 Low Feb 14 / 50.0% of Sep 25 - Feb 3 bull run
- SUP 3: 1.4011 Low Dec 5 ‘24
- SUP 4: 1.3944 61.8% retracement of the Sep 25 ‘24 - Feb 3 bull cycle
USDCAD traded through support at 1.4242 on Wednesday but has recovered. A return lower and clearance of this level would undermine the bull theme and instead highlight potential for a test of 1.4151, the Feb 14 low and a bear trigger. Moving average studies continue to highlight a dominant uptrend. A reversal higher would refocus attention on the bull trigger at 1.4543, the Mar 4 high. First resistance is 1.4402, the Mar 20 high.
US FISCAL: Debt Limit "Extraordinary Measures" Pick Up, But Cash Dipping Pre-Tax
Treasury data shows that there were $207B of "extraordinary measures" available to circumvent hitting the debt limit as of Wednesday Mar 26.
- That's the most since Jan 27th and up from $163B a week earlier, from a total $376B available.
- However, Treasury cash in the TGA fell to $316B as of the 26th (and was down to $280B on Thursday), meaning there were a combined $523B of resources available to avert the debt limit, the lowest since the impasse began in January (and half of the starting amount of just over $1T).
- The next couple of weeks will be very important for Treasury, as they represent the biggest tax take of the year. The Congressional Budget Office reported this week that per its estimates "if the debt limit [$36.1T] remains unchanged, the government's ability to borrow using extraordinary measures will probably be exhausted in August or September 2025." Treasury wrote to Congress this month that they would be able to provide an update on the x-date in the first half of May, after the conclusion of tax season.
AUDUSD TECHS: Remains Above Support
- RES 4: 0.6429 High Dec 12 ‘24
- RES 3: 0.6414 38.2% retracement of the Sep 30 ‘24 - Feb 3 bear leg
- RES 2: 0.6409 High Feb 21 and a bull trigger
- RES 1: 0.6391 High Mar 17 / 18
- PRICE: 0.6291 @ 16:46 GMT Mar 28
- SUP 1: 0.6258 Low Mar 21
- SUP 2: 0.6187 Low Feb 4
- SUP 3: 0.6171/6088 Low Feb 4 / 3 and a key support
- SUP 4: 0.6045 1.500 proj of the Sep 30 - Nov 6 - 7 price swing
AUDUSD is unchanged. A short-term bull theme is intact and the latest move down appears corrective. Key short-term support to watch is 0.6187, the Mar 4 low. Clearance of this level would reinstate a bear threat. First support is at 0.6258, the Mar 21 low. A stronger recovery would refocus attention on 0.6409, the Feb 21 high. Clearance of this hurdle would strengthen the bull cycle and resume the uptrend that started Feb 3.
