US TSYS: Late SOFR/Treasury Option Roundup: Large Oct'25 10Y Call Buyer
Aug-29 19:11
SOFR Options continued to rotate around low delta call structures Friday, while Treasury options favored puts until a massive buyer of over 100,000 Oct 10Y calls arrived in the second half. Treasury futures drift near session lows, the short end of the SOFR strip saw modest support (SFRU5-SFRH7 trades +0.005 to +0.010). Projected rate cuts in turn continue to gain momentum vs. morning (*) levels: Sep'25 at -22.0bp (-21.2bp), Oct'25 at -35.6bp (-34.1bp), Dec'25 at -56.0bp (-54.9bp), Jan'26 at -68.1bp (-67.1bp).
- SOFR Options:
- +1,500 SFRM6/SFRU6 97.50/98.50/99.50 call fly strip, 14.0
- +2,000 SFRM6 96.87/97.18 call spd vs. 0QM6 97.25/97.50 call spd
- +8,000 0QU5 96.75 puts, 2.0
- +10,000 SFRU5 96.12/96.25 call spds, 0.5 vs. 95.935/0.05%
- Update, +10,000 SFRZ5 95.68/95.81/96.00/96.12 call condors, 3.5
- 1,275 SFRX5 96.00/96.12 call spds vs. 96.00/96.12 call spds
- +3,000 0QH6 97.50/98.00 call spd w/ 0QM6 97.50/98.00 call spds, 17.0
- +20,000 SFRZ5 96.18/96.43 1x2 call spds, 1.25
- Block, 4,000 0QZ5 96.50/96.87 put spds vs. 3QZ5 96.25/96.62 put spds, 0.5 net
- -3,000 SFRU5 96.06/96.18 call spds, 0.5 ref 95.895
- +2,000 SFRU5 95.93/96.00/96.06 call flys, 0.5
- +18,800 SFRU5 96.00/96.12 call spds, 1.0 ref 95.91/0.10%
- +10,500 SFRU5 96.00/96.06 call spds, 0.5 ref 95.897
- 2,000 SFRZ5 96.37 calls ref 96.215
- Treasury Options:
- Update, +100,000 TYV5 114 calls, 12-13 ref 112-16.5/0.18%, total volume over 117k
- +10,000 TYV5 108/109 put spds, 1.0
- +1,000 wk1 FV 109.5 straddles, 17.5
- 1,120 TYX5 110.5/112.5 put spds ref 112-16
- 4,000 FVV5 109 puts, 14.5 last
- +2,000 FVV5 108.25/109 put spds, 11.5
- +20,000 FVV5 108.25/108.75 put spds, 6.5 ref 109-13.75
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FED: Powell - Watching The Consumer Closely
Jul-30 19:07
Powell on the US consumer:
- "Consumer spending has been very, very strong for the last couple of years and ... repeatedly forecasters, not just us, had been forecasting it would slow down.
- And now maybe it finally has.... essentially you have a consumer that's in good shape and is spending, not at a rapid rate... it's one of the data points that we pay most careful attention to. And there's no question that it's slowed. And we are watching it closely."
FED: Powell - Really Hard To Say Whether Will Have Enough Info To Cut In Sept
Jul-30 19:03
On that note, Powell says it's "really hard to say" whether there will be enough information to cut in September. Asked about the what the Fed is looking for in the data:
- "If you saw that the risks to the two goals were moving into balance, if they were fully in balance, that would imply that you should move toward a more neutral stance on policy. This is the special situation we are in, which is, we have two-sided risks... When we paused, inflation was above target and the labor market was pretty good.... As the two targets get back into balance, you would think you would move it in a way closer to neutral and the next steps that we take are likely to be in that direction.
- What will it take? It will be the totality of the evidence. As I mentioned, there's quite a lot of data coming in which before the next meeting, will it be dispositive of that? You know, it's really hard to say. We don't make those decisions right now. So, we will have to see."
US TSYS: Late Chairman Powell Presser React
Jul-30 19:03
- Treasury futures are extending lows now, curves bear flattening as projected rate cuts into year end continue to cool.
- Futures extending past this morning's ADP/GDP/Core-PCE lows: Sep'25 10Y futures currently trades -12 at 110-31.5 (110-31 low, 111-14.5 high). Key support is 110-08+, the Jul 14 and 16 low. Clearance of this level would reinstate a bearish theme. First support is at 110-19+, the Jul 24 low.
- Curves shift to flatter: 2s10s -1.814 at 43.131, 5s30s -1.397 at 94.131.
- Cross asset: Stocks retreating (SPX eminis -26.0 at 6380.25), Gold weaker at 3279.0, Bbg US$ index remains bid: 1218.77 (+8.79).
