US TSYS: Late SOFR/Treasury Option Roundup: Mixed Ahead ADP
SOFR Option flow looked more pared in Tuesday's second half as trading accounts turned attention to Wednesday morning's ADP and Friday's headline employment data for January. Underlying futures have see-sawed moderately higher, at/near the top end of the session range. Projected rate cuts through mid-2025 gain slightly vs. this morning's levels (*) as follows: Mar'25 at -3.7bp (-3.5bp), May'25 at -11bp (-9.8bp), Jun'25 at -21.0bp (-19.5), Jul'25 at -26.9bp (-24.9bp).
- SOFR Options:
- +10,000 SFRJ5 95.75 puts 2.0 ref 95.89
- +5,000 SFRU5 97.00/97.50 call spds, 2.0 vs. 95.99/0.06%
- +10,000 0QU5 96.50/97.00 call spd vs 3QU5 96.37/96.87 call spd spd, 0.5 net
- +5,000 SFRZ5 95.50 puts, 9.5 vs. 96.06/0.24%
- -5,000 SFRZ5 95.37/96.62 strangle, 23.0 96.07
- -10,000 SFRJ5 95.87/96.12/96.37 call flys, 4.0-3.75 ref 95.89
- -15,000 0QK5 95.25/95.50 put spds, 2.5 ref 96.09
- +5,000 SFRJ5 95.75 puts 2 ref 95.885
- Update, over +30,000 SFRM5 95.81/95.93/96.00 broken call flys, 3.25 last ref 95.855
- +15,000 SFRZ5 97.00 0QZ5 97.50 call spds 3.5 steepener
- -4,000 SFRM5 95.75/95.87 put spds 2.75 over SFRJ5 95.68/95.81 put spds
- +2,500 SFRZ5 95.50 puts, 10.5 vs. 96.015/0.24%
- -2,500 SFRZ5 96.00/96.50/97.00 call fly w/ 95.00/95.50/96.00/96.60 put condor, 35.25 total ref 96.02
- +2,000 0QG5 96.00/3QG5 95.87 put spds, 0.0 flattener
- +10,000 SFRH5 96.25 calls vs -5,000 SFRK5 97.00 calls, 0.25 net
- 3,800 0QH5 95.75/95.87/96.00 put trees ref 96.06
- 4,000 SFRM5 96.00/96.12/96.25 call flys ref 95.87 to -.875
- over +25,000 SFRJ5 95.62/95.68/95.75 put flys, 1.25
- 5,000 SFRJ5 95.68/95.75/95.81/95.87 put condors
- 2,000 SFRZ5 96.50/96.75/97.00/97.25 call condors ref 96.035
- Treasury Options:
- -10,000 TYH5 108.75 straddles, 115-114
- +5,000 USH5 110 puts, 9
- +9,000 wk1 US 115 calls, 3
- over 14,000 TYH5 107 puts, 7 last
- 2,000 TYH 107.5/108 put spds
- over 10,200 TYH5 108 puts, 19 last
- over 13,000 USH5 110 puts, 9-11 ref 113-23
- over 7,400 USH5 112 puts, 31-32
- 1,500 TYH5 110.5/111.5 call spds ref 108-25
- 2,100 FVH5 105/106 put spds ref 106-11.25
- 2,000 wk2 US 111/112 put spds ref 114-01 (exp Feb 14)
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
JGB TECHS: (H5) Returns Lower
- RES 3: 149.55 - High Mar 22 (cont)
- RES 2: 147.74 - High Jan 15 and bull trigger (cont)
- RES 1: 144.48/146.53 - High Nov 11 / High Aug 6
- PRICE: 142.12 @ 15:01 GMT Jan 03
- SUP 1: 141.65 - Low Dec 30
- SUP 2: 141.56 - 1.764 proj of the Aug 6 - Sep 3 - 9 price swing
- SUP 3: 141.05 - 2.000 proj of the Aug 6 - Sep 3 - 9 price swing
Markets slipped on the hawkish Fed and are yet to fully recover, touching 141.65 on the way lower. Medium-term trend signals on the continuation chart continue to point south. A resumption of the trend would pave the way for a move towards 141.56, a Fibonacci projection point on the continuation chart. A stronger recovery would open 144.48, the Nov 11 high. Further out, key resistance is at 146.53, the Aug 6 high (cont).
USDCAD TECHS: Bull Flag Highlights A Clear Uptrend
- RES 4: 1.4669 2.0% 10-dma envelope
- RES 3: 1.4539 3.382 proj of the Oct 17 - Nov 1 - 6 price swing
- RES 2: 1.4508 3.236 proj of the Oct 17 - Nov 1 - 6 price swing
- RES 1: 1.4467 High Dec 19
- PRICE: 1.4392 @ 15:50 GMT Jan 3
- SUP 1: 1.4336 Low Dec 20
- SUP 2: 1.4307/4232 20-day EMA / Low Dec 17
- SUP 3: 1.4136 50-day EMA
- SUP 4: 1.4011 Low Dec 5
USDCAD is unchanged and bulls remain in the driver’s seat. The latest pause appears to be a flag formation - a bullish continuation signal. Note too that moving average studies are in a bull-mode position, highlighting a dominant uptrend. Sights are on 1.4508 next, a Fibonacci projection level. Initial firm support to watch lies at 1.4307, the 20-day EMA. A pullback would be considered corrective.
AUDUSD TECHS: Southbound
- RES 4: 0.6471 High Dec 9
- RES 3: 0.6408 50-day EMA
- RES 2: 0.6341 High Dec 18
- RES 1: 0.6247/6282 High Dec 30 / 20-day EMA
- PRICE: 0.6204 @ 15:21 GMT Jan 3
- SUP 1: 0.6179 Low Dec 31
- SUP 3: 0.6158 1.236 proj of the Sep 30 - Nov 6 - 7 price swing
- SUP 3: 0.6100 Round number support
- SUP 4: 0.6045 1.500 proj of the Sep 30 - Nov 6 - 7 price swing
A bearish trend condition in AUDUSD remains intact and the pair continues to trade closer to latest lows. Recent weakness maintains the price sequence of lower lows and lower highs. Note that moving average studies are in a bear-mode position too, highlighting a dominant downtrend. Scope is seen for an extension towards 0.6158 next, a Fibonacci projection. Initial firm resistance to monitor is 0.6282, the 20-day EMA.
