US TSYS: Late SOFR/Treasury Option Roundup: More Pared Ahead FOMC
SOFR & Treasury option volumes gradually improved Tuesday, flow shifted from low delta put trade to more pared with some upside call structures as underlying pared losses ahead of Wednesday's FOMC, curves mildly steeper/well off early highs. Projected rate cut pricing gains slightly vs. late Monday levels (*) as follows: May'25 steady at -0.5bp, Jun'25 steady at -8.4bp, Jul'25 steady at -25.2bp, Sep'25 -46.2bp (-45.3bp).
- SOFR Options:
- +20,000 0QU5 97.25/97.75 call spds 6.0-6.5 over SFRN5 96.75 calls
- +5,000 SFRN5 95.75/95.87/96.00 put flys, 2.25
- +8,000 SFRN5 95.50/95.62/95.75/95.87 put condors, 2.0 ref 96.16
- +5,000 SFRH6 97.25/98.25 call spds .25 over 2QH6 97.12/98.12 call spds
- +5,000 SFRZ5 96.50/2QZ5 96.75 call spds, 0.5
- +25,000 SFRU5 96.75/97.50 call spds, 4.75 ref 96.16
- 8,250 0QZ5 96.25/96.37 put spds ref 96.85 to -.855
- +2,500 SFRZ5 call spds, 4.0 ref 96.46
- -2,000 SFRK5 95.87/95.93 put spds, 5.75
- Block, 5,000 SFRM5 95.62 puts, 0.5 vs. 95.765/0.10%
- 3,000 SFRQ5 96.25/0QQ5 97.25 call spds
- 5,500 0QU5 97.25/97.75 call spds ref 96.845
- 2,500 SFRN5 95.68/95.75/95.87 2x3x1 put flys
- 5,000 SFRK5 95.75/95.81 put spds ref 95.795
- 6,000 SFRN5 96.25/97.25 call spds ref 96.15
- 3,000 SFRV5 95.62/95.75 2x1 put spds
- 2,500 SFRM5 95.75 puts ref 95.79
- 2,000 SFRK5 95.75/95.87 strangles, ref 95.785
- Treasury Options:
- Block, -7,500 wk2 TY 109.75/110.25/110.75/111.25 put condors, 13.0
- +10,000 wk2 FV 108.75/109 call spds, 3
- Block, 10,000 TYN5 108.5 puts, 15 vs. 111-04/0.19%
- 1,500 TUM5 103.37 puts vs. 103.75/104 call spds
- 7,300 TYN5 109 puts, 22 ref 111-07
- over 7,000 FVM5 108.25/109.25 1x2 call spds, 11
- 1,000 FVM5 107.25/108.25 put spds vs. 108.25/109.25 call spds ref 108-12
- over 5,300 wk2 TY 110.5 puts, 9 ref 110-29.5 (exp 5/9)
- 1,600 TYM5 109.25 puts, ref 111-00
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AUSSIE 10-YEAR TECHS: (M5) Strong S/T Bounce
- RES 3: 96.501 - 76.4% of the Mar 14 - Nov 1 ‘23 bear leg
- RES 2: 96.207 - 61.8% of the Mar 14 - Nov 1 ‘23 bear leg
- RES 1: 95.915 - High Apr 4
- PRICE: 95.860 @ 16:42 GMT Apr 04
- SUP 1: 95.420/95.300 - Low Feb 13 / Low Jan 14
- SUP 2: 95.275 - Low Nov 14 (cont) and a key support
- SUP 3: 94.640 - 1.0% 10-dma envelope
Aussie 10-yr futures extended a recent strong bounce through to the Friday close, putting prices through the top end of the recent range. The confirmed breach of 95.851, the Dec 11 high on the continuation contract, reinstates a bull cycle and focuses attention on resistance at 96.207, a Fibonacci retracement point. A stronger bearish theme would expose 95.275, the Nov 14 low and a key support. Clearance of this level would strengthen a bearish condition.
USDCAD TECHS: Bearish Structure
- RES 4: 1.4452/4543 High Mar 13 / 4 and a bull trigger
- RES 3: 1.4415 High Apr 1
- RES 2: 1.4308 50-day EMA
- RES 1: 1.4242 High Apr 4
- PRICE: 1.4196 @ 17:10 BST Apr 4
- SUP 1: 1.4028 Low Apr 3
- SUP 2: 1.3986 Low Dec 2 ‘24
- SUP 3: 1.3944 61.8% retracement of Sep 25 ‘24 - Feb 3 bull run
- SUP 4: 1.3894 Low Nov 11 ‘24
USDCAD rallied Friday, but remains lower on the week after Thursday’s downleg. The move down has confirmed a clear reversal of the bull cycle between Sep 25 ‘24 and Feb 3. Price is through a key support at 1.4151, the Feb 14 low. This signals scope for an extension towards 1.3944, a Fibonacci retracement. On the upside, key short-term resistance is seen at 1.4308, the 50-day EMA.
CANADA DATA: Unexpected Jobs Contraction Boosts Implied April BOC Cut Chances
Canadian employment unexpectedly contracted in March, falling by the most since January 2022 at -32.6k (+10.0k expected, +1.1k prior) in a sign that the trade war with the US is spilling over increasingly into the "hard" data. The unemployment rate ticked up 0.1pp to 6.7%, in line with expectations and below the November 6.9% high, though unrounded it rose from 6.55% to 6.71% - the largest increase since November.
- The drop in employment was largely due to a 62.0k drop in full-time positions (after -19.7k, the 2nd straight drop), with part-time up for the 4th consecutive month at 29.5k (after 20.8k prior) - that mix is clearly indicative of hiring uncertainty among firms.
- The monthly full-time drop was the 2nd largest since the pandemic lows in the labour market (April 2020). Goods producing jobs fell by 12k (2nd consecutive decline), while services shed 21k (wholesale/retail trade and Information, culture and recreation led losses).
- The participation rate dipped 0.1pp to 65.2%.
- Wages were soft, dropping 0.2% M/M for the first drop since November, with the Y/Y rate slipping to 3.6% from 3.8% prior. The rise in permanent employees' wages of 3.5% Y/Y was well below the 4.1% expected (4.0% prior).
- Market-implied probability of an April BOC rate cut rose to as high as 68% after the data before settling the day at around 55%. That compares to 40% prior to Wednesday's US tariffs announcement.
