US TSYS: Late SOFR/Treasury Option Roundup: Projected Rate Cuts Firm Slightly
Jul-18 18:34
SOFR & Treasury options trade remained mixed on modest volumes Friday. Underlying futures firmer/near the week highs, curves steeper (2s10s +0.972 at 55.241, 5s30s +2.124 at 103.805). Projected rate cut pricing gains slightly vs. early morning (*) levels: Jul'25 steady at -1.2bp, Sep'25 at -16.6bp (-15.2bp), Oct'25 at -29.2bp (-28.2bp), Dec'25 at -46.5bp (-44.9bp).
- SOFR Options:
- 5,000 0QZ5 96.50/96.75 2x1 put spds ref 96.825
- +5,000 0QZ5 97.00/97.50/98.00 call flys 5.0 over 0QU5 96.87/97.37/97.87 call fly
- +1,000 SFRV5/SFRX5/SFRZ5 95.75/96.00 2x1 put spd strips, 20.0
- Update, +12,500 SFRZ5 96.25/96.37/96.50 call flys, 0.87-1.0 adds to +10k Block at 0.75
- 1,000 SFRQ5 195.68/95.75/95.81 put flys
- over +11,200 SFRU5 96.12/96.18 call spds, 0.5 ref 95.835/0.05%
- 3,000 SFRU5 95.68/95.75 put spds
- 5,300 SFRQ5 96.00 calls, 1.5 ref 95.825/0.20%
- 2,000 0QQ5 96.50 puts, 2.5 ref 96.775/0.05%
- over 10,000 SFRZ5 96.25/96.37/96.50 call flys, 0.75 ref 96.09
- +10,000 0QQ5 96.81 calls, 0.5-1.0
- Treasury Options:
- 3,000 TYU5 108 puts, 5 ref 110-28
- 5,000 TYU5/TYV5 109 put spds, 19
- 6,700 TYQ5 111 straddles, 34
- 5,000 TYX5 107/108.5/110 put flys ref 110-23.5
- 1,500 TYQ5 112.25/113.75 1x2 call spds ref 110-24
- +3,000 TYQ5 112.25 calls, 1
- 2,500 TYQ5 111/112 call spds, ref 110-25.5
- +15,000 TYQ5 114.25 calls, 1 vs. 110-25.5/0.02%
- -1,600 TYQ5 112.25/113.75 1x2 call spds, 0.0 ref 110-25
- 4,000 TYQ5 110 puts, 5 last, 1k tied to 109.5 put
- 2,200 TYQ5 111 calls, 9 last
- 2,400 TYQ5 111.5 calls, 4 last
- 1,000 FVU5 107.25/109.25 strangles ref 108-05.75
- 2,500 TUU5 103.25/103.5/103.62/103.75 broken put condors ref 103-20 to -19.87
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US TSYS: Update Post-FOMC - Chair Powell Presser Starts
Jun-18 18:32
- Treasury futures reversed initial post-FOMC move to new highs, back near open levels as Chairman Powell's press conference gets underway.
- Tsy Sep'25 10Y futures currently +4.5 at 110-31.5 vs. 111-08 high (10Y yld at 4.3632% vs. 4.3377% low), key resistance and its recent high of 111-14+, a Fibonacci retracement and the Jun 5 high. Clearance of this hurdle would be bullish and highlight a stronger reversal. This would open 111-30, a Fibonacci retracement.
- Curves steeper, 2s10s +2.007 at 45.290, 5s30s +1.945 at 91.757.
- Cross asset: Stocks firmer (SPX eminis +18 at 6056.5), Gold mildly higher at 3389.15, Bbg US$ index lower at 1206.87 -2.20.
USDJPY TECHS: Trend Signals Remain Bearish
Jun-18 18:30
- RES 4: 150.49 High Apr 2
- RES 3: 149.28 High Apr 3
- RES 2: 147.67/148.65 High May 14 / 12 and a reversal trigger
- RES 1: 145.46/146.28 High Jun 11 / High May 29 and key resistance
- PRICE: 144.74 @ 15:52 BST Jun 18
- SUP 1: 142.80/12 Low Jun 11 / Low May 27 and a key support
- SUP 2: 141.96 76.4% retracement of the Apr 22 - May 12 bull leg
- SUP 3: 139.89 Low Apr 22 and a bear trigger
- SUP 4: 138.82 1.50 proj of the Feb 12 - Mar 11 - 28 price swing
USDJPY is holding on to its most recent gains. A bearish trend condition remains intact and recent gains are considered corrective. Moving average studies are in a bear-mode position highlighting a dominant downtrend. A resumption of weakness would open 142.12, the May 27 low. On the upside, key short-term resistance is 146.28, the May 29 high. First resistance is 145.46, Jun 11 high.
FED: Statement: A Little Less Uncertainty, But Still High
Jun-18 18:23
There were only limited changes to June's FOMC statement versus May's (PDF link).
- The characterization of the unemployment rate is basically the same, now simply "remains low" instead of "has stabilized at a low levels in recent months". Also as expected, the Committee notes now that uncertainty about the economic outlook has "diminished but remains elevated", versus "increased further", suggesting reduced uncertainty vs the May meeting.
- The Statement also keeps "The Committee is attentive to the risks to both sides of its dual mandate" but removes the following "and judges that the risks of higher unemployment and higher inflation have risen."
- It's quite likely Chair Powell will characterize these changes as being mark-to-market and removing dated/redundant phrasing rather than reflective of a major change in view on economic conditions, but it will be interesting to hear how he describes the decision - it does sound as though the FOMC is less concerned than it was 6 weeks ago about recession risks for example.
