US TSYS: Late SOFR/Treasury Option Roundup: Puts Fading Underlying Bid
Robust SOFR & Treasury option volumes reported Monday, mixed wing trade with better put trade leading volumes. Underlying futures firmer, short end lagging as curves reverse early steepening. Projected rate cut pricing has +/- .5bp vs pre-open highs (*) levels: Sep'25 at -23.2bp (-22.6bp), Oct'25 at -40.6bp (-41.1bp), Dec'25 at -61.4bp (-61.6bp), Jan'26 at -73.6bp (-73.1bp).
- SOFR Options:
- 4,125 SFRZ5 96.31 straddles,
- +30,000 SFRU5 95.75/95.87 put spd vs. SFRZ5 95.81/95.93 put spd spd, 1.0-1.25 net flattener
- +10,000 SFRH6 96.37 puts, 19.5 vs. 96.495/0.44%
- +5,000 2QU5 95.68 straddles, 27.5
- -3,000 SFRZ5 96.18/96.37 2x1 put spds 2.5
- +4,000 SFRM6 96.75/97.25 call spds 1.5 over 2QM6 96.25/96.75 call spds
- +6,000 0QZ5 97.25/97.50 call spds 6.0 ref 96.965
- -10,000 SFRZ5 96.12/96.37/96.62 call flys, 5.0
- +6,000 0QV5 97.25/97.50 call spds, 6.0 ref 96.865
- +2,500 SFRU5 96.18/96.25 call spds, .625 ref 95.94
- +5,000 2QH6 97.00/97.25/97.50 call flys, 2.75 ref 96.80
- -4,000 SFRV5 96.37/96.62 call spds, 6.0 ref 96.605/0.18%
- -19,100 SFRZ5 95.75/95.87/96.25/96.37 put condors, 6.0 ref 96.30
- Block, 5,500 SFRM6/2QM6 96.75/97.25 call spd spds
- 1,500 SFRZ5 96.50/96.68/96.75 broken call flys ref 96.295
- 3,500 SFRU5 95.93/96.00/96.06 call flys ref 95.945
- over 9,700 SFRU5 96.00 calls ref 95.94
- 2,250 SFRQ5 96.00/96.25 call spds ref 95.945
- 1,500 SFRV5 96.37/96.62/97.00 call flys ref 96.275
- 3,000 SFRV5 96.50/96.75 call spds ref 96.265
- Block/screen 4,000 SFRZ5 95.75/95.87/96.00 put trees
- 4,500 SFRZ5 95.68/95.81 2x1 put spds
- 2,000 0QH6 97.25/97.50 call spds ref 96.925
- 2,400 SFRH6 96.12 puts ref 96.48
- 1,500 SFRH6/3QH6 97.00/97.50 call spd spds
- -5,500 SFRH6 96.00/96.25/96.37 put trees, 1.0 ref 96.465/0.13%
- Treasury Options:
- +40,000 wk1 TY 111.75/112 put spds, 3 (exp 8/6)
- 2,500 TYU5 111 puts, 10 ref 112-10.5
- 5,000 TYU5 111.5/113.25 call spds ref 112-10.5
- +20,000 FVU5 107.5/108.25/109 put flys, 12 vs. 109-07.5/0.14%
- over 10,300 TYU5 108.5 puts ref 112-07.5
- 1,500 TYX5/TYZ5 112.5/114 call spd spds ref 112-08.5
- 3,200 TYU5 108/109.5 put spds ref 112-07.5
- 16,000 TYU5 113 calls, 19-20 ref 112-06 (total volume over 29.4k)
- +3,000 TYU5 112/113 1x2 call spds, 3 ref 112-02
- 2,500 TUU5 103.5/103.75 put spd vs. 104/104.25 call spds ref 103-30.25
- 1,100 TYU5 109/111 2x1 put spds ref 112-02
- 1,600 TYU5 109 puts ref 112-02.5
- 1,300 FVU5 108.25/108.75/109/109.75 broken call condors ref108-31.5
- 1,800 FVZ5 114 calls ref 109-08
- -2,600 TYU5 112.5 calls 27 ref 112-03/0.40%
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USDCAD TECHS: Trend Outlook Remains Bearish
- RES 4: 1.4111 High Apr 4
- RES 3: 1.4016 High May 12 and 13 and a key resistance
- RES 2: 1.3920 High May 21
- RES 1: 1.3674/3776 20- and 50-day EMA values
- PRICE: 1.3607 @ 16:12 BST Jul 4
- SUP 1: 1.3557 Low Jul 03
- SUP 2: 1.3540 Low Jun 16 and the bear trigger
- SUP 3: 1.3503 1.618 proj of the Feb 3 - 14 - Mar 4 price swing
- SUP 4: 1.3473 Low Oct 2 2024
The trend needle in USDCAD points south and this week’s move down reinforces current conditions. S/T gains between Jun 16 - 23 appear to have been corrective. Key support and the bear trigger is 1.3540, Jun 16 low. Clearance of this level would resume the downtrend and open 1.3503, a Fibonacci projection. Pivot resistance is at the 50-day EMA, at 1.3776. A clear break of this average would signal scope for a stronger recovery.
AUDUSD TECHS: Bull Cycle Remains In Play
- RES 4: 0.6700 76.4% retracement of the Sep 30 ‘24 - Apr 9 bear leg
- RES 3: 0.6688 High Nov 7 ‘24
- RES 2: 0.6603 High Nov 11 ‘24
- RES 1: 0.6590 High Jul 01
- PRICE: 0.6548 @ 16:05 BST Jul 04
- SUP 1: 0.6521 20-day EMA
- SUP 2: 0.6468/6373 50-day EMA / Low Jun 23 and a reversal trigger
- SUP 3: 0.6357 Low May 12
- SUP 4: 0.6275 Low Apr 14
The trend set-up in AUDUSD remains bullish and the pair is holding on to its recent gains. The latest break higher maintains the bullish price sequence of higher highs and higher lows, the definition of an uptrend. Moving average studies are in a bull-mode position, highlighting a dominant uptrend. Sights are on 0.6603 next, the Nov 11 2024 high. Key short-term support has been defined at 0.6373, the Jun 23 low.
EURJPY TECHS: Northbound
- RES 4: 171.88 High Jul 19 ‘24
- RES 3: 171.28 1.382 proj of the Feb 28 - Mar 18 - Apr 7 price swing
- RES 2: 171.09 High Jul 23 ‘24
- RES 1: 170.61 High Jul 03
- PRICE: 170.22 @ 16:04 BST Jul 04
- SUP 1: 169.04 Low Jul 02
- SUP 2: 167.87 20-day EMA
- SUP 3: 167.13 Low Jun 20
- SUP 4: 165.66 50-day EMA
EURJPY traded higher on Thursday resulting in a print above 170.47, the 76.4% retracement of the Jul 11 - Aug 5 sell-off. A clear break of this price point would strengthen bullish conditions and signal scope for extension. This would open 170.28 next, a Fibonacci projection. The trend is overbought, a pullback would unwind this condition. Support to watch lies at 167.87, the 20-day EMA.
