US TSYS: Late SOFR/Treasury Option Roundup: SOFR Calls Leading
Option desks reported better SOFR call volumes carried over from overnight (particularly a large midcurve ratio call spread in Jun'25 exp and conditional curve flattener in Reds vs. Greens). Treasury options near paired but leaning towards puts. Underlying futures look to finish mixed, off highs with the short end weaker. As such, projected rate cut pricing holds steady to lower in longer dates vs. this morning levels (*) as follows: Jun'25 steady at -2.1bp, Jul'25 at -8.9bp (-9.8bp), Sep'25 at -21.8bp (-24.6bp), Oct'25 at -34.9bp (-38.3bp), Dec'25 at -51.2bp (-55.3bp).
- SOFR Options:
- +10,000 SFRM5 97.25 calls, cab ref 95.69
- +4,000 SFRN5 95.68/95.81 put spds, 3.75 ref 95.91
- -1,000 SFRM5 95.68/95.75 strangles, 4.25 ref 95.695
- +16,000 SFRN5 96.06/96.25/96.50 call flys, 1.125
- +6,000 SFRN5 95.75/95.81 put spds 3.5 vs. 95.92/0.10%
- Block, 16,000 SFRU5 95.68/95.81 put spds, 6.0 ref 95.925
- +20,000 SFRZ5 96.75/97.50 call spds, 8.0-8.25
- +3,500 SFRM5 95.62/96.00 call over risk reversals, 0.75 vs. 95.705/0.18%
- 4,000 SFRZ5 94.87/95.37 2x1 put spds, 0.0
- appr +40,000 0QM5 96.56/96.75 1x2 call spds, 0.0-0.5 ref 96.58 to -.57
- over -10,200 0QM5/2QM5 96.87 call spds, 1.0, flattener
- Block/screen, 7,500 SFRU5 95.75/96.00 call spds, 10.0 ref 95.945 to -.95
- 4,000 2QU5 96.00 puts ref 96.535
- appr 10,000 0QM5 96.75 calls ref 96.58
- 3,000 SFRZ5 96.75/97.25 call spds ref 96.245
- 2,500 SFRZ5 95.25/95.50 put spds ref 96.25
- Treasury Options:
- 3,000 TYM5 109.25/109.75/110.25 put flys
- 1,800 TYM5 110.25/111.25 strangles, 23 ref 110-17.5
- 1,500 TYN5 111/113 call spds vs. 109 puts
- Block, 4,000 FVM5 108 calls 12 ref 107-28.5
- +1,600 USN5 107/109 put spds, 14 vs. 113-26/0.06%
- -2,000 TYM5 109.25 puts, 3
- -1,750 USM5 114 calls, 39 ref 113-23/0.45%
- +1,500 TYM5 112/113.5 1x2 call spds, 2
- 3,600 FVN5 109.5 calls ref 108-00 to 107-31.75
- -1,200 FVN5 108.5/109.5/110.5 call flys, 8.5
- 3,500 TYM5 109.5/110.25 put spds vs. 111 calls, 0.0
- +8,000 TYN5 107.5/109.5 put spds vs. 111.5 calls, 8-9
- -3,500 TYM5 109.75/110/111/111.25 put condor, 8 vs 113-10.5/0.08%
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US STOCKS: Late Equities Roundup: Extending Lows, No Powell Put
- Stocks are extending lows in late Wednesday trade, retreating after Fed Chairman Powell's outlook discussion at the Chicago Economics Club, risk-off tone gathering momentum as Powell warns inflation may be more persistent due to tariffs, exacerbated by policy uncertainty.
- Currently, the DJIA trades down down 862 points (-2.14%) at 39519.82, S&P E-Minis down 161.25 points (-2.97%) at 5268.25, Nasdaq down 700.1 points (-4.2%) at 16126.69.
- Information Technology and Consumer Discretionary sector shares continued to underperform in late trade, semiconductor makers weighed by Pres Trump's curbs: NVIDIA -10.04%, Advanced Micro Devices -9.33%, Palantir Technologies -8.56%, KLA -7.06% and ON Semiconductor -6.69%.
- Autos and broadline retailers weighed on the Consumer Discretionary sector: Tesla -6.48%, CarMax -5.54%, Amazon.com -4.19% and Williams-Sonoma -4.01%. Elsewhere, MGM Resorts fell 4.64%.
- The Energy sector continued to outperform in late trade, leading oil and gas shares include APA +3.46%, Diamondback Energy +2.73%, Devon Energy +2.59%, Occidental Petroleum +2.25%, Coterra Energy +1.94% and Marathon Petroleum +1.87%.
- Reminder: earnings expected after the close: Liberty Energy, Rexford Industrial, CSX Corp, Alcoa Corp and Kinder Morgan. Thursday's earning's calendar includes: KeyCorp, American Express, DR Horton Inc, Charles Schwab, Marsh & McLennan, Truist Financial Corp, UnitedHealth Group, Blackstone, Ally Financial, State Street and Netflix Inc.
EURJPY TECHS: Bullish Outlook
- RES 4: 165.43 High Nov 8
- RES 3: 164.90 High Dec 30 ‘24 and a key medium-term resistance
- RES 2: 164.55 High Jan 7
- RES 1: 163.55/164.19 High Apr 14 / High Mar 18 and the bull trigger
- PRICE: 162.19 @ 16:06 GMT Apr 16
- SUP 1: 161.05/158.30 50-day EMA / Low Apr 7 and key support
- SUP 2: 157.02 76.4% retracement of the Feb 28 - Mar 18 bull cycle
- SUP 3: 155.60 Low Low Mar 4
- SUP 4: 154.80 Low Low Feb 28
Short-term weakness in EURJPY appears corrective and trend conditions remain bullish. Key short-term support has been defined at 158.30, the low on Apr 7. A break of this level is required to signal scope for a deeper retracement. This would open 157.02, a Fibonacci retracement. For bulls, a resumption of gains would expose 164.19, the Mar 18 high and the bull trigger. Clearance of this hurdle would resume the uptrend.
LOOK AHEAD: CORRECTION: Thursday Data Calendar 5Y TIPS Time
Tsy 5Y TIPS auction moved to 1130ET as Thursday sees an early pit close (1300ET) - Globex closes normal time while markets closed Friday for Easter Holiday
- US Data/Speaker Calendar (prior, estimate)
- 17-Apr 0830 Initial Jobless Claims (223k, 225k)
- 17-Apr 0830 Continuing Claims (1.850M, 1.870M)
- 17-Apr 0830 Housing Starts (1.501M, 1.420M), MoM (11.2%, -5.4%)
- 17-Apr 0830 Building Permits (1.459M, 1.450M), MoM (-1.0%, -0.6%)
- 17-Apr 0830 Philadelphia Fed Business Outlook (12.5, 2.0)
- 17-Apr 1130 US Tsy $85B 4W, $75B 8W bill auctions
- 17-Apr 1130 US Tsy $25B 5Y TIPS (91282CNB3)
- 17-Apr 1145 Feb Gov Barr fireside chat on cyber risks (text, Q&A)
