US TSYS: Late SOFR/Treasury Option Roundup: Sticking With Puts
Jul-25 19:04
SOFR & Treasury options continued to rotate around downside put structures Friday with a couple exceptions (+25k Sep'25 2Y Call spd for instance). Underlying futures well off lows after the bell, curves mixed with 2s10s -0.831 at 46.704, 5s30s +.231 at 97.634. Projected rate cut pricing gained slightly vs. morning (*) levels: Jul'25 at -0.06bp, Sep'25 at -16.6bp (-16.4bp), Oct'25 at -28.1bp (-27.1bp), Dec'25 at -44.2bp (-43.1bp). Year end projection well off early July level of appr -65.0bp.
- SOFR Options:
- +10,000 0QZ5 96.37/96.62 2x1 put spds, 1.25/legs
- Block 5,000 SFRV5 96.06/96.18/96.31/96.50 call condors, 2.0 net
- 8,750 SFRZ5 95.37/95.62 2x1 put spds ref 96.08
- -40,000 SFRZ5 95.37/95.62 put spds, 0.37 ref 96.07
- 8,000 SFRZ5 95.93/96.18 put spds vs. SFRH6 96.25/96.50 put spds
- 10,000 SFRQ5 95.62/95.87 put spds ref 95.825
- 1,250 SFRQ5 95.93/96.06 2x3 call spds ref 95.825
- Blocks, 5,000 SFRQ5 95.75/95.87 call spds, 6.5
- Blocks, 10,000 SFRQ5 95.75/95.81/95.87/95.93 put condors, 2.5 net
- 1,000 SFRZ5 96.25/96.37/96.62/96.75 call condors ref 96.055
- 1,750 0QQ5 96.56 puts, ref 96.68
- Treasury Options:
- 3,000 TYU5 106.5/108 put spds, ref 110-31
- +25,000 TUU5 104.25/104.5 call spds, 1 vsd. 103-18.5/0.05%
- -10,000 TYU5 109.5/112 strangles, 29 ref 110-26.5 (appr 5.49% imp vol)
- 2,500 TYU5 112/113/114 call flys, 5 net ref 110-26
- 5,000 TYU5/TYV5 109.5 put spds 21
- 4,875 FVU5 108.75 calls ref 108-05.75
- 4,000 TUU5 104.25 calls ref 103-19.25
- 8,000 USU5 109 puts, 19
- 3,750 TYU5 111.5 calls, 25
- over 5,000 TYQ5 110.75 puts, 4 last
- over 7,400 TYU5 111 calls, 37 ref 110-25.5
- 5,000 wk1 TY 109/109.75 put spds (exp 8/1)
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EURJPY TECHS: Trend Needle Points North
Jun-25 19:00
- RES 4: 171.09 High Jul 23 ‘24
- RES 3: 170.47 76.4% Fibonacci retracement for Jul - Aug ‘24 downleg
- RES 2: 169.91 1.236 proj of the Feb 28 - Mar 18 - Apr 7 price swing
- RES 1: 169.71 High Jun 23
- PRICE: 169.30 @ 16:30 BST Jun 25
- SUP 1: 167.46 Low Jun 23
- SUP 2: 166.12 20-day EMA
- SUP 3: 164.95 Low Jun 13
- SUP 4: 164.40 50-day EMA
The trend set-up in EURJPY is unchanged, it remains bullish and Monday’s strong start to this week’s session, reinforces a bullish theme. The cross has recently cleared 166.69, the Oct 31 ‘24 high. Scope is seen for a climb towards 170.47, a key Fibonacci retracement point. Note that the cross is overbought, a pullback would unwind this condition. Support to watch lies at 166.12, the 20-day EMA.
LOOK AHEAD: Friday's May PCE Report A Good Test Of Latest Consumer Momentum
Jun-25 18:59
- Friday’s May PCE report will offer a more timely look at consumer momentum, albeit with realized inflation not yet likely to have seen the largest impacts from US tariffs.
- Real personal spending is seen at 0.0% M/M in May after 0.1% in April although those more subdued readings follow a strong 0.7% in March. Thursday’s Q1 revisions are unlikely to materially alter expectations but should nevertheless be kept in mind.
- May’s retail sales report saw the biggest headline monthly drop since Mar 2023 (-0.9% M/M after -0.1%) whilst control group sales bucked the trend with 0.4% M/M after -0.1%. Vehicle sales played a big role here, sliding -3.9% M/M whilst gasoline sales fell -2.0% M/M.
- Looking ahead, the weekly Johnson Redbook retail sales index for the week ending Jun 21 points to a further slowdown in goods consumption.
- Consumer sentiment was mixed in May, with the U.Mich survey hovering at 52.5 for a second month (before rising to 60.5 in June) for its lowest since mid-2022 although the Conference Board's composite increased to 98.4 after a weak 85.7 in April (before giving some it back in June with 93.0). There is however a weak relationship between sentiment and actual consumption.
- Nominal personal income growth will also be watched after a strong run has offered a sizeable tailwind to spending in recent months. Income is expected to have increased 0.3% M/M in May after three months averaging 0.8% M/M, which has mostly translated into real disposable terms at an average 0.6% M/M.
- On the inflation side, Bloomberg consensus sees core PCE at 0.1% M/M in May but it’s likely a very close call with rounding to 0.2%. We have seen unrounded analyst estimates average 0.15% M/M in May, following 0.12% M/M in April and 0.09% M/M in March.
- Assuming no revisions, that would see core PCE inflation inch up from 2.52% to 2.59% Y/Y, with a soft1.4% annualized over the latest three months but a more robust 2.8% annualized over six months.
- Within this, we’ll watch market-based core services, which stood at 3.2% Y/Y in April although with some accelerating nearer-term trends with 3.7% annualized over three months and 3.4% over six months.
US STOCKS: Late Equities Roundup: Chip-Makers Buoy Tech Sector
Jun-25 18:52
- Stocks continue to scale off early Wednesday highs, the tech-heavy Nasdaq still outperforming in late trade. Currently, the DJIA trades down 167.8 points (-0.39%) at 42921.04, S&P E-Minis down 7 points (-0.11%) at 6139.25, Nasdaq up 22.6 points (0.1%) at 19935.0.
- Information Technology and Communication Services sectors continued to outperform in the second half, semiconductor makers supporting the tech sector: Super Micro Computer +7.89%, NVIDIA +3.96% and Advanced Micro Devices +3.24%.
- Interactive media and entertainment shares supported the Communication Services sector: Alphabet +2.18%, News Corp +0.65% and Fox +0.55%.
- Meanwhile, Consumer Discretionary and Consumer Staples sectors underperformed late, auto-makers and travel stocks weighing on the former: Tesla -5.10%, Caesars Entertainment -4.05%, Norwegian Cruise Line Holdings -2.42% CarMax -2.30% and Ford Motor -2.28%.
- Lagging Consumer Staples shares included: General Mills -4.77%, Conagra Brands -4.24%, Hershey Co -2.59%.
