US TSYS: Late SOFR/Treasury Option Roundup: TYH6 Call Buying Continues
Mixed and largely two-way SOFR/Treasury option flow Friday. Highlight trade was continued interest in buying large clips of Mar'26 10Y low delta Treasury calls. Underlying futures weaker - back to yesterday's pre-data lows as markets question the CPI inflation data. Projected rate cut pricing continues to retreat vs. late Thursday levels (*): Jan'26 at -5.5bp (-6.6bp), Mar'26 at -14.9bp (-16.8bp), Apr'26 at -22bp (-23.6bp), Jun'26 at -35.6bp (-37.6bp).
- SOFR Options:
- +5,000 SFRH6 96.00 puts, cab ref 96.49
- +2,000 0QF6 96.87/96.93 strangles, 12.5 ref 96.905
- +2,000 2QF6 96.50 puts, 1.5 vs. 96.695/0.10%
- -20,000 SFRH6 96.62/96.75 call spds, 1.25
- +15,000 SFRH6 96.18/96.31 put spds, 0.25 ref 96.49
- Block/screen, 10,000 SFRM6 97.87/SFRU6 98.62 call strip, 4.0
- -5,000 0QU6 96.75/97.25/97.50/98.00 call condors, 13.25
- 2,500 0QH6 96.62/96.87 2x1 put spds, 5.0 vs. 96.83/0.05%
- +2,000 SFRF6/SFRG6 96.56/96.62/96.68 call fly strip, 1.0
- +2,000 SFRF6 96.25/96.31/96.37/96.43 call condors
- +1,000 SFRH6 96.62/96.75/96.87/97.00 call condors ref 96.50/0.10%
- +2,000 SFRH6 96.18/96.31 put spds
- Treasury Options:
- 12,500 TYH6 111 puts, 17 ref 112-16.5
- over 6,000 TYF6 114.5 calls ref 112-17.5
- 10,000 TUF6 104.37/104.5 strangles ref 104-12.12
- 2,000 USH6 120 calls, ref 115-09
- 3,000 USF6 110/113 put spds ref 115-08
- 3,000 USF6 117/122 call spds ref 115-08
- over +53,600 TYH6 113.5 calls, 30 vs. 112-18.5/0.30%
- 1,000 TYH6 113/113.5/114/114.5 call condors ref 112-16.5
- +2,000 TYG6 112.5 straddles, 106
- +4,000 Mon wkly 10Y 112/112.25 put spds, 4 vs. 112-15/0.14%
- +2,250 TYF6 111.75/114 call over risk reversals, 0.0
- +3,250 TYF6 112.5 puts, 10 vs. 112-18 to -18.5/0.35%
- over 12,700 TYF6 113 calls, 3 last - part tied to 112/113 call over risk reversal
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US DATA: ~15% Of Firms Suggest Recent Layoffs Could Be Temporary – Atlanta Fed
The Atlanta Fed’s business survey for November (link) also offers some anecdotal information on the extent to which recent terminations might be temporary, with almost 15% of respondents suggesting that could be the case. Unfortunately, there isn’t a recent example of this special question to compare with.
- When asking 466 firms “when you last let go of one or more employees, did you communicate the intent to rehire at least some at a later date”, 61% said no, 11% said yes to some and 3% said yes to all. The remaining 25% of respondents haven’t had to fire anyone.
- The usage of temporary layoffs was fairly consistent by firm size: 12% yes to some and 3% yes to all for small firms through to 9% for yes to some and 2% for yes to all for large firms.
- Instead, there was much larger divergence when it came to those who haven’t used layoffs: 30% of small firms haven’t let someone go vs 10% of large firms (with a resulting 54% of small firms not planning to rehire vs 79% for large firms).
- Planned rehiring was lowest for business (finance & insurance) firms whilst retail, manufacturing and construction firms saw similar modest scope for re-hiring when combined over both “yes to all” and “yes to some”. That said, retail saw the lowest share of responses with “yes to all” at 0%.
EURJPY TECHS: Bull Cycle Extends
- RES 4: 182.64 Bull channel top drawn from the Feb 28 low
- RES 3: 182.00 Round number resistance
- RES 2: 181.80 1.764 proj of the Jul 31 - Sep 29 - Oct 2 price swing
- RES 1: 181.01 1.618 proj of the Jul 31 - Sep 29 - Oct 2 price swing
- PRICE: 180.74 @ 17:36 GMT Nov 19
- SUP 1: 179.26 Low Nov 17
- SUP 2: 178.14/176.30 20- and 50-day EMA values
- SUP 3: 174.82 Low Oct 17
- SUP 4: 174.51 Bull channel support drawn from the Feb 28 low
A firm bull cycle in EURJPY remains intact and today’s gains reinforce current conditions. The move higher confirms once again, a resumption of the uptrend and maintains the bullish price sequence of higher highs and higher lows. Sights are 181.01 next, a Fibonacci projection point. Further out, scope is seen for a move towards the 182.00 handle. First key support lies at 177.93, the 20-day EMA.
US TSYS: Update Post-FOMC Minutes React: Extending Lows
- Treasuries mildly extended session lows in the last few minutes, now drawing some modest buying as participants continue to digest the October FOMC minutes discourse.
- While opinions "differed strongly", the minutes suggest that it may only be a minority of the Committee that is pushing for a follow-up cut.
- Currently, the Dec'25 10Y contract trades -1.5 at 112-23.5 after slipping to 112-22.5 low. Attention is on 112-10+, the 100-DMA and 112-06, the Sep 25 low. Trendline support also lies at 112-06+.
- Curves have unwound this week's steepening, 2s10s -.733 at 53.148, 5s30s -.431 at 104.291.
- Projected rate cut pricing has receded from this morning's levels (*): Dec'25 steady at -12bp, Jan'26 at -21.6bp (-22.1bp), Mar'26 at -32.6bp (-33.4bp), Apr'26 at -40.1bp (-41.1bp).
- Cross asset comparison: Bbg US$ continues to climb: BBDXY +6.33 at 1225.76; stocks generally mixed with SPX eminis +13 at 6653.00 while the DJIA trades down 56.92 points (-0.12%) at 45946.4. Crude weaker: WTI -1.31 at 59.43.
