US TSYS: Late SOFR/Treasury Option Roundup: Wing Buyers Heavy Volumes
Aug-01 19:04
Heavy SOFR & Treasury option volumes reported Friday, mixed flow with buyers of low delta calls and puts on the day. Underlying futures gapping higher after lower than expected jobs gain, prior sharply down-revised, unemployment rate steady. Projected rate cut pricing jumped vs. pre-data (*) levels: Sep'25 at -20.9bp (-10.8bp), Oct'25 at -38.4bp (-19.9bp), Dec'25 at -58.3bp (-34.4bp), Jan'26 at -69.4bp (-42.4bp).
- SOFR Options:
- +90,000 0QZ5 98.37/98.50 call spds, 0.5
- Block, 6,041 SFRZ5 96.50/96.75 call spds 4.25 vs. 96.26/0.12%
- Block, 5,000 SFRU5 96.12/96.18 call spds, 0.75
- +20,000 SFRZ5 95.81 puts, 2.5 ref 96.25
- +12,000 SFRU5 95.68/95.75 put spds, 1.25 ref 95.925
- +7,000 SFRZ5 95.75 puts, 1.5
- +50,000 SFRV5 96.37/96.62 call spds, 5.0 ref 96.24
- +20,000 SFRU5 95.68/95.75/95.81 put flys 0.75-0.62 ref 95.94
- Block: 15,000 SFRU5 96.25/96.75 1x2 call spds, 0.25 net ref 95.93
- -40,000 SFRU5 95.81 puts 2.75-2.5 ref 95.925
- +3,000 SFRU5 96.12/96.25/96.37 call flys, 0.75 ref 95.93
- -15,000 SFRZ5 96.43/96.75 1x2 call spds 0.5-0.25 ref 96.185
- 1,500 SFRZ5 95.68 puts, 2.75 ref 96.175, total volume over 12,200
- Block, 5,000 0QZ5 97.00/97.37 call spds, 10.0 ref 96.89
- 1,750 SFRU5 95.87/95.93/96.00 call flys ref 95.77
- 4,500 SFRZ5 95.75/95.87/96.25/96.37 put condors ref 95.975
- over 13,500 SFRQ5 95.87 calls
- over 7,700 SFRQ5 95.81 calls
- 3,000 0QU5 97.00/97.25 call spds ref 96.625
- 6,000 SFRZ5 95.93/96.00/96.06 call flys ref 95.985
- 2,000 SFRQ5 95.68/95.75 2x1 put spds ref 95.77
- 1,800 SFRQ5 95.75/0QQ5 96.43 put spds
- 1,000 0QU5 96.25/96.50 2x1 put spds ref 96.62
- 4,000 SFRQ5 95.93 calls, 0.5 ref 95.77
- 3,250 SFRV5 95.93/0QV5 96.56 put spds
- +3,000 SFRZ5 95.56 puts, 0.75 vs. 95.97/0.08%
- Treasury Options:
- +11,500 TYU5 111/113 strangles, 29-32
- Block, 7,500 TYU5 112/TYZ5 113.5 1x2 call spds, 105
- -27,500 FVV 107.5/108.5 put spds, 16 vs. 109-02.25/0.20%
- 9,000 TYX5 107/108.5 put spds ref 111-31.5
- +10,000 TYU5 112 straddles, 109-110 appr implied vol 5.30% followed by selling at 112
- +50,000 TYU5 111 puts, 12 ref 112-03, total volume over 73.4k, OI 94,639
- 4,000 TYV5 111.5.112.5 2x1 put spds ref 111-28
- 4,000 TUU5 104/104.25 call spds ref 103-15.88
- 2,100 TYU5 110.25 puts, 19 ref 110-28.5
- over 8,100 FVU5 109 calls, 7.5 last
- over 2,800 FVU5 107.5 puts, 10.5 last
- 2,800 FVV5 110/111 call spds
- 2,000 FVZ5 108.25 straddles
- 1,500 TUU5 103.62/104 call spds ref 103-15.62
- +5,000 TYU5 109.5 puts, 9 ref 110-29
- 4,250 wk1 TY 110 puts, ref 110-29.5 to -30 (exp today)
- +13,000 TYU5 110.5 puts, 22 vs. 111-01/0.38%
- 1,500 TYU5 112/113.5 call spds ref 110-31
- Block, -7,000 USU5 116 calls, 27 ref 113-30, total volume over 10,700
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EURJPY TECHS: Trend Set-Up Remains Bullish
Jul-02 19:00
- RES 4: 171.28 1.382 proj of the Feb 28 - Mar 18 - Apr 7 price swing
- RES 3: 171.09 High Jul 23 ‘24
- RES 2: 170.47 76.4% Fibonacci retracement for Jul - Aug ‘24 downleg
- RES 1: 169.91 1.236 proj of the Feb 28 - Mar 18 - Apr 7 price swing
- PRICE: 169.47 @ 16:23 BST Jul 02
- SUP 1: 168.46 Low Jul 01
- SUP 2: 167.41 20-day EMA
- SUP 3: 166.04 Low Jun 19
- SUP 4: 165.30 50-day EMA
The trend set-up in EURJPY remains bullish and the cross is trading just below its latest highs. Recent gains resulted in a break of 166.69, the Oct 31 ‘24 high. Scope is seen for a climb towards 170.47, a key Fibonacci retracement point. Note that the uptrend is in overbought territory, a pullback would unwind this condition. Support to watch lies at 167.41, the 20-day EMA. A break of the EMA would suggest potential for a deeper retracement.
US STOCKS: Late Equities Roundup: IT & Materials Continue to Outperform
Jul-02 18:50
- Stocks are inching higher in late Wednesday trade, Dow Jones Industrials still mildly weaker vs. decent gains in Nasdaq with tech stocks bouncing. Currently, the DJIA trades down 19.36 points (-0.04%) at 44475.64, S&P E-Minis up 22.5 points (0.36%) at 6271.25, Nasdaq up 168.1 points (0.8%) at 20371.28.
- Helping support equities earlier - Pres Trump announced a trade deal with Vietnam. "The Terms are that Vietnam will pay the United States a 20% Tariff on any and all goods sent into our Territory, and a 40% Tariff on any Transshipping. In return, Vietnam will do something that they have never done before, give the United States of America TOTAL ACCESS to their Markets for Trade. In other words, they will “OPEN THEIR MARKET TO THE UNITED STATES,” meaning that, we will be able to sell our product into Vietnam at ZERO Tariff."
- Leading gainers in the Information Technology sector included: First Solar +7.70%, NXP Semiconductors +4.81%, Seagate Technology +4.38%, ON Semiconductor +4.18%, Applied Materials +3.38% and Super Micro Computer +2.80%. The Materials sector followed with miners, chemicals and steel producers remained elevated in late trade: Albemarle Corp +8.16%, Freeport-McMoRan +3.29%, Nucor +2.62%, Dow Inc +2.53% and The Mosaic Co +2.34%.
- Health Care sectors continued to weigh on major averages in the second half, care and services providers weighed on the former with Centene hammered -39.44% after withdrawing earnings guidance for 2025. Following suit, Molina Healthcare fell -20%, Elevance Health -9.41%, UnitedHealth Group -4.03%, Cigna Group -2.81% and Humana -2.74%.
- The Wall Street Journal reported “Centene's move comes after industry bellwether UnitedHealth pulled its guidance for the year and replaced its chief executive. It is likely to add to investors' nervousness about the entire insurance sector, which has felt the effect of higher-than-expected medical costs. Humana and CVS Health's Aetna struggled last year, with CVS also bringing on a new CEO."
BONDS: EGBs-GILTS CASH CLOSE: Gilts Sell Off On Fiscal Concerns
Jul-02 18:50
Gilt yields soared Wednesday on renewed concerns over the UK's fiscal outlook.
- Gilts weakened sharply in early afternoon trade amid speculation that UK Chancellor Reeves could leave her post after the government was forced to water down its welfare reform bill. EGBs weakened in tandem.
- UK yields later edged off their highs after PM Starmer expressed his "full support" for Reeves but the damage was done, in one of the worst sessions for the long end in the last 2+ years including a 20+bp rise for the 30Y at one point.
- In some constructive developments for bonds, BoE MPC member Taylor elicited a dovish short-end reaction after saying 5 cuts might be needed; while there was a brief Treasury-led rally after US private payrolls unexpectedly contracted. Also, Italian/Eurozone unemployment came in higher than expected.
- Both the German and UK curves bear steepened on the day, with Gilts of course underperforming Bunds. Periphery/semi-core EGB spreads tightened, led by Spain.
- Thursday's calendar includes final Services PMIs and the account of the June ECB policy meeting. Global attention will be on US pre-holiday data, including the nonfarm payrolls report, with some attention also paid to Swiss inflation.
Closing Yields / 10-Yr EGB Spreads To Germany
- Germany: The 2-Yr yield is up 1.4bps at 1.863%, 5-Yr is up 3.5bps at 2.183%, 10-Yr is up 9bps at 2.664%, and 30-Yr is up 6.4bps at 3.117%.
- UK: The 2-Yr yield is up 5.4bps at 3.881%, 5-Yr is up 10.6bps at 4.042%, 10-Yr is up 15.8bps at 4.612%, and 30-Yr is up 19.1bps at 5.42%.
- Italian BTP spread down 2.5bps at 85bps / Spanish down 2.8bps at 61.2bps
