US TSYS: Late SOFR/Treasury Options Roundup: Go With the Flow
SOFR & Treasury option flow remained mixed on net Tuesday, early SOFR calls segued to low delta put structures as underlying futures traded weaker in the short end, curves scaling back from Monday's broad based steepening (2s10s -6.385 at 57.816). As such, projected rate hike pricing consolidated vs. morning levels (*) as follows: May'25 -2.7bp (-3.4bp), Jun'25 at -17.7bp (-18.3bp), Jul'25 at -38.6bp (-41.6bp), Sep'25 -57.6bp (-59.5bp).
- SOFR Options:
- Block/screen, 15,000 SFRU5/SFRV5 95.62 put spds, 0.25-0.50 steepener
- +2,500 SFRU5/SFRV5 95.62 put spds cab
- -2,500 SFRZ6 96.25/97.25 call over risk reversals, 8.0 vs. 96.86/0.75%
- +3,000 SFRU5 95.25/95.75 put spds, 3.0
- +5,000 SFRK5 96.93/97.12/97.31 call flys 2.5 vs. 96.87/0.05%
- +2,500 SFRM6 98.75/99.00/99.75 call trees, 0.5 ref 96.85
- +4,000 SFRM6 99.00/100.00 call spds 4.25 vs. 96.855/0.10%
- +2,500 0QN5 96.75/97.00 call spd vs. 0QU5 97.25/97.75 call spds 0.25 net
- +5,000 0QK5 96.93/97.12/97.31 call flys, 2.5
- -2,500 0QU5 96.87 straddles 70.5
- +1,500 0QM5 96.87 straddles 47.5
- 11,000 SFRM5 95.87/96.00/96.18 broken call flys ref 95.92
- 21,000 SFRZ5 96.75/97.00/97.12 broken call flys ref 96.57
- 4,000 3QZ5 94.00/95.00 put spds ref 96.31
- 2,000 0QN5 96.50/96.81 put spds
- 2,000 SFRN5 95.93/96.25 put spds vs. 0QN5 96.81 puts
- 3,000 SFRM5 SFRZ5 96.75/97.00/97.12 broken call flys ref 96.565
- 1,500 SFRM5 96.06/96.18 call spd vs 2QM5 96.75/96.87 call spd spd
- 1,000 2QK5 96.75/97.00 call spds vs. 96.00/96.25 put spds ref 96.70
- 1,000 SFRK5 95.62/95.75/95.81/95.87 put condors ref 95.925
- 1,500 SFRZ5 95.68 puts ref 96.575
- Treasury Options:
- 2,000 TYK5/Wed weekly 111 call spds
- 1,500 TYM5 109.5/112 put spds ref 110-27.5
- 1,800 TYK5 110/112.25/110.75 2x1x1 put trees
- 1,800 TYK5 110.75/111.25/111.5 1x1x2 call trees
- 2,500 USK5 110/111.5 2x1 put spds 6 ref 113-13
- 5,400 TYK5 112/112.75 1x3 call spds ref 110-23
- 5,000 TYK5 110/111 3x2 combo
- 2,000 FVK5 108/109/110 call flys
- over 7,000 TYK5 111.25 calls 9-10 ref 110-21.5 to -24.5
- 2,000 TYM5 112/113/114.5/116 call condors ref 110-17.5
- 1,000 TYK5 109.25/109.75/110.25 put flys ref 110-19
- over 12,000 TYK5/TYM5 112 call spds ref 110-20.5 to -21
- 2,300 TYM5 114/116 call spds, 7 ref 110-21
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CANADA PM CARNEY TO MEET GOVERNOR GENERAL AT NOON
- CANADA PM CARNEY TO MEET GOVERNOR GENERAL AT NOON
- CARNEY EXPECTED TO SEEK ELECTION
US TSYS: Available "Extraordinary Measures" Pick Up Slightly From Lows
Treasury has $163B of "extraordinary measures" remaining for authorities to use to fend off hitting the debt limit as of March 19, per the latest release of Treasury data. That's up from $86B on Mar 17 and a low of $34B on Feb 24.
- That's a little under half of the $377B in measures available to Treasury, with most of the amount remaining ($143B) coming from the so-called "G Fund".
- This headroom is in addition to $416B in cash left in the TGA, at last count.
- We haven't seen any changes recently to "x-dates" by when Treasury will run out of cash until the debt limit is lifted.
- Consensus still centers around late July/early August, but much will depend on April's major mid-month tax take. Treasury wrote to Congress last week that they would be able to provide an update on the x-date in the first half of May, after the conclusion of tax season.
USDCAD TECHS: Short-Term Outlook Remains Bullish
- RES 4: 1.4793 High Feb 3 and key resistance
- RES 3: 1.4700 Round number resistance
- RES 2: 1.4641 76.4% retracement of the Feb 3 - 14 bear leg
- RES 1: 1.4452/4543 High Mar 13 / 4 and a bull trigger
- PRICE: 1.4345 @ 16:27 GMT Mar 21
- SUP 1: 1.4242 Low Mar 6 and a key near-term support
- SUP 2: 1.4151/4107 Low Feb 14 / 50.0% of Sep 25 - Feb 3 bull run
- SUP 3: 1.4011 Low Dec 5 ‘24
- SUP 4: 1.3944 61.8% retracement of the Sep 25 ‘24 - Feb 3 bull cycle
USDCAD is trading closer to its recent lows. The bull cycle that started Feb 14 remains intact and moving average studies remain in a bull-mode position, highlighting a dominant uptrend. Note that the latest pullback has exposed a near-term key support at 1.4242, the Mar 6 low. Clearance of this level would undermine the bull theme and instead highlight potential for a test of 1.4151, the Feb 14 low and a bear trigger. The bull trigger is 1.4543, the Mar 4 high.
