GILT TECHS: (M5) Bear Cycle Extends
- RES 4: 93.00 Round number resistance
- RES 3: 92.53 High May 9
- RES 2: 92.26 50-day EMA
- RES 1: 90.88 Intraday high
- PRICE: 90.46 @ 13:17 BST May 21
- SUP 1: 90.39 Intraday low
- SUP 2: 89.99 Low Apr 9 and a key support
- SUP 3: 89.42 1.00 proj of the Apr 7 - 9 - May 2 price swing
- SUP 4: 89.00 Round number resistance
A bear cycle in Gilt futures remains in play and recent weakness strengthens a bearish theme. Support at 90.92, the 76.4% retracement of the Apr 9 - May 2 rally, has been cleared. This break paves the way for an extension towards 89.99, the Apr 9 low and the next key support. Resistance to watch is 92.26, the 50-day EMA. Clearance of this level would be bullish and signal a potential reversal.
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STIR: Repo Reference Rates
- Secured Overnight Financing Rate (SOFR): 4.32% (+0.01), volume: $2.505T
- Broad General Collateral Rate (BGCR): 4.31% (+0.01), volume: $1.047T
- Tri-Party General Collateral Rate (TCR): 4.31% (+0.01), volume: $1.016T
- (rate, volume levels reflect prior session)
US TSY OPTIONS: Early Treasury Option Roundup
Mixed Treasury option flow gradually picking up ahead the NY open, light overnight trade with Europe closed for Easter Monday. Underlying futures extending lows, curves twisting steeper with short end resisting sell-off, 2s10s +9.053 at 61.299. Despite this morning's sell-off, projected rate hike pricing gain slightly vs. Thursday levels (*) as follows: May'25 at -3.4bp (-2.7bp), Jun'25 at -19.0bp (-17.6bp), Jul'25 at -40.1bp (-38.6bp), Sep'25 -59.9bp (-57.4bp).
- Treasury Options:
- 4,000 TYK5 109.5/111 put spds vs. 111/111.5 call spds ref 110-30
- 2,000 TYK5 110.75/111.5 strangles 30 ref 110-29.5
- 1,500 FVM5 108.5/109 call spds, 14.5 ref 108-16.5
- over 7,400 TYM5 114 calls, 14 last
- over 6,000 TYK5 110.75 puts 18 last
- over 9,900 TYK5 110 puts, partly tied to 109/110 2x1 put spds
- 2,500 wk2 TY 112 calls ref 111-06
US TSY FUTURES: Extending Lows
- Futures extending lows again, sellers meet limited buy interest, low overall volumes volumes at Jun'25 10Y trades down to 110-30 (-7.5), total volume just over 151k. 10Y yield climbs to 4.3676% (+.0427).
- Initial Technical support below at 110-15/109-08 (Low Apr 15 / 11 and the bear trigger); Continued weakness would refocus attention on 109-08, the Apr 11 low. A break of this level would resume the downtrend.
