LOOK AHEAD: Macro Week Ahead: Payrolls, ISM Manufacturing, Retail Sales, Powell

SOFR & Treasury options see mixed call flow, some unwinds/new sales following better buying over last week, put buying and vol sales as underlying drifts lower. Projected rate cut pricing near at/near recent lows: current vs. late Tuesday (*): Mar'26 steady at -0.4bp, Apr'26 steady at -4.1bp, Jun'26 at -12.6bp (-13.1bp), Jul'26 at -22.1bp (-23.6bp), expectations of first 25bp cut out to September.

• SOFR Options:
  • 10,000 0QK6 96.50/96.62/96.75 1x2x2 put trees ref 96.935
  • +5,000 0QZ6 99.00/99.50 1x2 call spds, 0.0
  • +12,000 SFRK6 96.37/96.43 2x1 put spds, 2.25 ref 96.705
  • +10,000 SFRU6/SFRH7 96.75 put spds, 0.25-0.50
  • +10,000 SFRM6 96.37/96.43/96.50/96.56 put condors, 0.75
  • +20,000 SFRH6 96.43/96.50 call spds cab
  • +10,000 SFRM6 96.50/96.68//96.87 call trees, 1.5 vs. 96.485/0.30%
  • Block, 5,000 0QK6 96.37/96.56/96.81/96.93 broken put condors, 5.5 ref 96.925
  • +20,000 SFRM6 96.50/96.62/96.81 call trees, .25-0.50 ref 96.485
  • over -29,500 0QZ6 98.25 calls, 5.5 (OI 6,069 coming in)
  • 2,600 0QU6 96.87 straddles, ref 96.925
  • 2,000 SFRK6 96.31/96.37 put spds ref 96.48
  • over 6,100 SFRU6 96.43 puts ref 96.70
  • +3,000 SFRM6 96.43/96.56/96.68 put fly, 1.5
  • +9,000 SFRH6 96.43/96.50 call spds, cab
  • +4,000 0QM6 96.56/96.68 put spds, 3.0 vs 96.93/0.10%
  • +2,000 SFRJ6 96.37/96.43/96.56/96.62 call condors, 3.5
  • +1,500 SFRK6 96.43/96.50/96.56 put fly, 0.5
  • 2,000 SFRZ6 97.62 calls vs. 5,000 98.25 calls ref 96.845
  • Block +12,000 0QM6 96.87 puts, 13.5 vs 96.965/0.39%
  • Block, +3,690 SFRZ6 96.75 puts, 17.25 vs 96.87/0.41%
• Treasury Options:
  • -10,000 TYJ6 112.25/114.25 strangles, 23
  • 12,000 FVJ6 109.25 puts, 9.5 ref 109-21.5
  • 5,000 TUM6 103.5/104 2x1 put spds ref 104-14.38
  • Block, +10,000 TYJ6 113 puts, 30 vs. 113-03.5/0.46%
  • 20,000 wk2 TY 113.75 calls ref 113-02.5 (exp 3/13)
  • 5,000 TYM6 113 straddles, 157 ref 113-01.5
  • +2,000 TYJ6 115.5 calls, 5 vs 113-03/0.07%
  • +1,500 wk1 TY 112.75/114.25 call over risk reversals, 7
  • -2,000 TYJ6 111.5/113 put spds, 27 vs 113-02.5/0.36%
  • -2,750 TYJ6 111.5/112.5 put spds, 13
  • 5,000 Wednesday wkly TY 113.5 calls, 1 (exp today)
  • +2,000 wk1 TY 112/112.5 put spds, 4 vs 113-04.5/0.13%
  • +2,000 TYJ6 110.75 puts, 2 ref 113-08

• RES 4: 1.2081 High Jan 27 and key resistance   
• RES 3: 1.2007 76.4% retracement of the Jan 27 - Feb 6 bear leg 
• RES 2: 1.1961 61.8% retracement of the Jan 27 - Feb 6 bear leg 
• RES 1: 1.1857/1929 High Feb 18 / 10
• PRICE: 1.1806 @ 20:00 GMT Feb 25
• SUP 1: 1.1742 Low Feb 19
• SUP 2: 1.1693 76.4% retracement of the Jan 19 - 27 bull leg
• SUP 3: 1.1670 Low Jan 22
• SUP 4: 1.1573 Low Jan 19 and a key support

EURUSD remains in consolidation mode. A S/T bear cycle is intact. The recent breach of 1.1766, the Feb 6 low, strengthens the current bear theme and signals scope for an extension towards 1.1693, a Fibonacci retracement. Note that MA studies are in a bull-mode position. This suggests that the entire bear leg since Jan 27 is likely a correction. Key short-term resistance to watch is 1.1929, the Feb 10 high. A break of this level would be bullish.

• -3,441 USM6 117-15, sell through 117-16 post time bid at 1445:00ET, DV01 $485,000.
• The 30Y contract trades 117-15 last (-5)