US TSYS: Market Focus More on Headline Risk Than Economic Data

• The unemployment rate meanwhile is expected to hold at 4.4% in March although with a skew towards 4.5%, unsurprising considering it was 4.44% in February.
• Average the mixed January and February reports and the 4.38% sits between the heavily caveated 4.47% averaged in Q4 (government shutdown disruption) and 4.34% in Q3.
• That broad stability, both realized and expected, continues to defy a scenario that the most dovish FOMC members had envisaged back in the December SEP (seven members pencilled in 4.6-4.7% in 4Q25).
• More timely forecasts from the updated March SEP continue to show little additional deterioration expected to end-2026 however, with a median FOMC member pencilling in 4.4% in 4Q26. Thirteen of nineteen members eye 4.4-4.5%, whilst four see 4.2-4.3% and two 4.6-4.7%. 

• RES 4: 0.7123 High Mar 18
• RES 3: 0.7062 High Mar 23    
• RES 2: 0.6986 20-day EMA
• RES 1: 0.6966 50-day EMA
• PRICE: 0.6941 @ 16:45 BST Apr 1
• SUP 1: 0.6833 Low Mar 30
• SUP 2: 0.6767 High Jan 7
• SUP 3: 0.6711 Trendline support drawn from the Apr 9 ‘25 low
• SUP 4: 0.6701 38.2% retracement of the Apr 9 ‘25 - Mar 11 bull leg  

A bear cycle in AUDUSD remains intact for now, following the pullback that started Mar 11. The pair has recently traded through the 50-day EMA and this undermines a bull theme plus signals scope for a deeper retracement. Sights are on the 0.6800 handle ahead of an important trendline support at 0.6711 The trendline is drawn from the Apr 9 ‘25 low. Initial firm resistance to watch is 0.6986, the 20-day EMA. Gains for now, appear corrective.  

SOFR & Treasury options remained mixed/two-way Wednesday, repositioning ahead of tonight's Trump address to the nation re: Iran (2100ET), sentiment modestly improved after Trump talked up Iran withdrawal in 2-3 weeks overnight. Limited reaction to Iranian President's letter to American's (nothing new to report). Projected rate cut pricing consolidates vs. early morning lvls (*): Apr'26 at 0.1bp, Jun'26 at -1.2bp (-2.2bp), Jul'26 at -1.9bp (-4.4bp), Sep'26 at -2.1bp (-5.6bp), Oct'26 -2.9bp (-6.9bp).

• SOFR Options:
  • -10,000 SFRU7 95.50 puts, 19.5-20.0 ref 96.515
  • Block, 20,000 2QM6 97.25/97.50 call spds, .75/spits
  • over 3,400 SFRZ6 97.00 calls, 12.25 last
  • 3,000 SFRZ6 96.12 puts, 18.0 last
  • 2,500 SFRM6 96.31 puts, 4.5 ref 96.355
  • 2,500 0QJ6 96.25/96.37/96.50 put flys ref 96.51
  • 3,000 SFRH7 96.31/96.37 call spds
  • 2,000 SFRH7 96.25/96.31 call spds
  • 2,700 SFRK6 96.00 puts, 1.25 ref 96.355
  • Block 2,915 SFRZ6 96.75 puts, 50.0 vs. 96.43/0.65%
  • -2,100 SFRZ6 96.50 calls, 27
  • -4,000 0QJ6 96.62 calls, 5.0
  • over 9,000 0QJ6 96.37 puts, 5.0 ref 96.52
• Treasury Options:
  • Block, 2,500 TUM6 104/104.5/105 call flys, 4.5
  • 10,000 USK6 109/112 put spds, 29 ref 113-26
  • 8,000 TYM6 108.5/110/111 2x3x1 broken put flys ref 111-08
  • over -9,300 TYK6 109 puts, 8 to 10 ref 111-07 to -09.5
  • 8,000 TYM6 111/112 2x1 put spds ref 111-09
  • +37,000 TYK6 112.5 calls, 14 ref 111-08.5/0.20%
  • 3,500 TYK6 112.25 calls, 18 ref 111-07.5
  • 2,200 FVK6 108/108.25 put spds ref 108-10
  • over 25,000 TYK6 112 calls, 23-24 ref 111-11.5 to -07
  • +10,000 TYK6 111.5/112.25/113 call flys,109 net ref 111-09 to -08.5
  • 10,850 Thu wkly TY 110.75 puts, 3 ref 111-10.5 (exp tomorrow)
  • Block, 10,000 TYK6 109.5/110.5 put spds vs. 112.5 calls, 0.0 net
  • -12,000 TYK6 112.5 calls, 14-16 ref 111-11 to -09.5/0.10%
  • -20,000 TYM6 111.5/112.5 call spds, 26 ref 111-13
  • 2,000 TYM6 108.5/109.5 put spds vs. 111.5/112.5 call spds ref 111-12.5
  • over -5,300 TYK6 112.5 calls, 15 ref 111-10 to -10.5
  • +4,000 FVM6 106.5 puts, 11-11.5 ref 108-11.75
  • 3,500 wk1 TY 112/112.5 call spds ref 111-03 to -03.5 (exp Fri)