US TSYS: Midweek Data Dump Sees Treasury Futures Rebound, Curves Bull Flatten

• RES 4: 0.6723 High Oct 21 ‘24   
• RES 3: 0.6707 High Sep 17 and a key resistance 
• RES 2: 0.6660 High Sep 18
• RES 1: 0.6649 High Dec 5
• PRICE: 0.6622 @ 16:45 GMT Dec 8 
• SUP 1: 0.6580/6543 High Nov 13 / 20-day EMA 
• SUP 2: 0.6517 Low Nov 27 
• SUP 3: 0.6466/21 Low Nov 26 / 21 
• SUP 4: 0.6415 Low Aug 21 / 22 and a bear trigger 

A strong impulsive bull wave in AUDUSD remains intact, having printed 10 consecutive sessions of higher highs. Recent gains have cleared a number of important resistance points, strengthening a bull theme and highlighting scope for a continuation higher. 0.6640, 76.4% of the Sep 17 - Nov 21 bear leg, has been pierced This opens 0.6707, the Sep 17 high and key resistance. Key support to watch is at 0.6543, 20-day EMA.

FI desks reported mixed SOFR & Treasury options with some position adjustments (*) ahead of Wed's FOMC policy annc, anticipating a hawkish cut. Underlying futures moderately lower/off lows, curves mixed (2s10s +1.420 at 58.689, 5s30s -1.600 at 106.174). Projected rate cut pricing near steady vs this morning's levels (*): Dec'25 at -24.7bp (-24.9bp), Jan'26 at -31.4bp (-31.0bp), Mar'26 at -38.3bp (-38.7bp), Apr'26 at -44.4bp (-45b).

• SOFR Options:
  • -20,000 0QH6 97.25/97.50 call spds, 2.25 ref 96.79
  • Block, -10,000 0QZ5 96.75 puts, 2.0 vs. 96.80/0.28%
  • +2,000 SFR5 96.18 puts, 1.0
  • 2,000 SFRZ6 96.31/96.43/96.56 call flys ref 96.265
  • 14,000 SFRZ6 96.87/97.37 call spds 0.5 over 96.50 puts
  • 1,100 SFRG6 96.25/96.37/96.43/96.50 broken put condors
  • 6,700 SFRZ5 96.50/96.87/97.37 broken call trees ref 96.83
  • +3,000 SFRZ5 96.18/96.25/96.31 put flys, 2.5 ref 99.265
  • Block, +4,300 SFRH6 96.18/96.43/96.56 broken put flys, 0.0 ref 96.43
  • -5,250 SFRZ5 96.31/96.37 call spds, 0.25 net ref 96.265
  • Blocks +6,000 0QH6 96.12/96.25/96.37 put flys, 0.5
  • +3,370 SFRZ6 99.00/100/101 call flys, 2 vs. 96.89/0.05%
  • 1,785 SFRZ5 96.31/96.37 call spds ref 96.265
  • 1,350 0QZ5 96.62/96.87/97.00/97.12 broken put condors ref 96.835
  • -10,000 0QF6 96.93/97.06 call spds, 3 ref 96.85
• Treasury Options:
  • 11,187 TYG6 110.5/112.5 3x2 put spds, 109 net ref 112-10
  • *30,000 TYF6 112.75/113.5 call spds, 11 net vs. 112-07 to -07.5 (Potential roll-down)
  • 8,000 wk2 TY/TYF6 112 put spds
  • +6,000 TYH6 112 straddles, 2-00 vs. 112-07.5/0.06%
  • Block, 10,160 USG6/USH6 111 put spds 19 net, Mar'26 over ref 115-01
  • 2,900 TYF6 113/113.5/114.5 broken call flys
  • 4,000 TYF6 113/113.5 1x2 call spds, 1 net 2-leg over ref 112-13 to -13.5
  • 4,400 FVF6 108.5/110.25 strangle vs. FVG6 108.25/110.25 strangle
  • over 4,000 TYH6 110 puts, 14
  • 2,000 TYF6 110/111.5 put spds ref 112-13
  • 2,000 TYF6 110.5/112 put spds ref 112-13
  • over 39,800 TYF6 112 puts, 17-20
  • 5,650 TUH6 104 puts, 9
  • 1,500 TYF6 113 straddles
  • +2,000 TYF6 112/113 2x5 call spds 10
  • +4,000 TYF6 111.5 puts, 9 vs. 112-16/0.18%, total volume over 10k
  • +1,500 TYH6 113.5 calls vs. TYG6 114 calls, 20 net (Mar over)
  • -20,000 TYF6 112/112.5 put spds vs. 114.5 calls, 11 net ref 112-15
  • +1,600 FVF6 108.25/108.75 put spds, 6.5 vs. 109-06.25
  • +5,000 TYF6 111.25/112.25 put spds vs. 113.5/114.5 call spds 12 net ref 112-115
  • over 7,100 wk2 TY 112.5 puts, 14 exp Fri
  • +2,130 TYH6 110/111/112 put flys, 9 ref 112-18

• Treasuries remain under moderate pressure late Monday, near the mid-range for the day by the bell: Mar'26 10Y contract trades -8 at 112-08.5, 10Y yield +.0351 at 4.1702%.
• Treasury had extended lows at midmorning (TYH6 112-02.5 September 25 lows), more flow driven on heavier volumes, rather than headline at least in the first half.
• Treasuries rebound off lows after NY Fed Consumer Sentiment Survey recedes to 3.20% from November's 3.24%. A strong Tsy 3Y auction, drawing 3.614% high yield vs. 3.622% WI, contributed to the bounce off session lows.
• The main focus is on Wednesday's FOMC decision, widely expected to deliver a third consecutive 25bp cut after NY Fed Williams’ uncharacteristic guidance following the delayed September payrolls report. Potentially contentious meeting with many FOMC members preferring to have paused.
• The dot plot distribution will be watched keenly whilst we expect the economic projections to show an upward revision for GDP growth and downward revision for core PCE inflation.
• The FOMC will also see two months of JOLTS data on the first day of their two-day meeting otherwise must wait until the following week for NFP (Dec 16) and CPI (Dec 18) reports for November.
• Tuesday Data Calendar: ADP Weekly, Redbook and JOLTS for Sep/Oct; Treasury auctions include $39B 10Y note reopen.