US TSY OPTIONS: Overnight Trade Roundup
Mar-31 12:23
Mostly bullish, scale buyer 5Y calls, put unwinds:
- +10,000 FVK 115.5 calls, 17.5-18.5
- -8,500 FVK 114 puts, 19.5-19
- -5,000 wk1 TY 122.75/123.25/123.75 call flys, 9
- -4,000 USK 144/147 put spds, 29 vs. 150-00/0.15%
- 1,500 USK 144/146 put spds, 14
- 1,200 USK 144/150 put spds, 138
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US TSYS: 10yr Yield lowest since late January
Mar-01 12:22
- US 10yr yield is now lowest since 24th January , when it printed a 1.7050 low, which will be seen as the next support
- Next resistance in TYA comes at 128.22+, followed by 128.27
- This now, really set the stage for Fed Chair Powell's Testimony tomorrow..
Chart source: Bloomberg
US EURODLR FUTURES: Post-LIBOR Settle Update, 50Bp Hike Odds Evaporate
Mar-01 12:22
Lead quarterly EDH2 holding near recent highs at 99.37 (+0.025), ignoring latest 3M LIBOR settlement +0.00657 to 0.51086%, -0.01214 total for wk as conflict in Ukraine worsens on sixth day of Russia invasion.
- Russia/Ukraine crisis escalates: risk-off/safe haven buying across FI mkts: 30YY falls to 2.0729% -0.0882 , 10YY 1.7190% -.1060.
- Another surge in risk-off buying in FI markets sees chances of 50bp rate hike at the March 15/16 FOMC evaporating, pricing of additional hikes cool as Whites-Reds add another +0.190-0.250 to Monday's +0.195-0.225 rally!
- April FF currently trades 99.665 (+0.015) associated w/.25 bps hike
- Shorts being unwound after heavy Block buying Monday: +50k EDH2 99.335, +50K EDU2 98.525, +20k EDM 98.92. Sep'22 buy helped EDM2/EDU2 spd drop 8bp to 32.0, reversing the jump associated w/ 7.5% CPI print on Feb 10.
- Balance of Eurodollar strip trading broadly higher, near overnight highs: Reds (EDH3-EDZ3) through Golds (EDH6-EDZ6) +0.235-0.115.
- Policy uncertainty: Red Dec'23 at 98.04 (was 97.765 early Monday) remains inverted vs. Green Mar'24 by 0.055.
- Option positioning: Some sporadic upside call interest as underlying takes another large leg higher, but low delta call volumes not as robust as in Tsy options. Put trade mixed with some unwinds vs. new buys looking for a reversal. Implieds running firmer
EU: Council Pres. Says EU Must Take 'Serious Look' At Ukraine Membership Request
Mar-01 12:20
European Council President Charles Michel has stated that the EU must take a 'serious look' at Ukraine's membership request, officially signed by President Volodymyr Zelensky yesterday.
- Speaking to the European Parliament plenary Michel stated on Ukraine's request that, 'It'll be up to us to act in accordance with the times. It's going to be difficult. The Council will have to seriously look at the symbolic, political and legitimate request & make the appropriate choices in a determined & clearheaded manner.'
- Should be noted that while a path for accession could be cleared, the strict conditionality applied to membership applications makes the prospect of Ukraine being brought into the EU any time soon a slim one,
- Michel: "This [the Russian invasion] is geopolitical terrorism". Calls on Russia to, "stop the war, go home, let's talk." Says sanctions will "impose a cost on us, this is a price worth paying."
- EU High Representative for Foreign Affairs and Security Josep Borrell states in his speech that "I think this is the moment in which the geopolitical union is being born".
