EURJPY TECHS: Rally Fails to Hold

• -5,000 FVM5 108-02.75, post time bid at 1447:35ET, DV01 $216,000

Option desks reported mixed SOFR & Treasury option flow Monday, a pick-up in downside SOFR puts in the second half - faded the steady rise in underlying futures. Treasury options more pared but appeared to lean toward call buying and vol sales. Underlying futures quietly extending highs in late trade. Little change in projected rate hike pricing: current levels vs. this morning  (*) as follows: May'25 at -5p (-5.75bp), Jun'25 at -22.3bp (-21.6bp), Jul'25 at -41.1bp (-39.4bp), Sep'25 -59.7bp (-55.8bp).

• SOFR Options:
  • +10,000 SFRZ5 95.37/95.62 put spds, 1.5 ref 96.515
  • +5,000 SFRZ5 95.37/95.62 put spds, 1.5 ref 96.51
  • Block, 5,000 SFRZ5 95.50/95.62/95.75 put flys, 1.0 ref 96.51
  • 1,500 SFRM5 95.56/95.62/95.68 put tree ref 95.925
  • Block, 5,000 SFRU5 95.43/95.75 put spds, 3.0 ref 96.26
  • +5,000 0QN5 96.81/96.93/97.68/97.81 call condors, 3.25 ref 96.67
  • -3,500 SFRU5 96.00 puts (x4) vs SFRZ5 97.00/98.00 call spds, 3.0 net, Sep over
  • -4,000 SFRK5 95.81 puts, 4.25 ref 95.905
  • +5,000 SRN5 95.87/96.00 put strip, 14.5-15.0 ref 96.22
  • -3,000 0QU5/0QZ5 96.00 put strip, 27.5 (legs covered)
  • -3,000 SFRM5 95.68/95.87 put spds vs. 95.905/0.27%
  • -5,000 SFRK5 95.75/95.87/96.00 put flys, 2.75 ref 95.91
  • 3,000 0QQ5 97.00/97.50/98.00 call flys ref 96.655
  • 1,500 0QM5 97.00/97.25 call spds ref 96.655
  • 3,000 SFRM5 95.81/0QM5 96.12 put spds
  • 5,000 SFRU5 95.62/96.06 put spds ref 96.25
• Treasury Options: 
  • 2,500 USK5 117/118 call spds, 5 ref 114-08
  • 1,500 USK5 114.5/115.5/116 1x3x2 broken call flys
  • 4,000 TYM5 114/115.5 call spds, 7 ref 110-08
  • 3,100 FVM5 106/106.5 put spds vs. 108.5/109 call spds ref 107-20.75
  • 4,500 TYK5 109.5/111.5 strangles, 37
  • 8,000 TYM5 111/113 call spds, 24 ref 110-03
  • over 11,800 TYK5 110 puts, wide range from 49 to 38 last
  • over 15,300 TYK5 111 calls, 18 ref 110-05
  • -7,000 TYK5 106.75 puts, 3-2 ref 109-31.5
  • 3,000 USK5 109/112 put spds
  • 4,000 FVM5 108/108.5/109/110 broken call condors ref 107-17
  • 4,500 FVM5 106 puts, 18 last
  • 2,000 Mon wkly 111/112 call spds 

• Stocks have rebounded from midday lows, the S&P eminis narrowly outperforming the DJIA and Nasaq indexes in late Monday trade. Currently, the DJIA trades up 420.12 points (1.04%) at 40632.29, S&P E-Minis up 68.5 points (1.27%) at 5459.75, the Nasdaq up 163.7 points (1%) at 16887.7.
• Information Technology sector shares still lead gainers in late trade despite ongoing tariff uncertainty after Trump denied that US officials said smartphones, computers, and other consumer electronics were excluded from tariffs over the weekend.
• "There was no tariff exception" announcement Trump said, while officials are "looking at chips, whole electronics supply chain; chips to be assessed in national Security tariff probes." Nevertheless, "markets very strong once they got used to tariffs" Trump just posted.
• Stocks appeared to gain support after midday on a couple items: Pres Trump said he was "exploring possible exemptions to his tariffs on imported vehicles and parts" while Fed Gov Waller called for "flexible" monetary policy while also maintaining his view that the inflationary effects of tariffs are likely to be temporary.
• Late session gainers included Palantir Technologies +5.22%, First Solar +5.00%, Western Digital +4.65%, Enphase Energy +4.63%, Dell Technologies +4.25% and Intel +3.72%. Other gainers included Charles River Laboratories +6.25%, Ford Motor +4.02%, Citigroup +3.72% and Aptiv +3.61%.
• Health Care sector shares underperformed in late Monday trade, namely Humana -4.01%, DaVita -3.61% and UnitedHealth Group -2.74%. Other laggers included Southwest Airlines -2.63%, Meta Platforms -1.87% and Broadcom -1.80%.
• Earnings expected Tuesday: PNC Financial Services, Bank of America, Johnson & Johnson, Sandisk Corp, Albertsons Cos, Citigroup, Interactive Brokers, JB Hunt Transport, United Airlines and Omnicom Group.