US TSYS: Rates & Stocks Still Prone to Headline Sensitivity
Jan-08 2025 20:28
- Markets remain sensitive to headline risk Wednesday, stocks and rates sold off after early headlines reported Trump is considering declaring a state of emergency to enact universal tariffs (opposite reaction from Monday's early rally on WAPO article that suggested a watered down tariff plan). Mar'25 10Y futures breached round number support to 107-28.5 low, 10Y yield hit a high of 4.7280% on the move.
- Rates and stocks bounced after Fed Gov Waller argued for further rate cuts if the economy unfolds as expected, while adding he doesn't see tariffs as being inflationary. Mar'25 10Y futures climbed to 108-09 while curves climbed to new/near 3Y highs (2s10s 42.887, 5s30s 48.363).
- Muted reaction to jobless claims data that were on balance a little better than expected (201k vs. 215k est), ADP employment was softer than expected in December at 122k (cons 140k) after an unrevised 146k in Nov.
- Risk sentiment cooled slightly after the December FOMC minutes underscored a shift toward a slower pace in cutting rates citing rising upside risks to inflation and elevated uncertainty over potential changes in trade and immigration policy from incoming Republican leadership.
- Reminder: Open outcry and CME Globex trading session for interest rate products will have an early close of 1300 ET and 1315ET, respectively on January 9, 2025. All transactions submitted on CME ClearPort will have normal hours. Settlement prices will be derived at 1300ET. Sole data point tomorrow: Challenger Job Cuts at 0730ET; Tsy 4- and 8W bill auctions, and several Fed speakers through the day.
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US TSYS: Tsys Hold Narrow Weaker Band, Waiting for CPI, PPI Data
Dec-09 2024 20:19
- Treasuries gradually extended session lows by midday, have held to a narrow range through the second half, curves bear steepening: 2s10s +1.983 at 6.673, 5s30s +1.770 at 31.624.
- The Fed in blackout and limited data to kick off the week: Wholesale trade sales lower than expected (-0.1% vs. 0.2% est) while the prior was uprevised to 0.5% from 0.3%. NY Fed consumer inflation expectations all increased a tenth in November, albeit with the 3Y metric exaggerated by rounding.
- The main data focus is on on CPI & PPI inflation data on Wednesday & Thursday respectively.
- Meanwhile, projected rate cuts into early 2025 have receded slightly from late Friday (*) as follows: Dec'24 cumulative -21.5bp (-22.2bp), Jan'25 -27.9bp (-29.7bp), Mar'25 -44.8bp (-46.6bp), May'25 -54.6bp (-56.4bp).
EURJPY TECHS: Trend Needle Points South
Dec-09 2024 20:00
- RES 4: 164.76 High Nov 20 and a key short-term resistance
- RES 3: 162.49 High Nov 22
- RES 2: 161.89 50-day EMA
- RES 1: 160.00/160.57 High Dec 9 / 20-day EMA
- PRICE: 159.80 @ 16:21 GMT Dec 9
- SUP 1: 156.18 Low Dec 03
- SUP 2: 156.05 Low Sep 17
- SUP 3: 155.15 Low Sep 16 and a key support
- SUP 4: 153.87 Low Dec 8 / 14 2023
A bear cycle in EURJPY remains in play and the latest recovery appears corrective. Moving average studies are in a bear mode position, highlighting a downtrend. 157.87, the 76.4% retracement of the Sep 16 - Oct 31 bull cycle, has been breached. The clear break of this level strengthens a bearish theme and opens 155.15, the Sep 16 low. Initial firm resistance is 160.57, the 20-day EMA.
US TSYS: Late SOFR/Treasury Option Roundup: SOFR Puts, Projected Cuts Ease
Dec-09 2024 19:51
SOFR options continued to focus on downside put structures Monday, Treasury options remained pared with slightly better upside skew plays in 10Y options reported. Underlying futures see-sawing near session lows since midday, curves bear steepening (2s10s +1.804 at 6.494), while projected rate cuts into early 2025 have receded slightly from late Friday (*) as follows: Dec'24 cumulative -21.5bp (-22.2bp), Jan'25 -27.9bp (-29.7bp), Mar'25 -44.8bp (-46.6bp), May'25 -54.6bp (-56.4bp).
- SOFR Options:
- 1,750 SFRU5 95.62/96.00 2x1 put spds
- Block, 25,000 SFRJ5 95.50/95.62 put spds, 1.25 ref 96.08
- Block, 4,000 0QZ4 95.87/96.12 put spds, 1.0 vs. 96.28/0.15%
- 6,000 0QG5 95.87/96.12/96.25 broken put trees ref 96.335 to -.33
- 2,000 0QZ4 95.87/96.00/96.25/96.37 put condors ref 96.28
- 1,500 SFRZ4 95.50/95.56/95.62 put flys ref 95.63
- Treasury Options:
- 2,000 TYG5 108.5/111 2x1 put spds, ref 111-05.5
- 3,000 TYH5 100/103/104 broken put trees ref 111-06
- 20,000 TYF5 112/113 call spds, 10 ref 111-08 to -08.5
- 6,800 wk2 FV 108 calls, 6 ref 107-20.75
- Block, 25,000 TYF5 112/113 call spds vs. 12,500 TYF5 110 puts, 15 net/call spd over
- 4,000 TYF5 112.5/112.75 call spds, 1 ref 111-05
- 5,000 USF5 123/125 1x2 call spds ref 119-20
- 2,000 TYF5 110 puts, 7 ref 111-13
- 2,000 TYF5 112.75/113.75 1x2 call spds
- 1,700 TYF5 112.75/113.5 call spds ref 111-18.5
- 6,000 wk2 TY 110.75/111.25 put spds vs. 112 calls ref 111-16.5
