STIR: Repo Reference Rates

The S&P 500 e-mini registers fresh all-time highs at 4,890.50 in recent trade. The 3 major e-mini futures contracts are 0.2-0.8% firmer, with the NASDAQ 100 leading the rally.

• Today’s move has been gradual, with support from a fresh round of demand in core global FI markets, a recovery from lows in crude oil futures and equity-supportive words from the Chinese State Council seemingly feeding in over the last few hours.
• Geopolitical worry surrounding the Middle East and a heavy round of trade for Chinese & HK equities seemed to cap the initial Asia-Pac move higher, as did a move away from bests in Euro Stoxx 50 futures during the London morning.
• A reminder that U.S. weekend headline flow saw focus on Ron DeSantis suspending his campaign for the Republican presidential nomination and endorsing Donald Trump (Trump now has > 90% odds of winning the nomination, per, betting markets, as detailed in our earlier bullet).
• Earnings season will pick up this week, click for our coverage of that run of releases.
• Technically, the uptrend in S&P 500 e-Minis remains intact and Friday’s gains confirmed a resumption of the trend. Resistance at the Dec 28 high (4,841.50) has been cleared, marking an extension of the price sequence of higher highs and higher lows. Moving average studies remain in bull-mode. Sights are on round number resistance at 4,900.00 next. Key support lies the 50-day EMA (4,699.31).

Mixed SOFR and Treasury option trade overnight, the former leaning towards downside puts looking to fade this morning's rate rally. For the moment at least, option accts are taking heed of rate cut pricing pushback from the Fed last week. Projected rate cuts for the first half of 2024 continue to recede: January cumulative -0.1bp at 5.328%, March chance of rate cut -49.4% vs. -52.4% late Friday w/ cumulative of -12.5bp at 5.204%, May at 77.2% vs. -86.4% late Friday w/ cumulative -31.8bp at 5.011%. June -96.6% w/ cumulative -55.9bp at 4.770%. Fed terminal at 5.325% in Feb'24.

• SOFR Options:
  • 6,000 0QG4 95.62 puts, cab
  • 2,000 SFRZ4 95.50/96.00 2x1 put spds ref 96.04
  • 2,000 SFRH4 94.68/94.81/94.87/94.93 put condors ref 94.86
  • 2,500 SFRH4 94.75/95.00/95.25 call flys
  • 5,000 SFRH4 94.68/94.75 put spds ref 94.845
  • 4,000 SFRJ4 95.25/95.50/96.00 broken call flys
  • 2,500 SFRJ4 94.81/94.93/95.18 broken put flys
  • 12,000 SFRG4 94.75/94.87/94.93/95.00 broken put condors
  • 13,000 SFRH4 94.87/95.00 call spds ref 94.855/0.22%
  • 10,000 SFRU4 96.25/97.00/98.00 broken call trees ref 95.665
• Treasury Options:
  • 3,100 FVJ4 110 calls, 18 last
  • 5,900 FVJ4 109.5 calls, 24.5 last
  • over 7,700 TYG4 110.5 puts, 4 last
  • 3,000 TYG4 109.5/110.75/112 put flys, ref 111-14
  • 1,800 USH4 114 puts, 13 ref 120-11/0.09%