US TSYS: Risk Sentiment Improves Over Early Trade Headlines

SOFR & Treasury options trade remained relatively mixed compared to better upside SOFR calls the last couple sessions. Underlying futures off lows, curves twisting steeper (2s10s +4.186 at 50.911) while projected rate cut pricing gains slightly vs. early morning levels (*): Jul'25 at -6.2bp (-5.2bp), Sep'25 at -27.1bp (-25.8bp), Oct'25 at -42.7bp (-41.2bp), Dec'25 at -60.9bp (-59.7bp).

• SOFR Options:
  • +2,000 SFRH7/SFRM7 99.00/99.75 call spd strip, 8.5
  • Block, -7,000 SFRV5 95.75/96.00/96.12 broken put trees, 4.25
  • +8,000 SFRZ5 95.37 puts, 0.5
  • -2,500 SFRU5 95.75/95.93/96.12 call flys, 5.5 ref 95.96
  • 2,000 0QN5/0QQ5 96.50/96.75/97.12 broken call fly spd
  • +10,000 0QV5 97.43/98.00 call spds, 5.5
  • -10,000 SFRZ5 95.37/95.62 put spds, 0.5
  • 2,000 0QU5 96.00/97.00 2x3 call spds ref 96.815
  • Block, 2,500 2QN5 96.68/96.93/97.18 call flys, 0.75 ref 96.775
  • 2,500 0QN5 97.12/97.18 call spds vs. 96.12/96.37 put spds ref 96.82
  • 2,000 SFRH6 98.50 calls, 2.5
  • 2,000 SFRZ5 95.68/SFRU6 96.12 put spds
  • +2,000 SFRQ5 95.93/96.06 call spds, 4.0 vs. 95.965/0.17%
  • 3,200 SFRU5 95.62/95.75 put spds, 2.5 ref 95.96
• Treasury Options:
  • 4,000 USQ5 103/106/108 2x1x1 broken put trees
  • -5,000 TYQ5 111.5 straddles 131-130 ref 111-16
  • -8,000 TYQ5 110.25/112.75 strangles, 36 ref 111-16
  • +10,000 TYQ5 108.5 puts, 4
  • -5,000 TYU5 115.5 calls, 10
  • 8,500 TUQ5 105/106.5 1x2 call spds ref 103-27.75
  • +1,700 TYQ5 108/109.5 2x1 put spds, 3 ref 111-19.5
  • +5,000 TYU5 107/108 put spds, 4 ref 111-14/0.04%
  • +1,500 TYQ5 112.5/114.5 call spds, 21 vs. 111-21/0.23%
  • 1,370 wk4 TU 103.62/103.75/103.87/104 call condors, exp 6/27
  • 4,300 TYQ5 113 calls ref 111-23.5
  • 3,000 TYQ5 111.5 calls

The Fed Board votes to approve the draft notice of the SLR reform proposal as expected, with Govs Barr and Kugler voting against. The Board meeting is adjourned.

• Swap spread widening extends albeit very modestly, around 0.9bp since the announcement to -54.9bp in Treasuries' favor. That said, that's off the intraday tightest level of -55.7bp which was the tightest since May 29, so very much a minor shift. See chart.
• The proposal now gets a 60 day period for public comment.

• RES 4: 171.09 High Jul 23 ‘24 
• RES 3: 170.47 76.4% Fibonacci retracement for Jul - Aug ‘24 downleg  
• RES 2: 169.91 1.236 proj of the Feb 28 - Mar 18 - Apr 7 price swing
• RES 1: 169.71 High Jun 23
• PRICE: 169.30 @ 16:30 BST Jun 25 
• SUP 1: 167.46 Low Jun 23 
• SUP 2: 166.12 20-day EMA 
• SUP 3: 164.95 Low Jun 13   
• SUP 4: 164.40 50-day EMA   

The trend set-up in EURJPY is unchanged, it remains bullish and Monday’s strong start to this week’s session, reinforces a bullish theme. The cross has recently cleared 166.69, the Oct 31 ‘24 high. Scope is seen for a climb towards 170.47, a key Fibonacci retracement point. Note that the cross is overbought, a pullback would unwind this condition. Support to watch lies at 166.12, the 20-day EMA.