STIR FUTURES: SOFR Futures Update
May-03 11:43
SOFR futures trading firmer across the strip, save the lead quarterly as it scales back some of Tuesday's gap bid (driven by JOLTS data, debt limit concerns and tanking bank stocks):
- Front month Jun'24 SOFR futures currently -0.010 at 94.975 after 3M SOFR settled -0.05194 to 5.05947. The balance of SOFR futures are currently trading +0.015-0.025.
- Fed funds implied hike for this today's FOMC is currently at 22bp vs. 19.5 low Tuesday, while Jun'23 cumulative drifts around +21.5bp at 5.045%
- Projected rate cuts for late 2023 are back near last week's highs: November cumulative currently -21.9bp (-31.1bp on 4/25) at 4.611, Dec'23 cumulative -42.5bp (-52.1bp on 4/25) at 4.405, while, Jan'24 cumulative is at -64.2bp vs. a full three 25bp cuts last week.
- Fed Terminal currently at 5.055% in Ju2'23 this morning.
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JPY: Japanese Yen Continues To Recover As Yields Retrace
Apr-03 11:39
- USDJPY weakness prevailing in recent trade with the pair briefly sliding back below the 133 mark. Despite some volatile price action at the open and a brief print of 132.82, the pair is yet to close the gap with last Friday’s close of 132.77.
- Overall, trend conditions remain bearish with gains being seen as technically corrective to this point.
- Markets will keep a close eye on the 50-day EMA that has been breached earlier today. The average intersects at 133.34 and represents a key S/T hurdle for bulls. A clear break, if seen, would alter the picture and suggest scope for a stronger recovery.
US TSYS: Bonds Bounce
Apr-03 11:36
- Tsy futures are bouncing again (10s steady to +.5), long end leading w/ curves still flatter (2s10s -2.721 at -58.895. Oil remains in focus after surprise OPEC+ production cuts announced late Sunday.
- Current rebound in Treasury futures may be tied to recent headlines:
- *NOVAK: WE STILL SEE SUPPLY OVERHANG IN GLOBAL OIL MARKET; VOLUNTARY CUTS ARE NOT WITHIN OPEC+ FRAMEWORK - bbg
- However:
- *NOVAK: OTHER OPEC+ COUNTRIES MAY JOIN CUTS IF THEY DECIDE SO; BANKING CRISIS ADDS TO GLOBAL OIL VOLATILITY.
US TSYS: Early SOFR/Treasury Option Roundup
Apr-03 11:24
Modest option volumes noted overnight, carry-over downside put spreads, flys in SOFR options with underlying futures trading weaker. Treasury options seeing slightly better call trade in 5s and 30s w/Tsy futures climbing off late overnight lows. Tsys gapped lower Sunday evening after OPEC+ announced over 1M bbl/day production cut, surprising markets and underscoring inflation concerns.
- SOFR Options:
- 3,900 SFRM3 94.37/94.68/94.87 put flys, ref 95.09
- 3,000 OQJ3 95.87/96.00/96.25 broken put flys, ref 96.385 to -.37
- Block, 4,400 SFRM3 94.43/94.56 put spds, .75 ref 95.07
- Treasury Options:
- 1,000 FVK3 112/114/115 call flys vs. FVM 112/113/113.5 call flys
- over 5,200 FVM3 110.75 calls, 36-37 ref 109-10 to -10.25
- 2,000 TYK3 110.5/111/112 broken put flys ref 114-24
- 2,000 USK3 138/140 call spds, 6 ref 130-27
