US PREVIEW: The US Macro Week Ahead: GDP Revisions, PCE, Heavy Fedspeak

• US Data/Speaker Calendar (prior, estimate)
• 08/21 0730 Atl Fed Bostic brief remarks on economy (no text, no Q&A)
• 08/21 0830 Initial Jobless Claims (224k, 226k)
• 08/21 0830 Continuing Claims (1.953M, 1.960M)
• 08/21 0830 Philadelphia Fed Business Outlook (15.9, 6.5)
• 08/21 0945 S&P Global US Mfg PMI (49.8, 49.7)
• 08/21 0945 S&P Global US Services PMI (55.7, 54.2)
• 08/21 0945 S&P Global US Composite PMI (55.1, 53.5)
• 08/21 1000 Leading Index (-0.3%, 0.1%)
• 08/21 1000 Existing Home Sales (3.93M, 3.92M), MoM (-2.7%, -0.3%)
• 08/21 1130 US Tsy $100B 4W & $85B 8W bill auctions
• 08/21 1300 US Tsy $8B 30Y TIPS reopen
• Source: Bloomberg Finance L.P. / MNI

• RES 4: 0.6688 High Nov 7 ‘24
• RES 3: 0.6677 0.764 proj of the Jun 23 - Jul 11 - 17 price swing
• RES 2: 0.6569/6625 High Aug 14 / 24 and the bull trigger 
• RES 1: 0.6500 50-day EMA 
• PRICE: 0.6435 @ 16:20 BST Aug 20
• SUP 1: 0.6419 Low Aug 1 and a bear trigger
• SUP 2: 0.6373 Low Jun 23 
• SUP 3: 0.6354 38.2% retracement of the Apr 9 - Jul 24 upleg  
• SUP 4: 0.6323 Low Apr 16

AUDUSD is off its most recent highs to trade lower Wednesday. From a trend perspective, the condition remains bullish highlighted by MA studies that remain in a bull-mode position. However, the pair is approaching support at 0.6419, the Aug 1 low and a bear trigger. A clear break of this level would expose support at 0.6373, Jun 23 low and an important support. On the upside, a reversal higher would refocus attention on 0.6625, the Aug 24 high.

Various upside call structures targeting more rate cuts than currently priced traded Wednesday, SOFR outpacing Treasury options for the most part - though paper bought over 100k TYV5 113 calls earlier, adding to some 78k Tuesday. Underlying futures trade modestly higher after the bell - paring gains slightly after mixed messaging in the July FOMC minutes. Projected rate cuts consolidate from midday high to near steady vs. early morning (*) levels: Sep'25 at -20.6bp (-21.1bp), Oct'25 at -34.1bp (-34.9bp), Dec'25 at -54.0bp (-54.1bp), Jan'26 at -65.4bp (-65.1bp).

• SOFR Options:
  • Block, 5,000 SFRH6 96.25/97.25 call spds, 26.5
  • +50,000 SFRH6 97.25 calls, 6.0-6.5 covered
  • +50,000 SFRZ5 96.18/96.31/96.50/96.62 call condors, 3.0-3.125 ref 96.205
  • +15,000 SFRU6 96.00/96.25/96.50 put flys, 3.25
  • +5,000 SFRU5 95.81 puts, 3.25 vs. 95.90/0.30%
  • 3,500 SFRU5 96.00/96.12/96.25 call flys ref 95.8975
  • -20,000 SFRU5 95.81/SFRZ5 95.87 put spds, 0.75 net/Sep over
  • +4,000 SFRU5 95.62/96.31 call over risk reversals, 0.25 ref 95.9025
  • 8,000 SFRU6 96.75/97.25 2x1 put spds ref 96.805
  • 1,400 SFRZ5 96.25/96.37/96.50/96.62 call condors ref 96.21
  • Block, 4,500 SFRZ5 96.25/96.50/96.75/97.00 call condors, 6.0 ref 96.21
  • 6,000 SFRU5 96.00/96.12/96.25 call flys ref 95.90
  • 6,000 SFRU5 95.87/95.93 put spds ref 95.90
• Treasury Options: (reminder Sep options expire Friday)
  • +10,000 USV5 119 calls, 16
  • Block: -5,000 WNU5 117.5 puts 20 over the WNV5 116/119 put over risk reversal
  • -8,000 TYV5 111.5 puts, 34 vs. 111-30.5/0.40%
  • 1,700 FVU5 108.5 puts, 3.5 total volume over 6k
  • 5,000 wk5 TU 103.75/103.87/104 put trees vs. TUU5 103.75 puts
  • Block/screen, over 10,800 TYU5 111 puts, 2 vs. 111-22.5/0.08%
  • over 5,600 TYU5 112 calls, 8 last
  • over 5,300 TYU5 112.5 calls, 2 last
  • over 103,600 TYV5 113 calls, 20-23 ref 111-24.5 to -25.5 (78k trade Tuesday)