OPTIONS: Thursday's Rate Plays: Upside, Upside, And More Upside
Oct-16 16:52
Thursday's Europe rates/bond options flow included:
- RXX5 130/130.50cs, sold at 18 in ~9.7k
- RXZ5 128.00/127.50ps, bought for 5 and 6 in 4k
- ERH6 98.25/98.50cs vs 0RH6 98.25/98.50cs, bought the mid for 2.5 in 9k
- ERH6 98.4375/98.625cs, bought for half in 4.5k
- ERM6 98.43/98.50/98.56c fly, bought for 0.25 in 3k
- ERM6 98.50/98.62/98.75c fly, bought for 0.25 in 35k
- ERM6 98.62/98.75/98.87c fly, bought for 0.25 in 20k
- ERM6 98.25/43/50 call ladder vs 97.87 puts paper pad 0 for the call ladder on 10K
- ERM6 98.50/98.625/98.75/98.875c condor, bought for half in over 15k
- 2RZ5 98.00/98.0625cs, unconfirmed sell at 1.5 in 10k (traded Paper to Paper)
- SFIH6 96.40/96.50/96.55/96.60c condor 1x2x1x2, bought for 0.75 in 4k
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FOREX: Dollar Weakness Extends Pre-Fed, New Cycle Highs for EURUSD
Sep-16 16:51
- The underlying trend of dollar weakness picked up pace on Tuesday, with FX market participants potentially getting caught off guard ahead of Wednesday’s Fed meeting. Stronger-than-expected US retail sales data did little to stall this weaker dollar momentum, with a brief blip higher for the greenback merely offering better levels for sellers. The dollar index now trades within 30 pips of the cycle lows located at 96.38.
- The most important development across G10 was the outperformance of the Euro, and the associated move for EURUSD (+0.93%) to fresh four-year highs above 1.1829. Spot has rallied to 1.1871 as the US session progresses and the pair remains tied to session highs as we approach the APAC crossover. 1.1923 and 1.2000 provide the next technical targets for the rally.
- In similar vein, the Swiss Franc tops the G10 leaderboard, rising 1% against the dollar. USDCHF has just fallen to a new cycle low of 0.7865, the lowest level since the removal of the Swiss Franc peg in 2015.
- GBPUSD (+0.45%) made further inroads above 1.36, following a significant technical breakout this week. Today’s broad dollar weakness remains the dominant driver of the move, however, sterling positioning dynamics linked to pessimism surrounding the UK fiscal story may be exacerbating the latest leg higher for cable. Immediate resistance at 1.3681, the July 4 high, has capped the advance so far. Above here, 1.3789 remains the key resistance for the pair, the July 1 high.
- Weaker equity indices slightly hampered the momentum for the likes of AUD and NZD on Tuesday, which have relatively underperformed. With that said, AUDUSD is edging higher into the close, narrowing the gap to 0.6688, the US election related highs and a key resistance.
- In emerging markets, the Euro outperformance has bolstered CE3 FX significantly, with the likes of USDHUF and USDPLN also hitting multi-year lows. The Mexican peso also maintains its run of stellar form, reaching the highest level against the dollar since July last year.
- UK CPI data headlines the data calendar on Wednesday before the focus turns to both the BOC and Fed decisions, due later in the session.
FED: US TSY 19Y-11M BOND AUCTION: NON-COMP BIDS $108 MLN FROM $13.000 BLN TOTAL
Sep-16 16:45
- US TSY 19Y-11M BOND AUCTION: NON-COMP BIDS $108 MLN FROM $13.000 BLN TOTAL
FED: MNI Instant Answers: September FOMC Statement and SEP
Sep-16 16:34
The questions that we have selected for Instant Answers for the September FOMC statement and SEP (scheduled to be released at 1400ET Wednesday):
- Fed funds rate range maximum
- Number of dissenters to size of rate move
- Number of dissenters preferring a larger cut
- Median projection of fed funds rate at end-2025
- Median projection of fed funds rate at end-2026
- Median projection of fed funds rate at end-2027
- Median projection of fed funds rate at end-2028
- Median projection of longer run fed funds rate
- Number of 2025 dots > 4.125%
- Number of 2025 dots > 3.875%
- Number of 2025 dots < 3.875%
- Number of 2025 dots < 3.625%
