US TSYS: Trimming Gains Ahead More Employ Data
Sep-03 19:46
- Treasuries look to finish near late session highs, trimming gains ahead of upcoming data: Thursday's ADP, Jobless Claims, ISM Services, followed by the August Emplyoment report on Friday.
- Treasuries gapped higher after this morning's lower than expected JOLTS jobs data: Job openings were lower than expected at 7181k (sa, cons 7380k) in July after downward revised 7357k (initial 7437k) in June. Combined with the already known sizeable rise in unemployment from last month’s payrolls report and the ratio of openings to unemployed fell to 0.99 from 1.05 (initial 1.06).
- Currently, the Dec'25 10Y trades +12.5 at 112-17 (yld 4.2168 -.0446) vs. 112-21 high - briefly through initial technical resistance: 112-20+ Aug 28 / 29 A breach of this hurdle confirms a resumption of the current bull cycle and signals scope for an extension towards the 113-00 handle.
- Curves bull flatten: 2s10s -1.804 at 60.209 5s30s -2.961 at 120.651.
- The USD index is roughly 0.3% lower on the session as we approach the APAC crossover, with GBP and AUD marginally outperforming while the likes of CAD and CHF remain closer to unchanged on the day.
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US TSYS: Holding Firm, Focus on Tuesday PMIs, ISM Services Data
Aug-04 19:41
- Treasuries remain firmer after the bell, Sep'25 10Y futures drifting near session highs for much of the second half. Curves reversed early steepening as bonds rebounded, focus on dovish rate cut pricing instead of Friday's slowing labor market data.
- Tsy Sep'25 10Y futures currently trades +4.5 at 112-11 vs. 112-14 high, curves flatter: 2s10s -2.157 at 50.855, 5s30s -1.554 at 104.770.
- The weak payrolls report dominated what had been a decent-sized hawkish reaction from a patient Fed Chair Powell not giving a nod to a September rate cut at Wednesday’s FOMC press conference. Nonfarm payrolls growth underwhelmed at 73k in July (cons 104k) but the major headline was the -258k two-month downward revision, of which -139k came from the private sector and -119k from the public sector.
- Projected rate cut pricing holds +/- .5bp vs pre-open highs (*) levels: Sep'25 at -23.2bp (-22.6bp), Oct'25 at -40.6bp (-41.1bp), Dec'25 at -61.4bp (-61.6bp).
- Factory orders fell -4.8% M/M (sa, cons -4.8) in June after 8.3% (initial 8.2) in May as they confirmed gyrations driven by nondefense aircraft in the previously released durable goods data (-52% M/M in June after 232% in May).
- Look ahead to Tuesday: China composite and manufacturing PMI data, final PMI prints across Europe and the US as well as the US ISM services index for July.
AUDUSD TECHS: Retracement Mode
Aug-04 19:30
- RES 4: 0.6700 76.4% retracement of the Sep 30 ‘24 - Apr 9 bear leg
- RES 3: 0.6688 High Nov 7 ‘24
- RES 2: 0.6677 0.764 proj of the Jun 23 - Jul 11 - 17 price swing
- RES 1: 0.6530/6625 High Jul 29 / 24 and the bull trigger
- PRICE: 0.6465 @ 17:24 BST Aug 1
- SUP 1: 0.6419 Low Aug 1
- SUP 2: 0.6373 Low Jun 23 and a bear trigger
- SUP 3: 0.6354 38.2% retracement of the Apr 9 - Jul 24 upleg
- SUP 4: 0.6323 Low Apr 16
AUDUSD rallied well off the week’s lowest levels last week on broad USD weakness. Last week, the pair traded through both the 20- and 50-day EMAs. This undermined the recent bullish theme and signals the likely start of a corrective cycle. Note that support 0.6455 the Jul 17 low, has also been cleared. The breach strengthens a bearish threat and signals scope for an extension towards 0.6373, the Jun 23 low. Key resistance has been defined at 0.6625 the Jul 24 high. It also represents the bull trigger.
US TSYS: Late SOFR/Treasury Option Roundup: Puts Fading Underlying Bid
Aug-04 19:18
Robust SOFR & Treasury option volumes reported Monday, mixed wing trade with better put trade leading volumes. Underlying futures firmer, short end lagging as curves reverse early steepening. Projected rate cut pricing has +/- .5bp vs pre-open highs (*) levels: Sep'25 at -23.2bp (-22.6bp), Oct'25 at -40.6bp (-41.1bp), Dec'25 at -61.4bp (-61.6bp), Jan'26 at -73.6bp (-73.1bp).
- SOFR Options:
- 4,125 SFRZ5 96.31 straddles,
- +30,000 SFRU5 95.75/95.87 put spd vs. SFRZ5 95.81/95.93 put spd spd, 1.0-1.25 net flattener
- +10,000 SFRH6 96.37 puts, 19.5 vs. 96.495/0.44%
- +5,000 2QU5 95.68 straddles, 27.5
- -3,000 SFRZ5 96.18/96.37 2x1 put spds 2.5
- +4,000 SFRM6 96.75/97.25 call spds 1.5 over 2QM6 96.25/96.75 call spds
- +6,000 0QZ5 97.25/97.50 call spds 6.0 ref 96.965
- -10,000 SFRZ5 96.12/96.37/96.62 call flys, 5.0
- +6,000 0QV5 97.25/97.50 call spds, 6.0 ref 96.865
- +2,500 SFRU5 96.18/96.25 call spds, .625 ref 95.94
- +5,000 2QH6 97.00/97.25/97.50 call flys, 2.75 ref 96.80
- -4,000 SFRV5 96.37/96.62 call spds, 6.0 ref 96.605/0.18%
- -19,100 SFRZ5 95.75/95.87/96.25/96.37 put condors, 6.0 ref 96.30
- Block, 5,500 SFRM6/2QM6 96.75/97.25 call spd spds
- 1,500 SFRZ5 96.50/96.68/96.75 broken call flys ref 96.295
- 3,500 SFRU5 95.93/96.00/96.06 call flys ref 95.945
- over 9,700 SFRU5 96.00 calls ref 95.94
- 2,250 SFRQ5 96.00/96.25 call spds ref 95.945
- 1,500 SFRV5 96.37/96.62/97.00 call flys ref 96.275
- 3,000 SFRV5 96.50/96.75 call spds ref 96.265
- Block/screen 4,000 SFRZ5 95.75/95.87/96.00 put trees
- 4,500 SFRZ5 95.68/95.81 2x1 put spds
- 2,000 0QH6 97.25/97.50 call spds ref 96.925
- 2,400 SFRH6 96.12 puts ref 96.48
- 1,500 SFRH6/3QH6 97.00/97.50 call spd spds
- -5,500 SFRH6 96.00/96.25/96.37 put trees, 1.0 ref 96.465/0.13%
- Treasury Options:
- +40,000 wk1 TY 111.75/112 put spds, 3 (exp 8/6)
- 2,500 TYU5 111 puts, 10 ref 112-10.5
- 5,000 TYU5 111.5/113.25 call spds ref 112-10.5
- +20,000 FVU5 107.5/108.25/109 put flys, 12 vs. 109-07.5/0.14%
- over 10,300 TYU5 108.5 puts ref 112-07.5
- 1,500 TYX5/TYZ5 112.5/114 call spd spds ref 112-08.5
- 3,200 TYU5 108/109.5 put spds ref 112-07.5
- 16,000 TYU5 113 calls, 19-20 ref 112-06 (total volume over 29.4k)
- +3,000 TYU5 112/113 1x2 call spds, 3 ref 112-02
- 2,500 TUU5 103.5/103.75 put spd vs. 104/104.25 call spds ref 103-30.25
- 1,100 TYU5 109/111 2x1 put spds ref 112-02
- 1,600 TYU5 109 puts ref 112-02.5
- 1,300 FVU5 108.25/108.75/109/109.75 broken call condors ref108-31.5
- 1,800 FVZ5 114 calls ref 109-08
- -2,600 TYU5 112.5 calls 27 ref 112-03/0.40%
