US TSYS: Tsys Find Lower Footing at Start of 2026, Focus on Next Week's NFP
Jan-02 20:24
- Treasuries look to finish the first full session of 2026 weaker - near late session lows Friday on rather decent volumes: TYH6 currently -7 at 112-07 vs. 112-04.5 low on just over 1.1M contracts; 10Y yield at 4.1848% (+.0178) vs. 4.1946% high.
- Curves bear steepened (2s10s +1.955 at 70.941, 5s30s +.893 at 112.555) as projected rate cut pricing steady to mildly firmer vs. early morning levels (*): Jan'26 steady at -3.7bp, Mar'26 at -13.7bp (-12.8bp), Apr'26 at -19.2bp (-18.7bp), Jun'26 steady at -33.2bp.
- Limited data today: The final December S&P Global Manufacturing PMI was unchanged from the flash reading of 51.8, confirming a 5-month low for the index (52.2 Nov). In turn, the details of the report confirmed the flash data in portraying a broad-based softening amid overall growth in manufacturing.
- Focus on the first two full weeks of the year see nonfarm payrolls (next Friday) and CPI reports (Jan 13) for December with those two key reports back on their original schedules having been prioritized by the BLS. Private sector reports meanwhile are highlighted by ISM manufacturing and services reports Jan 5 and 7.
- No scheduled Fed speakers today - while Philadelphia Fed President Anna Paulson answers questions at a AEA conference tomorrow at 1015ET, MN Fed Kashkari speaks to the same conference on Sunday at 1250.
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US TSYS: Late SOFR/Treasury Option Roundup: Large Low Delta Trades
Dec-03 20:12
SOFR & Treasury options remained mixed after better downside put interest early overnight. Underlying futures well off midmorning lows - still off early morning highs. Projected rate cut pricing mixed vs. early morning levels (*): Dec'25 at -23.6bp (-24.6bp), Jan'26 at -31.4bp (-31.8bp), Mar'26 at -40.4bp (-39.8bp), Apr'26 at -47.9bp (-46.3bp).
- SOFR Options:
- +6,000 SFRZ5 96.12 puts, .25 vs. 96.2825
- +15,000 SFRF6 96.50/96.75 call spds 2.0-2.75 over 96.37 puts ref 96.465
- +4,000 SFRH6 96.75 calls, 4.0 vs. 96.475/0.20%
- 2,089 SFRZ5 96.12/96.18/96.25 call flys
- 2,000 0QZ5 96.81/96.87/97.00/97.06 call condors ref 96.95
- 3,500 SFRZ5 96.31/96.37 call spds ref 96.275
- 5,000 SFRZ5 96.25/96.31 call spds ref 96.2725
- over 9,600 SFRZ5 96.31 calls ref 96.2725
- 3,000 SFRH6 96.00 puts ref 96.445
- +6,000 SFRZ5 96.25/96.37 put spds, 9.0
- +5,000 SFRZ5 96.18/96.25 put spds, 0.75
- +7,500 SFRH6 96.18/96.25/96.31 put trees, 0.0 vs. 96.405/0.02%
- +6,000 SFRH6 96.18/96.31/96.37 broken put flys, 2.0
- over -4,100 SFRM6 98.00 calls, 2.0 ref 96.715/0.04%
- +1,850 SFRF6 96.56/96.75 call spds, 2.75 vs 96.46/0.18%
- Treasury Options:
- -5,000 TYF6 112.5/113.5 strangles, 39
- +84,361 wk2 Fri 30Y 106 puts, cab-7**
- 3,000 Wed wkly 113.5 calls ref 113-03.5 (exp today)
- 2,000 USG6 108 puts ref 116-21
- -2,500 TYF6 114/114.75 call spds, 9 vs. 113-08/0.12%
- +2,000 USG6 108/112 3x1 put spds, 6 ref 116-14
- 2,000 USF6 125.5 calls ref 116-16
- +1,750 FVF6 111 calls, 3 vs. 109-20.5/0.08%
- +7,600 Wed wkly 113 calls ref 112-28 to 30 (exp today)
- tyf6 114/114.75 cs vs 113-08 12% seller 9s 2500x 648am
- **File under patently absurd low-delta 30Y put trade:
84,361 wk2 30Y 106 puts trade on screen at cab-7
The 10 handle out-of-the-money option expires next week Friday - after the final FOMC of 2025. while markets are widely anticipating a 25bp rate cut on December 10.
Most likely a hedge vs some short term balance sheet risk that corresponds to a rise in 30Y yield to (rough) appr 5.48% from current yield of 4.73%. (Two caveats: bond cheapest to deliver will change to a higher duration bond most likely; the duration on US 30y cash and USH prob ably won't shift in parallel.)
There has been a rise in low delta option trades - Treasury & SOFR - on both sides of the curve over the last few sessions. SOFR has seen rise of par (100 strike) and above call options in midcurves targeting early 2026.
US TSY FUTURES: BLOCK: Mar'26 30Y Ultra-Bond Sale
Dec-03 20:00
- -1,500 WNH6 119-29, sell-through 119-30 post time bid at 1453:59ET, DV01 $283,000.
- The 30Y ultra contract trades 119-30 last (+9)
EURJPY TECHS: Trend Needle Points North
Dec-03 20:00
- RES 4: 183.69 Bull channel top drawn from the Feb 28 low
- RES 3: 184.34 2.000 proj of the Jul 31 - Sep 29 - Oct 2 price swing
- RES 2: 183.07 1.764 proj of the Jul 31 - Sep 29 - Oct 2 price swing
- RES 1: 182.01 High Nov 20 and the bull trigger
- PRICE: 180.84 @ 16:43 GMT Dec 3
- SUP 1: 179.93 20-day EMA
- SUP 2: 178.98/177.84 Low Nov 14 / 50-day EMA
- SUP 3: 175.71 Low Nov 5
- SUP 4: 175.56 Bull channel support drawn from the Feb 28 low
A bullish theme in EURJPY remains intact. The latest pause appears to be a flag formation - a trend continuation signal that reinforces the bull theme. Note that moving average studies are in a bull-mode position, highlighting a dominant uptrend. A resumption of gains would signal scope for a climb towards 183.69, the top of a bull channel drawn from the Feb 28 low. First key support lies at 179.93, the 20-day EMA.
