US TSYS: Tsys Find Lower Footing at Start of 2026, Focus on Next Week's NFP

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.

• -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)

• 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.