LOOK AHEAD: UK Timeline of Key Events (Times BST)
Aug-12 05:23
| Date | UK | Period | Event |
| 12-Aug | - | BOE's Mann FT podcast | |
| 13-Aug | 0700 | Jun/Jul | Labour Market Survey |
| 14-Aug | 0700 | Jul | Consumer inflation report |
| 14-Aug | 0700 | Jul | Producer Prices |
| 15-Aug | 0700 | Jun | GDP / Trade/ Services/ Production / Construction |
| 15-Aug | 0700 | Q2 | GDP First Estimate |
| 16-Aug | 0700 | Jul | Retail Sales |
| 19-Aug | - | DMO to hold quarterly investors / GEMM consultation | |
| 21-Aug | 0001 | Aug | Brightmine pay deals for whole economy |
| 21-Aug | 0700 | Jul | Public Sector Finances |
| 22-Aug | 0930 | Aug | S&P Global Services/ Manufacturing/ Composite PMI (p) |
| 22-Aug | 1100 | Aug | CBI Industrial Trends |
| 23-Aug | 0001 | Aug | Gfk Monthly Consumer Confidence |
| 23-Aug | 2000 | BOE's Bailey Speech at Federal Reserve Bank of Kansas | |
| 27-Aug | 0001 | Aug | BRC Monthly Shop Price Index |
| 27-Aug | 1100 | Aug | CBI Distributive Trades |
| 30-Aug | 0930 | Jul | BOE M4 / Lending to Individuals |
| 02-Sep | 0930 | Aug | S&P Global/ CIPS UK Final Manufacturing PMI |
| 03-Sep | 0001 | Aug | BRC-KPMG Shop Sales Monitor |
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USDCAD TECHS: Tests Key Support
Jul-12 20:00
- RES 4: 1.3899 High Nov 1 and a key resistance
- RES 3: 1.3846/55 High Apr 16 and the bull trigger / High Nov 10 2023
- RES 2: 1.3755/3792 High Jul 2 / High Jun 11
- RES 1: 1.3667 50-day EMA
- PRICE: 1.3616 @ 16:37 BST Jul 12
- SUP 1: 1.3590/89 Low May 16 and a key support / Intraday low
- SUP 2: 1.3547 Low Apr 9
- SUP 3: 1.3512 50.0% retracement of the Dec 27 - Apr 16 bull cycle
- SUP 4: 1.3478 Low Apr 4
USDCAD traded lower Thursday before recovering. A short-term bear threat remains present. The recent break of the 50-day EMA - currently at 1.3667, reinforces a bearish condition and exposes 1.3590, the May 16 low and a key support. It has been pierced, a clear breach of it would highlight an important technical break. Initial firm resistance to watch is 1.3755, the Jul 2 high. Clearance of this level would be bullish.
US TSYS: Treasuries Near Late Highs, Discounting June PPI & Up-Revisions
Jul-12 19:46
- Reversing the initial negative reaction to this morning's PPI data, Treasury futures look to finish mildly higher, at or near late session highs Friday as as economists deemed the data as more mixed than the initial hawkish reaction warranted.
- The Sep'24 10Y contract currently trades +2.5 at 111-07.5 near initial technical resistance is at 111-10+ (High Jul 8) followed by 111-13 (High Mar 25). Clearance of this hurdle would open 111-31, a Fibonacci projection. Curves are bull steepened with 2s10s +3.251 at -27.456, 5s30s +1.557 at 29.122.
- In turn, projected rate cut pricing into year end look firmer vs. early Friday (*): July'24 at -6.5% w/ cumulative at -1.6bp at 5.313%, Sep'24 cumulative -25.2bp (-24.1bp), Nov'24 cumulative -41.4bp (-38.5bp), Dec'24 -62.9bp (-59.6bp).
- Treasuries gapped lower after higher than expected PPI Final Demand MoM (0.2% vs. 0.1% est, with prior PPI up-revised to 0.0% from -0.2%), YoY (2.6% vs. 2.3% est, 2.2% prior).
- The Sep'24 10Y contract traded down to 110-25.5 low (-11.5), well above initial technical support of 110-07+/109-31 (20- and 50-day EMA values) before consolidating and reversing course.
- Futures inched higher after the latest UofM data came out near steady to lower than expected (current Conditions 64.1 vs. 66.0 - the lowest since late 2022) while inflation expectations come out in-line to slightly lower than expected with both 1Y and 5-10Y at 2.9%.
US TSYS: Late SOFR/Treasury Option Roundup: Bullish Bias As Underlying Recovers
Jul-12 19:28
Heavier SOFR and Treasury option volume continued Friday, upside call skew still outbid puts as underlying futures quickly rebounded off morning lows. Projected rate cut pricing into year end look firmer vs. early Friday (*): July'24 at -6.5% w/ cumulative at -1.6bp at 5.313%, Sep'24 cumulative -25.2bp (-24.1bp), Nov'24 cumulative -41.4bp (-38.5bp), Dec'24 -62.9bp (-59.6bp). Salient flow includes:
- SOFR Options:
- -10,000 SFRU4 94.75/94.81 put spds .875 ref 94.94
- +10,000 SFRH5 94.87/95.50 put spds 15.5 vs. 95.695/0.26%
- -7,000 SFRZ4 94.25/94.62/95.00 put flys, 3.0 ref 95.32
- -5,000 SFRZ4 95.25/95.50 call spds 8.75 ref 95.33
- +5,000 0QU4 95.75 puts, 4.0 vs. 96.22/0.16%
- +5,000 0QU4 96.25/96.50/96.75 call flys 3.875 ref 95.20
- -6,000 SFRN4 94.93 calls, .5 ref 94.94
- -5,000 2QU4 96.25/96.50 call spds, 15.0 ref 96.51
- -5,000 2QU4 96.37/96.50 call spd with 2QU4 96.25/96.50 call spd strip 22.0
- Block/pit, -40,000 SFRZ4 95.50/96.25/97.00 call flys, 5.5 ref 95.33 to -.32
- -6,000 SFRU4 95.00/95.50 call spds, 3 ref 94.945
- -5,000 SFRX4 95.18 puts, 10.0 vs. 95.27/0.38%
- +5,000 SFRU4 94.87/94.93 put spds, 2.5 vs. 94.935/0.20%
- -12,000 2QQ4 96.25 puts, 4.0 vs. 96.53/.20%
- +6,000 SFRU4 94.62/94.75 put spds vs SFRZ4 94.62/94.75 put spds 0.25 net
- -4,000 SFRZ4 95.25/95.50 call spds, 8.5 ref 95.32
- +/-5,000 SFRN4 94.93 conversions
- 4,500 SFRZ4 95.25/95.31/95.37 call flys
- 13,000 SFRZ4 95.25/95.50 call spds ref 95.295 to -.30
- 3,500 0QN4 96.12/96.25 call spds ref 96.155
- 3,500 SFRV4 95.12/95.31 2x1 put spds ref 95.30
- 1,000 SFRN4 94.93/95.00 3x2 call spds ref 94.935
- Treasury Options:
- 12,000 TYQ4 111.5/112 2x3 call spds, 13 net ref 111-05
- +11,100 TYU4 108/113 strangles, 19 vs. 111-04/0.13%
- -2,000 TYU4 111 straddles, 140
- 2,300 TUQ4 102.25/102.5 call spds ref 102-15.12
- 1,300 TYU4 112/113.5/115 call flys ref 111-00.5
- 2,000 USU4 122124 call spds
- 15,000 TYQ4 111/111.5 call spds ref 110-31.5
- Block, -20,000 TYQ4 111.5 calls, 16-14 ref 110-31.5 to 111-00.5
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