LOOK AHEAD: US Macro Week Ahead: PCE, Return of Fedspeak & Potential Cook Case

• US Treasuries look to finish near session highs Wednesday, gapping off early lows after Al Arabiya had reported earlier today that the US had intensified its demands regarding the nuclear issue and navigation security in the Strait of Hormuz, points that have derailed talks with Iran previously. Gulf wires reported that US/Iran will start a new round of talks after Hajj season (dates vary: May 25-27, May 24-29)
• Broad based risk sentiment improved with crude prices falling (WTI to $96.94/bbl low) with Treasury yields (10Y yield to 4.5617% low), US$ retreated while equities gapped higher - recovering from week lows - to near flat for the week. Currently, the DJIA is +1.23%, SPX emini +0.87%, Nasdaq +1.3%.
• TYM6 currently +24 at 109-14.5 vs. 109-16 high, Moving average studies are unchanged, they remain in a bear-mode position highlighting a dominant downtrend. The bear trigger at 109-24, the Mar 27 low, and the 109-00 handle, have been cleared. Sights are on 108-18, a Fibonacci projection. Initial firm resistance to watch is the 20-day EMA, at 110-05+.
• Eagerly awaited Nvidia earnings after the close put wider focus on chip-makers buoying the IT sector. Nvidia is expected to report EPS of $1.774: a metric on which it has beaten expectations across all quarters since 2020 bar one (Q3'23). Guidance should prove key: markets were shaky earlier this year on concerns over the sustainability of AI-buildout demand in the coming years, and strong messaging from Jensen Huang today could bolster this view.
• Focus on prelim PMI data from Australia and Japan - which should provide a better look at the extent to which sharply higher energy prices are compressing profit margins for industry. Australian labour market data will be the next domestic driver for AUD, scheduled for Thursday. Consensus is for labour market tightness to persist, with an unchanged unemployment rate at 4.3% and solid employment growth of 15k in April.

• RES 4: 0.7358 Top of a bull channel drawn from the Apr 9 ‘25 low 
• RES 3: 0.7300 Round number resistance
• RES 2: 0.7223/78 High May 15 / 6 and the bull trigger
• RES 1: 0.7175 20-day EMA
• PRICE: 0.7154 @ 16:55 BST May 20
• SUP 1: 0.7080 Low May 19
• SUP 2: 0.7056 50.0% retracement of the Mar 30 - May 6 bull leg  
• SUP 3: 0.6986 Low Apr 13 
• SUP 4: 0.6899 Low Apr 7

The latest pullback in AUDUSD is considered corrective and the rally into the Wednesday close is illustrative. Moving average studies remain in a bull-mode position. This set-up continues to highlight a dominant uptrend. However, Tuesday’s sell-off resulted in a breach of the 50-day EMA, at 0.7112. A clear break of this EMA would signal scope for a deeper retracement and expose 0.7056, a Fibonacci retracement. Key resistance and the bull trigger is at 0.7278, the May 6 high.      

SOFR & Treasury options trade outlined below. Heavy volumes on the day, call buying surged midday as underlying futures rallied on the back of Al Arabiya source reports that suggested the fiinal details were being put together for a US-Iran agreement, which could be announced as soon as this week. Projected rate hike pricing cooler vs. late Tuesday lvls (*): Jun'26 at -1.5bp (-1.0bp), Jul'26 at +2.0bp (+2.4bp), Sep'26 at +6.5bp (+7.8bp), Oct'26 at +10bp (+11.9bp), Dec'26 +17.3bp (+20.0bp). Jan 2027 nearly pricing in first 25bp rate hike at 22.4bp.

• SOFR Options:
  • +10,000 SFRQ6 95.62 puts, 9.5
  • +10,000 SFRZ6 95.25/96.00 put spds, 12.0 vs. 96.165/0.26%
  • +3,000 SFRU6 96.25/96.37/96.50/96.62 call condors 2.0 ref 96.25
  • +7,000 SFRZ6 96.12/96.25/96.50 call flys, 5.75 bid for more ref 96.125
  • -2,000 SFRM7 95.25/96.00 2x1 put spds, 3.5 ref 95.94
  • +5,000 SFRZ6 96.00 puts, 18.25 ref 96.13
  • -2,000 SFRZ6 96.12 straddles, 45.5
  • +10,000 SFRM6 96.31/96.37
  • +7,500 SFRH8 100.0 calls, 1.0 looking for more
  • +6,000 SFRZ6 96.25/96.75 put over risk reversals
  • +4,000 SFRH7 97.00/97.25 call spds, 1.75 vs. 96.00/0.04%
  • -3,000 SFRZ6 96.12/96.62 strangles, 30.25 vs. 96.15/0.25%
  • +2,000 2QZ6 96.50 calls, 11.5 vs. 96.01/0.26%
  • -2,000 SFRN6 96.00/96.06 put spds, 0.75
  • -4,000 SFRZ6 96.06 puts, 21.0 vs. 96.115/0.48%
  • 2,000 SFRZ6 96.00 put/0QZ6 95.25/96.00 4x5 put spds, 6.5 net
  • +4,000 SFRZ6/9QZ6 96.00/96.25 put spd spds, 2.25 net/short Dec over
  • 2,000 SFRU6 96.37/96.43/96.50/96.56 call condors
  • 4,000 SFRU6/SFRZ6 96.31 2x1 put spds
  • over 9,200 SFRN6 96.00 puts, 3.75 ref 96.245
  • +4,500 SFRN6 96.06/96.12 put spds, 1.25
  • +1,000 SFRM6 96.18/96.56 strangles, 1.25
  • Block, +1,500 SFRN6 96.06/96.25 3x2 put spds, 5.0
  • +4,500 SFRN6 95.93/96.18 put spds, 4
  • +2,000 0QM6 96.18/96.37 call spds, 3 vs. 96.00/0.10%
  • +1,500 0QM6 95.62 puts ref 95.965
  • 1,200 SFRM6 96.06/96.12 put spds
• Treasury Options:
  • over 97,000 total TYM6 109 puts on the day, 6 last
  • 17,000 FVM6 107 calls, 8.5 total volume over 32,000
  • +10,000 TYJ6 109 straddles, 138
  • +10,000 wk1 TY 107.5 puts, 12 vs. 108-17.5/0.22% (exp 06/05)
  • 2,000 TYM6 109/TYN6 107 put spds, 1 ref 108
  • 1,850 USQ6 106 puts, 52
  • 3,000 TYM6/TYN6 109.5 call spds
  • 5,000 Thu wkly TY 109 puts, 15 ref 108-29 (exp tomorrow)
  • +7,000 wk5 TY 109.25/109.75 call spds, 6 vs. 108-21/0.14
  • 5,000 wk5 TY 110/110.5 call spds, 2 vs. 109-05/0.05% (exp 5/29)
  • over 13,800 TYM6 109.5 calls, 4 last
  • -8,300 Wed wkly 108.75 puts, 6-4 (exp today)
  • -2,000 TYM6 109 puts, 17 vs. 108-30/0.61%
  • 1,000 TYU6 113/114/115 call flys ref 108-16.5
  • +4,000 TYM6 108.25 puts, 7-8 ref 108-21.5
  • -5,000 TYN6 111 calls, 5 ref 108-13.5