OPTIONS: US Rate Options Roundup
Wednesday's U.S. rate options flow included:
- SFRZ4 95.75/95.62/95.50p fly, traded for 8.25 in 2k.
- SFRZ4 95.62/95.56ps, traded for 1.25 in 1.5k.
- SFRZ4 95.62p, traded 2.5 in 1.5k.
- SFRH5 95.81/95.56ps, traded for 8 in 2k.
- SFH5 95.75/95.68/95.62p fly 1x3x2, traded for -0.25 in 3k.
- SFRM5 96.50/96.75cs vs 95.62/95.37ps, traded flat in 1k.
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US TSYS: Late SOFR/Treasury Option Roundup: Hedging For 50Bp in Cuts By Mar'25
SOFR and Treasury options remained mixed on net Monday, modest volumes due ti the Veterans Day holiday closure. SOFR options saw continued interest in upside calls targeting 50bp in rate cuts by March 2025 while Treasury options centered around 5- and 10Y puts. Underlying futures weaker, at/near recent lows. Dec24 not fully pricing another 25bp cut: Projected rate cuts into early 2025 compared to early Monday levels (*): Dec'24 cumulative -16.3bp (-17.1bp), Jan'25 -24.3bp (-25.7bp), Mar'25 -37.6bp (-38.9bp), May'25 -45.0bp (-46.9bp).
- SOFR Options: Reminder, Nov serial options expire this Friday
- +5,000 0QZ4/2QZ4 95.50 put spds, cab net/short Dec over
- -5,000 SFRZ4 95.50 puts, 3.25 vs. 95.57/0.34%
- +10,000 SFRH5 96.00/96.25/95.37 call flys, 3.5-3.75 ref 95.79
- 5,000 SFRH5 96.00/96.25/96.37 broken call flys
- 2,000 0QG 96.25/96.62 3x2 put spds
- -5,000 0QX4 96.00/96.25/96.50 put flys, 11.0 vs. 96.155/0.32%
- +11,000 SFRU5/3RU5 96.50/96.75/97.00/97.25 call condor spd, 2.0 net db/3RU5 over
- -5,000 SFRH5 95.62/96.00 strangles, 20.0-19.5
- 18,500 SFRH5 96.06/96.18 call spds ref 95.785
- 6,500 SFRX4 95.50/95.56 put spds ref 95.565
- 3,000 SFRX4 95.62 calls
- 7,000 SFRZ4 95.37/95.43/95.50/95.62 broken put condors ref 95.565
- 6,500 SFRH5 96.06/96.18 call spds ref 95.79
- 2,000 SFRZ4 95.62/95.68/95.75 call trees ref 95.565
- 3,000 SFRH5 96.06/96.18 call spds ref 95.795
- 3,000 SFRZ4 95.81 calls ref 95.565
- Treasury Options:
- 1,500 TYZ4 110.75/111.25/112.25/112.5 broken call condors
- over 6,000 TYF5 108/109 put spds ref 110-04
- over 6,500 TYZ4 108.5/109.5 put spds
- +5,000 USZ4 120 calls, 17
- 5,000 TYZ4 113 calls, 1 last
- 3,000 FVZ4 106.25 puts ref 106-26.5
- 3,800 wk3 TY 109.5/110 put spds vs. 110.75 calls ref 110-04
EURJPY TECHS: Support Holds
- RES 4: 169.20 High Jul 24
- RES 3: 168.01 High Jul 26
- RES 2: 167.40 61.8% retracement of the Nov 11 - Aug 5 bear leg
- RES 1: 166.69 High Oct 31 and the bull trigger
- PRICE: 163.84 @ 16:10 GMT Nov 11
- SUP 1: 163.36/21 50-day EMA / Low Nov 8
- SUP 2: 161.85/161.01 Low Oct 17 / Low Oct 4
- SUP 3: 158.11 Low Sep 30
- SUP 4: 157.05/155.15 Low Sep 18 / 16
A bullish theme in EURJPY remains intact and the latest pullback is considered corrective. Moving average studies are in a bull-mode set-up, highlighting a dominant uptrend. The 50-day EMA lies at 163.36. It has been pierced, however for now, support at the average remains intact. Recent gains suggest scope for a climb towards 167.40, a Fibonacci retracement point.
COMMODITIES: WTI, Precious Metals Fall Amid Soft Chinese Data, USD Gains
- WTI fell towards its lowest close since Oct 29 as lacklustre Chinese economic data provides downside pressure.
- WTI Dec 24 is down by 3.3% at $68.0/bbl.
- The latest China stimulus decision disappointed markets as weak Chinese energy demand weighs on prices.
- Meanwhile, Saudi state-run Al Arabiya has reported that according to Lebanese Hezbollah, negotiations have begun to end the war with Israel.
- For WTI futures, a bearish theme in WTI futures remains intact, with the resumption of weakness exposing $65.99, the Oct 1 low, and $64.16, the Sep 10 low and key support.
- Elsewhere, spot gold has fallen by 2.4% to $2,619/oz, taking the yellow metal to its lowest level since October 10.
- Despite the move on the back of the strong US dollar, Deutsche Bank remains bullish on gold long-term, supported by a higher rate of central bank accumulation.
- From a technical standpoint, the trend condition in gold remains bullish and the latest pullback appears corrective.
- However, today’s sell-off has delivered a print below the 50-day EMA, at $2,646.2, turning attention to $2,604.9, the Oct 8 low.
- Silver has also fallen by a further 2.2% to $30.6/oz on Monday, narrowing the gap towards $30.269, a trendline support.
