US TSYS: Late SOFR/Treasury Option Roundup
Option desks report better downside put trade on net -- well ahead of Chairman Powell's comments at NABE conf that weighed heavily on markets. SOFR White pack (SFRZ4-SFRU5) currently -0.090-0.135, while projected rate cuts into early 2025 recede vs. early morning levels (*): Nov'24 cumulative -34.1bp (-35.1bp), Dec'24 -68.9bp (-71.4bp), Jan'25 -100.6bp (-103.4bp). Salient trade includes:
- SOFR Options:
- -10,000 SFRV4 95.75/95.93/96.06/96.25 call condors, 11.0 ref 96.005
- +8,000 SFRV4 95.87/95.93/96.00 put flys, 1.25 vs. 95.975/0.05%
- +6,000 2QZ4 96.62/97.00 2x1 put spds vs 2QV4 96.68/96.93 2x1 put spds, 1.25
- Block, +5,000 SFRZ4 95.68/95.81 2x1 put spds 1.0 net ref 96.00 at 0854:53ET
- +5,000 SFRZ4 96.00/96.25 call spds 8.0
- +9,000 SFRZ4 95.93/96.00/96.06 put flys, 0.5
- +5,000 SFRX4 96.12/96.37 cal spds 2.0 over 2QX4 97.25/97.37 call spds
- over 28,000 SFRX4 95.81/95.93 put spds ref 96.005
- 2,500 SFRV4 95.75/95.81/95.87 put trees ref 96.00
- 5,000 SFRV4 96.06/96.25 call spds ref 95.995
- Block, 15,000 SFRV4 96.12/96.18 call spds 1.25 vs. 96.005/0.07%
- 3,000 SFRX4 96.12/96.25/96.31/96.43 call condors ref 95.985
- Block, 3,000 SFRH5 95.43/95.50 put spds 0.5 vs. 96.51/0.05%
- 1,000 SFRZ4 95.68/95.75/95.75 & SFRZ4 95.75/95.81/95.93 2x3x1 put flys
- Block/screen, 15,000 SFRZ4 95.25/95.75/96.25 put flys, 25.0 ref 95.995 to 96.00
- Block, 5,000 SFRH5 96.50/97.00 call spds vs. 2QH5 97.50/98.00 call spds, 9.0 net steepener
- Block/screen 13,000 SFRV4 96.18/96.25 call spds
- 4,000 0QZ4 96.50 puts, 4.0 ref 97.085
- Treasury Options:
- 3,000 wk1 TY/TYX4 114 put spds, 13 ref 114-19
- 4,500 wk2 10Y 113/114 3x2 put spds, 30 net ref 114-13.5
- 3,000 TYX4 115/116/117 call flys ref 114-15.5
- 2,300 TYX4 113 puts, 10 last
- 3,000 Wednesday wkly 10Y 114 puts, 3 ref 114-16.5
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
USDCAD TECHS: Trend Direction Remains Down
- RES 4: 1.3739 High Aug 15
- RES 3: 1.3670 50-day EMA
- RES 2: 1.3616 20-day EMA
- RES 1: 1.3519 High August 26
- PRICE: 1.3498 @ 16:52 BST Aug 30
- SUP 1: 1.3441 Low Aug 28
- SUP 2: 1.3420 Low Mar 8
- SUP 3: 1.3358 76.4% retracement of the Dec 27 - Aug 5 bull leg
- SUP 4: 1.3288 Low Jan 5
USDCAD bears remain in the driver’s seat and the pair is trading at its recent lows. The latest impulsive sell-off reinforces the current bearish condition and moving average studies are unchanged and remain in a bear-mode set-up. Furthermore, 1.3589, the Jul 11 low, has recently been cleared, strengthening a bearish theme. Sights are on 1.3358, a Fibonacci projection. On the upside, initial firm resistance to watch is at 1.3616,the 20-day EMA.
AUDUSD TECHS: Bullish Theme
- RES 4: 0.6900 High Jun 16 ‘23
- RES 3: 0.6871 High Dec 28 and a key resistance
- RES 2: 0.6839 High Jan 2
- RES 1: 0.6824 High Aug 29
- PRICE: 0.6760 @ 16:49 BST Aug 30
- SUP 1: 0.6700/6661 20- and 50-day EMA values
- SUP 2: 0.6571 Low Aug 15
- SUP 3: 0.6508/6350 Low Aug 8/ 5 and the bear trigger
- SUP 4: 0.6339 Low Nov 10’23
A bull cycle in AUDUSD remains intact despite the weakness into the Friday close. The pair is holding on to its latest gains and the most recent move higher has resulted in a print above 0.6799, the Jul 11 / Aug 23 high and a bull trigger. A clear break of this hurdle would strengthen a bullish theme and pave the way for an extension towards 0.6871, the Dec 28 ‘23 high and the next key resistance. Initial firm support to watch lies at 0.6700, the 20-day EMA.
EURJPY TECHS: Copy - Trend Condition Remains Bearish
- RES 4: 167.53 Low Jun 14
- RES 3: 164.82 50-day EMA
- RES 2: 164.06 200 DMA
- RES 1: 163.89 High Aug 15
- PRICE: 161.32 @ 16:48 BST Aug 30
- SUP 1: 159.79 Low Aug 12
- SUP 2: 157.30/154.42 Low Aug 6 / 5 and the bear trigger
- SUP 3: 153.87 Low Dec 14 ‘23
- SUP 4: 153.23 Low Dec 7 ‘23 and a key support
The trend outlook in EURJPY is bearish and this is reinforced by moving average studies that remain in a bull-mode set-up. The recovery that started Aug 5 has allowed an oversold condition to unwind. The cross has pierced resistance the 20-day EMA. A clear break of it would expose resistance at the 50-day EMA, at 164.82. For bears, a stronger reversal lower would signal the end of the correction and open 154.42, the Aug 5 low.
