STIR: BLOCK: April'25 SOFR Put Spread

Large SOFR and Treasury option volumes carried over from overnight, flow leaning towards downside puts - some targeting over 50bp in rate hikes by year end - fading the move higher in underlying futures. Projected rate cuts through mid-2025 gained some traction vs. this morning's levels (*) as follows: Mar'25 at -1.8bp (-1.4bp), May'25 at -10.2bp (-7.9bp), Jun'25 at -26.0bp (-22.7bp), Jul'25 at -35.3bp (-32.4bp).

• SOFR Options:
  • over 42,700 SFRZ5 95.12/95.62/96.12 put flys, 15-16.0 ref 96.285
  • +25,000 0QM5/0QU5 97.50 call spds, 4.0-4.25
  • +6,000 SFRZ5 95.75/96.00 put spds, 9.75 ref 96.275
  • +2,500 SFRM5 96.00 calls, 11.5 vs. 95.92/0.42%
  • -40,000 0QM5 96.37/97.00 call spds 16.0 to 15.0 over 0QM 95.37/95.62 put spds
  • +6,000 SFRZ5 96.25/96.75 call spds, 14.5
  • 2,000 0QM5/2QM5 96.75/97.75 call spd spd
  • Block, 10,000 SFRH5 95.68/95.75 2x1 put spds 3.0 ref 95.7025
  • 3,000 SFRH5 95.62 puts vs. 95.81/95.87 call spds
  • 1,900 0QZ5 93.75/94.37/95.00 put flys ref 96.39
  • 6,500 SFRH5 95.68/95.75 call spds ref 95.7025
  • 10,000 SFRM5 95.62/95.68 put spds ref 95.925
  • Block/screen, 4,000 SFRJ5 95.62/95.75/95.81/95.87 broken put condors
  • Block, 18,966 SFRJ5 96.12/96.31/96.56/96.75 call condors, 1.25
• Treasury Options:
  • +10,000 TYK5 109 puts, 20
  • over +75,000 TYJ5 107/108 put spds, 1 vs. 111-07.5/0.02%
  • Block, -22,000 TYJ5 112 calls, 19 vs. +25,000 TYJ5 112 calls, 4 and +7,500 TYJ5 109 puts, 7 vs. +2,200 TYM5 110-30
  • 2,500 TYK5 109/111 strangles
  • 2,000 FVK5 109/110 call spds ref 107-23.75
  • 10,000 Wednesday wkly 10Y 110.75 put vs. wk2 TY 111 calls, 24 net/wk2 over
  • over +45,600 TYK5 112 calls, mostly 43
  • over 9,900 TYJ5 109 puts, 7 last
  • 1,500 TYK5 112/114 call spds 29 ref 110-31
  • 2,500 Wednesday Wkly 10Y 112/112.25 call spds ref 110-28.5, exp 3/5
  • +2,500 TYJ5 109/109.5/110.5 broken put fly, 13

• RES 4: 161.35 61.8% retracement of the Dec 30 - Feb 10 bear leg     
• RES 3: 161.19 High Feb 13       
• RES 2: 159.65 50-day EMA and key short-term resistance 
• RES 1: 158.47 High Mar 3
• PRICE: 157.64 @ 16:29 GMT Mar 3 
• SUP 1: 155.93/154.80 Intraday low Low Feb 28
• SUP 2: 154.42 Low Aug 5 ‘24 and key medium-term support
• SUP 3: 153.87 Low Dec 14 ‘23
• SUP 4: 152.72 1.00 proj of the Jan 24 - Feb 10 - 13 price swing 

Monday’s strong rally in EURJPY undermines a recent bearish threat and instead highlights a potential developing reversal. The cross has traded above the 20-day EMA and this signals scope for an extension towards resistance around the 50-day EMA, at 159.65. Note that a major support at 154.42, the Dec 14 2023 low, remains intact. A break of this level is required to reinstate a bear theme.   

• Stocks remain weaker in late Monday trade, near second half lows amid some position squaring. Stocks consolidated after this morning's data, higher than expected ISM Prices Paid while ISM Mfg, Orders and Employment figures were lower than expected as Treasuries reversed early losses to new session highs.
• Currently, the DJIA trades down 304.55 points (-0.69%) at 43540.85, S&P E-Minis down 39.5 points (-0.66%) at 5925, Nasdaq down 202.6 points (-1.1%) at 18648.99.
• Energy and Information Technology sectors continued to underperform in late trade, the Energy sector weighed by falling crude prices (WTI -1.46 at 68.30 - following OPEC+ headlines announcing production hikes): laggers included APA -6.43%, ConocoPhillips -5.24%, Devon Energy -4.36% and Diamondback Energy -4.09%.
• Semiconductor makers continue to weigh on the Tech sector: Nvidia -6.97% (reportedly as "Singapore is investigating whether Dell Technologies Inc. and Super Micro Computer Inc. servers shipped to Malaysia housed Nvidia Corp. chips barred from China" Bloomberg reprted). Meanwhile, Enphase Energy -5.77%, First Solar -4.91% andf Broadcom -4.32%.
• On the positive side, Real Estate and Health Care sectors continued to outperform in late trade, investment trusts buoyed the former with Weyerhaeuser +4.68%, Welltower +2.14% and American Tower +2.02%. Viatris +3.30%, Stryker +2.42% and Medtronic +2.40%led gainers in the Health Care sector.
• Expected earnings announcements for Tuesday include Target Corp and AutoZone Inc before the open while Crowdstrike Holdings and Ross Stores report after the close.