STIR: BLOCK: Sep'25 SOFR Put Spread

• RES 4: 6178.75 High Dec 6 ‘24 and key resistance   
• RES 3: 6166.50 High Jan 19
• RES 2: 6029.03 50-day EMA
• RES 1: 5924.0  Low Feb 25                 
• PRICE: 5805.25 @ 14:45 GMT Mar 4  
• SUP 1: 5784.00 Low Nov 4 ’24               
• SUP 2: 5730.00 Low Sep 18 ‘24
• SUP 3: 5698.25 Low 50.0% retrace of the Aug 5 - Dec 6 ‘24 bull leg
• SUP 4: 5658.00 Low Sep 12 ‘24     

A sharp sell-off in the S&P E-Minis contract this week, reinforces a short-term bear threat. The contract has traded to a fresh low and the move down has resulted in a print below the next key support at 5809.00, the Jan 13 low. A clear break of this level would highlight a stronger reversal and confirm a double top pattern on the daily scale. This would open 5784.00, the Nov 4 ‘24 low. Initial firm resistance to watch is 6029.03, the 50-day EMA.

Underlying futures continue to gain. Projected rate cuts through mid-2025 gaining vs. late Monday levels (*) as follows: Mar'25 at -3.1bp (-1.8bp), May'25 at -14.0bp (-10.2bp), Jun'25 at -31.9bp (-26.0bp), Jul'25 at -43.1bp (-35.3bp).

• Block, 15,000 0QM5 97.00/97.50 call spds 7.5
• +10,000 0QM5 97.00/97.50 call spds, 7.5 ref 96.01
• +5,000 SFRZ5 96.00 puts, 15.5
• -3,000 SFRZ5 96.43 straddles, 72.0 ref 96.415
• +5,000 SFRU5 97.00 calls 11.0 ref 96.275
• -5,000 SFRJ5 96.12/96.37 call spds, 3.75 ref 96.005
• +20,000 0QM5 97.00/97.50 call spds, 7.25 ref 96.565
• -30,000 0QM5 95.12/95.50 put spds .75 vs. 96.545 to -.535/0.06%
• -10,000 SFRN5 95.56/95.75/95.93 put flys, 4. ref 96.26
• -5,000 SFRZ5 96.25/96.50 call spds, 10.0 ref 96.41

Attention turns to the US Cash open, the Emini (ESH5) and the January 2025 low of 5809.00 just held, printed a 5812.00 low so far today, and finding some underlying bids ahead of the Open.

Cash SPX sees the January low standing at 5773.31, but the open will be some way short of that initial level, and Yesterday's low of 5810.91.

• Calls: SPX: 5,815.0 (-0.6%); DJIA: 43,020 (-0.4%/-171pts); NDX: 20,306.7 (-0.6%).