FOREX: EURJPY Extends Intra-Day Slide to 1%
Feb-05 15:54
- Yen outperformance remains the key feature of the day in G10 currency markets, as core yields extends their slide lower in the aftermath of the US ISM Services data. This has bolstered the overnight theme, underpinned by the stronger-than-expected Japanese wage data, fostering a more hawkish BOJ narrative.
- Following the US data, EURUSD managed to match the 50-day EMA resistance to the pip, which has helped EURJPY to extend session lows in recent trade, currently down 1.00% on the session, comfortably back below the pivotal 160.00 mark.
- Price action sees the cross narrow the gap to Monday’s lows of 157.97, and in the process, markets will be paying more attention to more significant supports below. First of all, the trendline drawn from the August low intersects around 157.70, which if broken, would signal scope for a move towards 156.18, the Dec 3 low and a key support.
- Below here, greater attention will be on the medium-term cluster of support between 153.27 and 154.46, shown below. As we noted earlier, SocGen continue to favour EURJPY shorts, describing the deterioration in Eurozone growth expectations relative to Japan as “striking".
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US TSY FUTURES: BLOCK: Mar'25 2Y Buy
Jan-06 15:50
- +5,000 TUH5 102-24 (+.12), buy through 102-23.88 post time offer at 1040:36ET, DV01 $192,000. The 2Y contract trades 102-24.25 last
US DATA: Capital Investment Steadying Despite Downward Revisions
Jan-06 15:46
Factory orders came in stronger than expected in November when accounting for upward revisions in the final Manufacturers’ Shipments, Inventories, & Orders report, though core capital goods orders were slightly weaker than they first appeared.
- The 0.4% M/M fall in factory orders (vs -0.3% expected) was offset by an upward revision to October (+0.5% vs +0.2%), while ex-transportation growth came in at +0.2% for a second month (reflecting a 0.1pp upward revision to prior).
- Broader durable goods orders were revised down slightly (-1.2% vs -1.1% prelim), due to slower growth in machinery orders than previously estimated (-0.6pp to +0.4%). Core capital goods orders growth was revised down to 0.4% M/M from 0.1% (0.7% prelim), with core shipments down to 0.3% (0.5% prelim).
- The latter figures meant that while November was a fairly solid month in the context of a poor 2024 for core capital goods, the preliminary estimates painted an overly flattering picture.
- Despite the downward core revisions, we note the final data were still much better than expectations vs the preliminary release (core cap goods orders had been expected +0.1%), and we continue to regard the data as indicative of stabilizing domestic durable goods orders. That should translate into more solidity in broader business investment. Core capital orders have been positive for the past couple of months on a Y/Y basis (0.8% in Nov, after 0.7% in Oct), with shipments flat on a Y/Y basis (after 6 negative months).
- Though as broader surveys indicate (including ISM Manufacturing and MNI Chicago PMI), the manufacturing sector appears to have improved since a summer bottom even if activity remains weak.
US TSYS: Early SOFR/Treasury Option Roundup
Jan-06 15:44
Better SOFR & Treasury put option volume on net so far, SOFR more two-way as early underlying support reversed after Trump denied tempered tariff story by the Washington Post. Tsy options see huge Mar'25 10Y put buying. Projected rate cuts through mid-2025 look weaker vs. late Friday levels (*) as follows: Jan'25 at -2.3bp (-2.8bp), Mar'25 -11.8bp (-13.2bp), May'25 -16.8bp (-17.8bp), Jun'25 -25.8bp (-26.5bp).
- SOFR Options:
- -15,000 SFRZ5 95.25/95.75 2x1 put spds, 2.0 ref 96.02
- -3,000 2QH5 95.00/95.50 put spds 3.5 ref 95.98
- +6,000 0QZ5 97.00/98.00 call spds, 10.0 vs. 96.005/0.14%
- Block: 10,000 SFRU5 95.62/95.81 put spds 7.0 vs. 10,000 96.75/97.12 call spds, 4.5, 1.0 net package
- over 9,400 SFRH5 95.68 puts, 1.5 ref 95.82
- 2,000 SFRF5/SFRH5 95.87/96.00/96.06 broken call fly spd
- 2,000 SFRM5 97.00/98.00 call spds ref 95.935
- 4,000 SFRF5 95.75/95.81/95.87/95.93 put condors ref 95.80
- Treasury Options:
- over +100,000 (50k blocked) TYH5 106 puts, 14 ref 108-18.5
- 6,000 TYG5 106 puts, 2
- 4,500 TYG5 109.5 calls, 15 ref 108-17
- 2,250 TYG5 104 puts ref 108-15.5
- 4,700 TYH5 108 puts, 50 ref 108-15
