FED: Key Inter-Meeting Fed Speak – Mar 2025

SOFR & Treasury option flow still leaning towards downside puts late Tuesday with some sporadic call trade reported. Relatively staid action ahead of Wednesday's key CPI inflation data. Underlying futures near session lows, curves bear steepen with short end rates outperforming. Projected rate cuts through mid-2025 look steady to mildly softer vs. this morning levels (*) as follows: Mar'25 at -1.4bp (-1.6bp), May'25 at -6.3bp (-6.8bp), Jun'25 at -14.8bp (-1539bp), Jul'25 at -19.6bp (-20.6bp).

• SOFR Options:
  • +5,000 0QG5 95.87/96.00 put spds 3.0 ref 96.025
  • -5,000 2QH5 95.87 puts, 5.0 vs. 96.055/0.26%
  • 5,000 SFRM5 95.75/95.81/95.87 call flys
  • +10,000 0QH5 96.50 calls, 1.5 vs. 96.04/0.10%
  • +2,000 0QG 95.81/95.93/96.00 2,3,1 put flys 3.5 ref 96.02
  • +7,500 SFRN5 95.56/95.75/95.93 put flys 6.5 ref 95.915
  • -3,000 SFRM5 95.75/96.12 put over risk reversal, 2.25 vs. 95.80/0.54%
  • +7,500 0QG 96.06 puts, 7.5 ref 96.02
  • 13,300 0QN5 95.75 puts vs. 96.06/96.50 call spds, 0.0 net ref 96.04
  • 2,500 SFRM5 95.81/95.93/96.18 2x3x1 call flys ref 95.82
  • 4,000 SFRH5 95.62/95.68 put spds ref 95.71
  • 1,750 SFRH5 95.68 puts vs. 95.75/95.81 call spds
  • 2,500 SFRJ5 95.68/95.75/95.81 put flys ref 95.825
  • 1,500 0QM5 96.25/96.50/96.75 call flys ref 96.05
• Treasury Options:
  • -25,000 TYH5 109 puts, 28 (unwind of +20k from 18-20 yesterday)
  • 6,000 TYH5 108.5 puts, 15 ref 108-31.5
  • 3,500 TYK5 111/113 call spds ref 108-30.5
  • 3,300 TYH5 106/107 put spds ref 108-30.5
  • 3,850 TYH5 108.5/109.25 strangles, 36 ref 108-30
  • 1,200 TYH5 107/108 2x1 put spds
  • 4,300 FVH5 105.25/105.5 put spds
  • 5,000 USH5 112 puts, 6 ref 114-26
  • 2,000 TYH5 109.5/110.5 1x2 call spds
  • 1,200 TYH5 107/107.5 3x2 put spds
  • 2,200 TYJ5 107/108.5 put spds ref 109-01

Several contacts cited prominent headlines that Ukraine was contemplating swapping territory with Russia as part of a peace deal for USD selling in the last half hour of trade. MNI is not seeing any substantive headline driver (BBDXY falls 0.2% to 1298.78 low, bounces to 1300.35 last), which also sees Tsys bounce mildly while Equities inch higher.

• The coincident AFP headline that potentially triggered the strength in the Euro and Euro equity futures starting at 14:28ET - " Ukraine prepared to offer territory swap with Russia: Zelensky" - is actually a rehash of a Guardian interview with Zelensky that happened hours earlier.
• It's plausible the resurfacing of this news triggered algorithmic trading - the move has largely reversed. Otherwise we don't have much of an explanation from a headline perspective.

• RES 4: 162.70 High Jan 28 
• RES 3: 161.40 50-day EMA   
• RES 2: 160.50 20-day EMA
• RES 1: 157.97/158.86 Low Feb 3 / High Feb 6
• PRICE: 157.62 @ 16:14 GMT Feb 11  
• SUP 1: 155.61 Low Feb 10 
• SUP 2: 155.19/15 3.0% 10-dma envelope / Low Sep 16 ‘24
• SUP 3: 154.42 Low Aug 5 ‘24 and key medium-term support
• SUP 4: 153.87 Low Dec 14 ‘23  

Prices are off lows, but a bear cycle in EURJPY remains present and last week’s move down reinforces current conditions. The cross cleared 158.24, 76.4% of the Dec 3 - 30 bull cycle, and pierced 156.18, the Dec 3 low and key support. A continuation lower would open 155.15, the Sep 16 ‘24 low. Initial firm resistance to watch, and a pivot level, is 161.40, the 50-day EMA. The short-term trend is oversold, gains would allow this condition to unwind.