US STOCKS: Late Equities Roundup: Extending Lows, No Powell Put

Option desks reported better SOFR & Treasury put option volumes Monday as underlying futures retreated from midday highs, curves flatter with the short end underperforming. In turn, projected rate cuts through mid-2025 recede vs. morning levels (*) as follows: Mar'25 steady at -.2bp, May'25 at -6bp (-7.3bp), Jun'25 at -19.5bp (-22.5bp), Jul'25 at -28.7bp (-31.7bp).

• SOFR Options:
  • -5,000 0QM5/0Q0N5 96.75/97.00/97.25 call tree spd, 0.5net
  • +20,000 SFRM5 95.50 puts, 0.5 ref 95.90
  • +10,000 SRFK5 95.75/95.81/95.87 put flys 1.25 ref 95.895
  • -10,000 SFRN5 95.87 puts 1.0 over 96.37/96.75 call spds
  • Block, 10,000 SFRM5 95.68/95.75/95.81/95.87 put condors, 1.25
  • 5,000 SFRM5 95.81/95.93/96.06 call flys ref 95.91
  • +5,000 SFRM5 95.87 puts vs 0QM 96.06 puts, 1.75 net/front Jun over
  • +5,000 SFRM5 96.12/96.25/96.37/96.50 call condors, 1.0 ref 95.91
  • +20,000 SFRM5 95.68/95.81 put spds .5 over 95.87/96.06 call spds
  • 1,000 0QM5 96.43 straddles ref 96.46
  • over 7,000 SFRK5 95.68/95.75 put spds
  • 3,500 0QM5 96.56/96.75 call spds ref 96.415
  • 8,500 0QM5 96.31/96.56/96.75 broken call flys ref 96.415
• Treasury Options: (April options expire Friday)
  • 5,400 TYM5 107.5/110 2x1 put spds, 25 net ref 110-22
  • 5,800 FVJ5 107.75 puts, 12.5 ref 107-25
  • 17,750 TYM5 110 puts ref 110-22.5
  • Block: 15,000 TYM5 113.5 calls, 23 w/ 17,500 TYM5 107.5 puts, 14 w/ 2,000 TYM5 110-21
  • over 13,000 TYJ5 109 puts, 1 last ref 110-15.5
  • 1,300 TYJ5 109.75/110.75 2x1 put spds ref 110-25
  • 25,000 FVJ5 108.5 call, 3 ref 107-27
  • 30,000 TYJ5 110.75 calls, 21 ref 110-28.5
  • over 8,000 TYJ5 112.5 calls, 1 last
  • over 5,000 USK5 122/126 call spds, ref 117-04
  • 1,750 TYK5 114.5 calls ref 110-23.5

European core curves twist flattened sharply to start the week.

• Bunds outperformed Gilts amid reports that there are some last-minute uncertainties over Tuesday's special Bundestag session to pass the vaunted fiscal expansion package, though Chancellor Merz was reported to be expecting a clear majority in favour.
• Rising tensions between the U.S. and Yemen/Iran also helped a core long-end bid.
• Short-end instruments were little changed, ahead of this week's key central bank decisions (BoE and Fed).
• Periphery / semi-core EGB spreads tightened as equities gained. OAT spreads / Bund fell ~2bp after Friday's ratings affirmation by Fitch, to the tightest levels since July 2024.
• Tuesday's calendar includes German ZEW and Eurozone trade balance, with highlights later in the week including UK labour market data and, as mentioned, the BoE meeting.

Closing Yields / 10-Yr EGB Spreads To Germany

• Germany: The 2-Yr yield is up 0.4bps at 2.189%, 5-Yr is down 3bps at 2.472%, 10-Yr is down 5.8bps at 2.818%, and 30-Yr is down 8.6bps at 3.116%.
• UK: The 2-Yr yield is up 1.1bps at 4.193%, 5-Yr is up 0.1bps at 4.288%, 10-Yr is down 2.8bps at 4.638%, and 30-Yr is down 5.1bps at 5.218%.
• Italian BTP spread down 2.3bps at 110bps  / French OAT down 1.8bps at 67.4bps  
   

• RES 4: 0.8530 76.4% retracement of the Aug 8 - Dec 19 ‘24 bear leg         
• RES 3: 0.8494 High Aug 26 ‘24 
• RES 2: 0.8474 High Jan 20 and a key resistance
• RES 1: 0.8450 High Mar 11    
• PRICE: 0.8409 @ 16:27 GMT Mar 17 
• SUP 1: 0.8369/8342 Low Mar 14 / 50-day EMA    
• SUP 2: 0.8299/41 Low Mar 5 / 3 and a near-term bear trigger 
• SUP 3: 0.8223 Low Dec 19 and a key support  
• SUP 4: 0.8203 Low Mar 7 ‘22 and a lowest point of a multi-year range

A bull cycle in EURGBP remains in play and Friday’s bullish engulfing candle pattern signals a resumption of the trend and the end of the recent corrective pullback. Initial firm support to watch lies at 0.8342, the 50-day EMA. For bulls, a continuation higher and a break of 0.8450, the Mar 11 high, would open 0.8474, the Jan 20 high and the next key resistance. Clearance of this level would strengthen bullish conditions.