US TSYS: Late SOFR/Treasury Option Roundup
Feb-21 19:54
SOFR & Treasury option flow leaned towards upside calls Friday - well ahead of the strong risk-off bid on renewed concerns over new Covis strain from China with pandemic potential. Decent positioning ahead March Tsy option expiration after the close. Of note, April 10Y puts sold over call spread blocks this morning is a partial unwind of Thursday's +50k TYJ5 108 put vs. 110.5 calls - while going short the 111.5 call. Projected rate cuts through mid-2025 look steady to mildly firmer vs. early Friday levels (*) as follows: Mar'25 at -1.4bp (-0.5bp), May'25 at -8.9bp (-5.8bp), Jun'25 at -20.0bp (-15.7bp), Jul'25 at -26.6bp (-21.1bp).
- SOFR Options:
- +4,000 SFRU5 95.43 puts w/ SFRZ5 96.75 call strangle 15.0
- +6,000 SFRZ5 96.50/97.00/97.50 call strip 31.0, ref 96.04
- +3,000 SFRZ5 95.00/95.50 put spds, 4.25 ref 96.04
- +10,000 SFRU5 96.12/96.50/96.87 call flys, 3.25 ref 95.96
- +5,000 2QH5 96.25/96.50 call spds, 3.5 ref 96.105
- +5,000 SFRJ5 95.56/95.62/95.68 put flys, 0.5 vs 95.825/0.05%
- Block, 9,105 SFRU5 96.25 calls, 11.5 vs. 95.95/0.27%
- Block, 7,500 SFRZ5 96.50/96.75 call spds, 4.0 ref 96.01
- 5,000 SFRU5 96.00/96.50/97.00 call flys ref 95.94
- 2,000 0QM5 96.12/96.37 call spds ref 96.07
- 9,500 SFRM5 95.81/95.87/95.93 call flys ref 95.83
- 2,000 SFRU5/SFRZ5 95.62/95.75 put spd spds
- Treasury Options:
- +20,000 wk4 TY 111 calls, 1 ref 109-18
- Block, +15,000 wk4 TY 110 calls, 5
- -3,800 TYK5 108.5/110.5 strangles, 112
- Blocks, total -13,700 TYJ5 108 puts 6 over TYJ5 110.5/111.5 call spds
- 2,800 TYK5 106.5/108.5 put spds ref 109-06.5
- 1,300 FVH5 106.5 straddles, 10.5 ref 106-16.75
- over 8,600 TYH5 109 puts, 1
- over 6,000 TYJ5 110 calls, 23 last
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US TSY OPTIONS: BLOCK: Mar'25 10Y Calls
Jan-22 19:52
- 11,000 TYH5 113 calls 1 vs. 108-08.5/0.03% at 1445:11ET
COMMODITIES: Gold Extends Gains, Crude Edges Down
Jan-22 19:49
- Spot gold has risen by a further 0.4% to $2,756/oz on Wednesday, bringing the yellow metal to its highest level since October 31.
- The gains come as President Trump widened his tariff threats to include China and the EU, with talk of a 10% tariff being imposed on China.
- The clear break of key short-term resistance at $2,726.2, the Dec 12 high, this week strengthens a bullish theme and signals scope for an extension near-term. Sights are on $2,790.1, the Oct 31 all-time high.
- Meanwhile, WTI lost some ground on the day, with outages on the US gulf coast bearish for oil. However, it has struggled for clear direction, with earlier movement driven by Trump comments towards the war in Ukraine.
- WTI Mar 25 is down by 0.5% at $75.4/bbl.
- The prospect of 25% tariffs on imports from Canada starting February 1 is an upside risk to US fuel prices.
- The trend structure in WTI futures remains bullish despite the latest pullback, with attention on $79.48, the Apr 12 ‘24 high.
- Support to watch is the 20-day EMA, at $74.20.
- Henry Hub has surged today, supported by updated weather forecasts of colder temperatures ahead.
- US Natgas Feb 25 is up by 5.8% at $3.97/mmbtu.
US STOCKS: Late Equities Roundup: Holding Near Record Highs, Earnings Resume
Jan-22 19:37
- Stocks are drifting near midday highs late Wednesday semiconductor stocks helping SPX Eminis climb back near early December all-time highs (6178.75).
- Currently, the DJIA trades up 110.69 points (0.25%) at 44137.46, S&P E-Minis up 41.25 points (0.68%) at 6126, Nasdaq up 251.1 points (1.3%) at 20009.01.
- Information Technology and Communication Services sectors continued to outperform in the second half, chip stocks supporting the former as noted: Monolithic Power +8.53%, Nvidia +4.63%, Lam Research +3.66%, while Applied Materials gained 3.01%.
- Interactive media and entertainment stocks led gainers in the Communication Services sector: Netflix still up over 10% after some profit taking in the second half as subscriptions soar, Warner Bros +2.35%, Meta +1.77%.
- On the flipside, Utilities and Real Estate sectors continued to underperform in late trade, gas and multi-energy providers weighing on the former: Dominion Energy -4.54%, PG&E -3.01% while Edison International declined 3.63%.
- Investment trusts, particularly health care and industrial REITs weighed on the Real Estate sector: Ventas -2.95%, Healthpeak Properties -2.56% and Prologis -2.0%.
- Earnings expected to be announced after the close include: Steel Dynamics, Discover Financial Services, Hexcel Corp, Alcoa Corp, Knight-Swift Transportation and Kinder Morgan Inc.
