US TSYS: Late SOFR/Treasury Option Roundup: Mixed as Rate Cut Pricing Cools
Jan-31 19:35
Option desks reported vol structure sales and carry-over mixed SOFR & Treasury flows Friday. Weaker underlying futures are near overnight lows in late trade, Tsy curves little steeper (2s10s +1.187 at 31.884). Projected rate cuts through mid-2025 receded vs. early Friday (*) levels as follows: Mar'25 at -3.9bp (-4.2bp), May'25 at -11.8bp (-12.3bp), Jun'25 at -22.6bp (-24.0), Jul'25 at -28.5bp (-29.5bp).
- SOFR Options:
- +4,000 0QH5/2QH5 96.25 call spds, 1.38 steepener
- 9,750 SFRU5 95.37/95.62/95.87 put flys
- Block/screen, 8,000 SFRZ5/2QZ5 97.00 call spds, 0.5 front Dec over
- +10,000 SFRM5 95.50/95.62 put spds, 0.5 vs. 95.88/0.05%
- +4,000 0QG5 96.00/96.37 1x2 call over risk reversals, 0.0 ref 96.135
- -10,000 0QM5 96.25/96.75/97.25 call flys, 8.0 vs. 96.105/0.12%
- +2,500 0QJ5 95.43/95.50 2x1 put spds, 2.0 vs. 96.09/.05%
- -4,000 0QH5 96.00/96.37 1x2 call over risk reversals, 2 net ref 96.12
- 3,000 SFRU5 96.25/96.50/96.62/96.87 call condors, 2.75 ref 96.03
- -2,500 0QG5 96.12 straddles, 17.5 ref 96.11
- +7,500 SFRJ5 95.68/95.75/95.81/95.87 put condors, 2.25 vs. 95.90/0.05%
- 1,750 SFRZ5 93.75/94.25/94.50/94.75 broken put condors ref 96.095
- 1,750 2QH5 96.06 straddles ref 96.065
- 1,250 SFRJ5 96.00/96.31/96.43 broken call trees
- 1,200 2QH5 95.50/95.75 put spds vs. 96.12 calls
- 1,400 SFRH5 95.62/95.75/95.81 put flys
- Treasury Options:
- -6,000 TYH5 108.25/110.25 strangles, 34
- +10,000 wk1 FV 106/106.25 put spds, 4 ref 106-19.5
- +7,500 TYK5 109 straddles 2-33 vs. -15,000 TYK5 105/113 strangles at 26 (1-45 net on the 1x2 iron fly, ref 109-05)
- 2,000 FVH5 105.5/106.25 put spds, 13 ref 106-18.25
- 4,000 TYH5 108 puts vs. wk1 TY 108.5 puts, 5 net ref 109-05
- Block, 4,000 TYH5 108/109/110 call flys, 16 vs. 109-09.5/0.05%
- 1,800 TYH5 107/108.5 put spds ref 109-03.5
- over 6,000 FVH5 107.25/108.25 1x2 call spds vs. 12,000 104 puts
- +5,000 TYH5 105/107 2x1 put spds, 5 vs 108-31.5 to 109-01.5/0.08%
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US TSYS: Tsy Curves Look To Finish 2024 at June'22 Highs
Dec-31 19:18
- Treasuries look to finish the last trading session of 2024 lower after reversing Tuesday morning support. Markets closed Wednesday for New Years day, resume full trade Thursday.
- The Mar'25 10Y contract trades 108-25.5 (-5.5) late in the day, 10Y yield near session high of 4.5871%. Curves bounced off flatter levels, 2s10s climbing to 34.344 -- the highest level since June 2022.
- Short end support, in turn, helped projected rate cuts into early 2025 gain momentum vs. late Monday levels (*) as follows: Jan'25 steady at -2.8bp, Mar'25 -14.6bp (-13.6bp), May'25 -20.6bp (-19.5bp), Jun'25 -29.8bp (-28.8bp).
- No substantive reaction to this morning's housing and regional Dallas Fed services activity data. Looking ahead to Thursday data (prior, est): Initial Jobless (219k, 221k) and Continuing Claims (1.910M, 1.890M) at 0830ET; S&P Global US Manufacturing PMI (48.3, 48.3) at 0945ET; Construction Spending MoM (0.4%, 0.3%) at 1000ET.
- Treasury supply: $85B 4- & $80B 8W bill auctions at 1130ET, $64B 17W bill auction at 1300ET.
COMMODITIES: WTI Futures, Gold Holding Higher
Dec-31 18:47
WTI futures are trading higher today as the contract extends recent gains. A stronger reversal to the upside would refocus attention on key short-term resistance at $76.41, the Oct 8 high. Initial firm resistance is unchanged at $71.97. A bear threat in Gold remains present. The yellow metal traded sharply lower on Dec 18 and the move undermines a recent bull theme. A resumption of weakness would open key support at $2536.9, the Nov 14 low.
- WTI Crude up $0.9 or +1.27% at $71.88
- Natural Gas down $0.32 or -8.13% at $3.618
- Gold spot up $19.24 or +0.74% at $2625.86
- Copper down $6.95 or -1.7% at $402.3
- Silver down $0.1 or -0.34% at $28.8383
- Platinum up $3.96 or +0.44% at $908.02
US STOCKS: Late Equity Roundup: Tech & Interactive Media Sectors Underperforming
Dec-31 18:36
- Stocks are trading near session lows after reversing early session gains. Though off this year's record highs (SPX Eminis 6178.75, DJIA 45,073.63, Nasdaq 20,204.58) major averages will finish the year with double digit gains: SPX Eminis +19.5%, DJIA +13.1%, while the Nasdaq gained 29.9%!
- Currently, the DJIA trades down 92.19 points (-0.22%) at 42474.46, S&P E-Minis down 28 points (-0.47%) at 5929.75, Nasdaq down 147 points (-0.8%) at 19337.13.
- Information Technology and Communication Services shares underperformed continued to underperform late Tuesday, shares of software and semiconductor makers weighing on the tech sector: Nvidia -1.61%, Advanced Micro Devices -1.36%, Crowdstrike Holdings -1.28%.
- Interactive media and entertainment shares weighed on the Communication Services sector: Alphabet -0.9%, Live Nation -0.76%, Netflix -0.60%, Meta -0.41%.
- On the positive side, Energy and Materials sectors outperformed in the second half, oil & gas stocks buoyed the Energy sector as crude prices continued to rise (WTI +1.0 at 71.99): APA Corp +3.59%, Marathon Petroleum +2.46%, Occidental Petroleum +2.15%.
- Meanwhile, shares of chemical & fertilizer makers supported the Materials sector: Mosaic +2.44%, Celanese +1.42%, Dow +1.37%.
- Looking ahead, the next round of quarterly earnings kicks off mid-January with Blackrock, Bank of NY Melon, Wells Fargo, JP Morgan, Goldman Sachs, Citigroup, US Bancorp, M&T Bank and PNC all reporting between January 13-16.
