US TSYS: Late SOFR/Treasury Option Roundup: Positioning Ahead Wednesday CPI
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
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USDJPY TECHS: Bulls Remain In The Driver’s Seat
- RES 4: 160.00 Round number resistance
- RES 3: 159.45 High Jul 12
- RES 2: 159.26 0.618 proj of the Sep 16 - Nov 15 - Dec 3 price swing
- RES 1: 158.87 High Jan 10
- PRICE: 157.90 @ 19:34 GMT Jan 10
- SUP 1: 156.60 20-day EMA
- SUP 2: 154.44 Low Dec 19
- SUP 3: 154.47 50-day EMA
- SUP 4: 153.16 Low Dec 17
USDJPY bulls remain in the driver’s seat and the pair is holding on to its recent gains. This week’s fresh cycle high, reinforces the bullish condition. The recent breach of 156.75, the Nov 15 high, confirmed a resumption of the uptrend and has paved the way for a move towards 159.45, the Jul 12 high. Moving average studies are in a bull-mode position highlighting a dominant uptrend. Initial firm support is 156.60, the 20-day EMA.
EURGBP TECHS: Resistance Cleared
- RES 4: 0.8471 61.8% retracement of the Aug 8 - Dec 19 downleg
- RES 3: 0.8448 High Oct 31 and reversal trigger
- RES 2: 0.8424 50.0% retracement of the Aug 8 - Dec 19 downleg
- RES 1: 0.8407 High Jan 9
- PRICE: 0.8386 @ 19:28 GMT Jan 10
- SUP 1: 0.8315/8284 50-day EMA / Low Jan 8
- SUP 2: 0.8263 Low Dec 31
- SUP 3: 0.8223 Low Dec 19
- SUP 4: 0.8203 Low Mar 7 2022 and a major support
EURGBP traded sharply higher last week. The cross has breached resistance at the 50-day EMA, at 0.8311, and cleared the December highs. This undermines the recent bearish theme and suggests scope for a stronger short-term recovery. Note too that 0.8376, the Nov 19 high and a key resistance, has also been cleared. This opens 0.8424, a Fibonacci retracement. Support at the 50-day EMA is at 0.8315.
GBPUSD TECHS: Bearish Trend Sequence
- RES 4: 1.2672 50-day EMA
- RES 3: 1.2607 High Dec 30
- RES 2: 1.2533/2576 20-day EMA / High Jan 7
- RES 1: 1.2367 High Jan 9
- PRICE: 1.2208 @ 19:13 GMT Jan 10
- SUP 1: 1.2187 Low Nov 10 2023
- SUP 2: 1.2138 Low Nov 2 ‘23
- SUP 3: 1.2087 0.764 proj of the Sep 26 - Nov 22 - Dec 6 price swing
- SUP 4: 1.2037 Low Oct 4 ‘23 and a key support
The trend condition in GBPUSD remains bearish and last week’s sell-off reinforces the bear trend - the break lower confirms a resumption of the downtrend. The move down also marks an extension of the price sequence of lower lows and lower highs. Note too that moving average studies are in a bear-mode position highlighting a dominant bear trend. Sights are on 1.2187 next, the Nov 10 2023 low. Initial resistance is at 1.2367, the Jan 9 high.
