US TSYS: Late SOFR/Treasury Option Roundup: Put Unwinds, Call Adds
SOFR option volumes outpaced Treasury options Friday, the former saw better put unwinds/taking profits, others fading the reversal in underlying futures to buy cheaper calls, call spreads. Underlying futures are off session lows while projected rate hike pricing has consolidate: current levels vs. this morning (*) as follows: May'25 at -6bp (-8.2bp), Jun'25 at -22.2bp (-27.6bp), Jul'25 at -40.1bp (-48.9bp), Sep'25 -54.8bp (-67bp).
- SOFR Options:
- +5,000 0QN5 97.25/3QN5 96.87 call spds, 4.5-4.75 steepener
- -10,000 SFRU5 95.75/95.93 put spds, 5.75 ref 96.26
- +6,000 0QZ 97.50 calls, 17.5 ref 96.59
- +30,000 SFRU5 94.62/95.12 put spds, 0.5 ref 96.25
- -5,000 SFRM5 96.12 calls, 12.0-11.5 ref 95.95
- -10,000 SFRQ5 95.50/95.68/95.87 put flys, 3.25 ref 96.26
- -10,000 SFRN5 95.62/95.81/96.00 put flys, 3.75 ref 96.26
- +6,000 SFRZ5 96.25/96.37/96.43/96.56 call condors, 1.25 ref 96.495
- +10,000 SFRZ5 97.00/97.50 call spds, 9.5 ref 96.485
- +20,000 SFRU5 96.37/96.50 call spds, 3.75 ref 96.28
- -40,000 0QM5 97.00/97.50 call spds, 9.0-9.5 ref 96.69
- +10,000 SFRU5 96.37/96.50 call spds, 3.75 ref 96.32
- -6,000 2QU5 96.00/97.00 call over risk reversal, 6.0 vs. 96.50/0.45%
- +8,000 0QM5 97.00/97.25 call spds, 5.75 ref 96.705
- 5,000 SFRK5 96.25/96.50 call spds, 2.75 ref 95.97
- 5,000 SFRN5 96.50/97.00 call spds
- Block, 5,000 SFRK5 96.25/96.50/97.00 broken call flys on 1x1x1 ratio, 6
- Block, 27,440 SFRM5 96.18/96.25 call spds, 1.0 ref 95.995 to -.99
- 47,000 0QU5 97.25/97.68 call spds ref 96.745 to -.76
- 10,000 0QM5 95.87 puts ref 96.74
- Block, 3,000 SFRK5 95.75 puts, 1.25
- Block, 22,600 SFRU5 95.50 puts, 1.0-1.25 vs. 96.41/0.04%
- Block, 3,000 SFRZ5 97.75/98.50 2x3 call spds, 8.5 ref 96.555
- Block, 2,500 2QK5 96.75/96.93/97.06 broken call flys, 3.0 vs. 96.585/0.06%
- 5,900 0QK5 97.06/97.43/97.56 broken call flys ref 96.73
- 6,000 SFRZ5 97.50 calls ref 96.56
- 2,600 0QZ5 98.50/99.25 2x3 call spds ref 96.75
- Treasury Options
- 5,000 TYK5 109.5/111 call spds ref 109-23
- 11,000 USK5 107/107.5 call spds
- Block, 25,000 TYK5 109.25 puts, 33 ref 110-10
- over 9,000 USK5 112.5/114 put spds ref 113-18
- 1,500 TYK5 111/111.5 call spds vs. 109.5/110 put spds ref 110-09.5
- 3,000 TYK5 112/113 call spds, 7 ref 110-12
- 2,000 TYK5 113.5 calls, 5 ref 110-08 to -06
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GBPUSD TECHS: Bulls Remain In The Driver’s Seat
- RES 4: 1.3119 76.4% retracement of the Sep 26 ‘24 - Jan 13 bear leg
- RES 3: 1.3048 High Nov 6 ‘24
- RES 2: 1.2990 High Nov 8 2024
- RES 1: 1.2988 High Mar 12
- PRICE: 1.2939 @ 14:55 GMT Mar 12
- SUP 1: 1.2768 Low Mar 5
- SUP 2: 1.2718 20-day EMA
- SUP 3: 1.2605 50-day EMA and a short-term pivot support
- SUP 4: 1.2559 Low Feb 28
The trend in GBPUSD is unchanged, it remains bullish despite the fade off the intraday high. Moving average studies have recently crossed into a bull-mode position, highlighting a clear dominant uptrend. A Fibonacci retracement at 1.2924, 61.8% of the Sep 26 ‘24 - Jan 13 bear leg, has been pierced. A clear break of this level would open 1.2990, the Nov 8 2024 high. Initial firm support is 1.2618, the 50-day EMA. A pullback would be considered corrective.
US FISCAL: Rising Expenditures Keep Budget Deficit Ballooning
February's Federal budget balance came in almost exactly as expected at $307.0B ($308.0B survey), an increase from $296.3B in the same month of 2024. That brought the cumulative budget deficit through the first 5 months of the fiscal year (starting in Oct) to $1.147T - outpacing easily outpacing the previous year's total to this point of $828B, and exceeding even 2021's post-covid $1.05T for a new 5-month record.
- The wider February total is also despite a pickup in revenues ($296.4B vs $271.1B in Feb 2024), as expenditures maintained their strong recent record ($603.4B vs $567.4B in Feb 2024). February is seasonally one of if not the lowest revenue months of the year.
- Total receipts are up 1.9% Y/Y in the first 5 months of the current fiscal year compared with the same period a year earlier - but outlays are up 13.2% Y/Y.
- One of the categories causing expenditure to pick up is net interest, which came in at $74.2B, boosting the 12-month cumulative total to a fresh record $927B - roughly 3x the amount seen at the recent low in 2021.
- Absent a significant turnaround, the FY 2025 deficit is on pace to exceed the $1.9T projections made by the Congressional Budget Office's in mid-January, and the Office of Management and Budget's made in July 2024. Either way, it's set for an ex-Covid record.
US: Voters "Not Impressed" With Trump Handling Of The Economy - CNN
A new CNN survey has found that Americans are “not impressed” with Trump’s stewardship of the economy, “putting him underwater on the nation’s top issue even as he sees ratings among the best of his presidential career on other key priorities.”
- CNN notes: “As markets slide and investors worry in response to Trump’s trade policies, a 56% majority of the public disapproves of his handling of the economy, worse than at any point during his first term in office. By contrast, the 51% who now say they approve of his work on immigration – headlined by stricter enforcement efforts – is 7 points higher than at any point during his first term.”
- Morning Consult notes in a separate report: “Voters are roughly split on Trump’s handling of the economy and trade policy, marking double-digit declines in his net approval rating on those topics since he took office.”
- Morning Consult adds: “Just 19% of voters say Trump’s tariffs on America’s top trading partners are primarily about the flow of fentanyl into the U.S., which is the main reason he’s cited.”
Figure 1: "Do you approve or disapprove of the way Donald Trump is handling..."
Source: CNN
