POLAND: NBP Leave Key Rate Unchanged at 5.75%, as Expected

• +4,335 UXYM5 114-02, buy through 114-01 post time offer at 0733:50ET, DV01 $395,000. The 10Y ultra contract trades 114-01 last (-7).

Large SOFR and Treasury options trades reported overnight, Tsys mixed aside from large TYK5 112 call buy recently, SOFR options leaning toward puts structures - mostly Mar'25 and Apr'25 expirys covering the next FOMC annc on the 19th, while large Dec'25 put fly targeting over 50bp in rate hikes by year end. Underlying futures lower after climbing to near new 6-wk highs amid ongoing focus on global trade last week. Projected rate cuts through mid-2025 consolidating vs. late Friday levels (*) as follows: Mar'25 at -1.4bp (-1.6bp), May'25 at -7.9bp (-9.4bp), Jun'25 at -22.7bp (-25.7bp), Jul'25 at -32.4bp (-36.1bp).

• SOFR Options:
  • over 24,700 SFRZ5 95.12/95.62/96.12 put flys ref 96.285
  • 2,000 0QM5/2QM5 96.75/97.75 call spd spd
  • Block, 10,000 SFRH5 95.68/95.75 2x1 put spds 3.0 ref 95.7025
  • 3,000 SFRH5 95.62 puts vs. 95.81/95.87 call spds
  • 1,900 0QZ5 93.75/94.37/95.00 put flys ref 96.39
  • 6,500 SFRH5 95.68/95.75 call spds ref 95.7025
  • 10,000 SFRM5 95.62/95.68 put spds ref 95.925
  • Block/screen, 4,000 SFRJ5 95.62/95.75/95.81/95.87 broken put condors
  • Block, 18,966 SFRJ5 96.12/96.31/96.56/96.75 call condors, 1.25
• Treasury Options:
  • over +45,600 TYK5 112 calls, mostly 43
  • over 9,900 TYJ5 109 puts, 7 last
  • 1,500 TYK5 112/114 call spds 29 ref 110-31
  • 2,500 Wednesday Wkly 10Y 112/112.25 call spds ref 110-28.5, exp 3/5
  • +2,500 TYJ5 109/109.5/110.5 broken put fly, 13

• In the FI space, Bund futures have pulled back from their recent highs and the contract is trading sharply lower today. The move down undermines a recent bullish theme. A continuation lower would expose the next important support at 131.26, the Feb 19 low. Clearance of this level would be viewed as an important short-term technical break. Two important resistance points remain intact for now; 133.46, the Feb 28 high, and 133.71, the Feb 5 high.
• A bull cycle in Gilt futures remains intact and - for now - short-term weakness appears corrective. The contract has recently traded higher and this highlights scope for a test of resistance at 93.39, the Feb 13 high. It has been pierced, a clear break of it would open 93.83, the high on Feb 6 and a bull trigger. On the downside, key short-term support has been defined at 91.79, Feb 20 low. A break of it would highlight a bear threat.