LATAM FX: Price Signal Summary – USDCLP Bear Cycle Extends

Call buying continues as underlying continues to extend post-data rally (TYH5 108-06.5 +27). First projected rate cut back to July now with June nearly there.

• 13,000 TYH5 109 calls, 32 ref 108-05, total volume over 23,000
• over 9,700 TYH5 110 calls, 16 last ref 108-04.5
• 11,000 TYG5 106/107 put spds 4 ref 108-03.5

ECB-dated OIS are up to 5bps more dovish through the blues following the softer-than-expected US CPI report, with 96bps of cuts now priced through year-end.

• 25bp cuts remain essentially fully priced for the January and March meetings, with 15bps of sequential easing priced through into April and March respectively.
• Euribor futures are +3.0 to +12.0 ticks through the blues, with the greens leading.
• ERZ5 has retraced all of this week’s sell-off, currently +7.5 ticks at 97.90.
• The MNI Policy Team’s latest sources piece assesses the inflationary risks stemming from recent gas price increases.
• Tomorrow’s regional data calendar includes final December CPI from Germany and Italy and Eurozone trade balance data for November. The accounts of the ECB’s December meeting are also due.

• The US Emini (ESH5) is seeing is single biggest since the last Core PCE on the 20th December and the last FOMC from the 18th December.
• The contract has fully cleared pre NFP levels, and now sees the next upside resistance at 5987.43 50-day EMA and a pivot resistance.
• There'll be some decent focus on the Cash open in just over 15 minutes, and look out for potential Program orders.