SNB: Schlegel Sticking To Prior Rhetoric But STIR Prices In More Easing
SNB President Schlegel appears to be sticking to prior rhetoric in his interview with Swiss broadcaster SRF to be published today 9:15pm according to some preliminary headlines which appeared on Bloomberg. The headlines continue to lean dovish, but we would argue they reiterate Schlegel's prior communication:
- "IF NEEDED, EASING SHOULD BE DONE QUICKLY" note that he opposed any "dry powder" arguments at the press conference following the 50bp cut December meeting.
- "MONTHLY INFLATION DATA MAY DIP BELOW ZERO" also lines up with December meeting commentary
- "SWISS INFLATION TO BE RELATIVELY LOW THIS YEAR" in line with the conditional inflation forecast seeing Q1 average inflation at only 0.3% Y/Y.
Swiss STIR pricing meanwhile appears to have taken the commentary with a dovish tilt, with the Dec-25 3m SARON future pricing in around 3bp more easing since the headlines were released, for a current 99.90. However, note that SARON liquidity is likely limited at the moment given timing on the day.
EURCHF remains unchanged since the comments, hovering just above 0.9450 and down 0.58% on the session.
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USDCAD TECHS: MA Set-Up Highlights A Dominant Uptrend
- RES 4: 1.4578 2.0% 10-dma envelope
- RES 3: 1.4539 3.382 proj of the Oct 17 - Nov 1 - 6 price swing
- RES 2: 1.4508 3.236 proj of the Oct 17 - Nov 1 - 6 price swing
- RES 1: 1.4467 High Dec 19
- PRICE: 1.4411 @ 16:08 GMT Dec 27
- SUP 1: 1.4301 Low Dec 18
- SUP 2: 1.4209/4041 20- and 50-day EMA values
- SUP 3: 1.3928 Low Nov 25 and a key support
- SUP 4: 1.3822 Low Nov 6
USDCAD bulls remain in the driver’s seat and the pair is holding on to the bulk of its recent gains. The recent breach of 1.4178, the Nov 26 high, confirmed a resumption of the uptrend and note that moving average studies are in a bull-mode position, highlighting a dominant uptrend. Sights are on 1.4508 next, a Fibonacci projection level. Initial firm support to watch lies at 1.4209, the 20-day EMA. A pullback would be considered corrective.
AUDUSD TECHS: Trend Structure Remains Bearish
- RES 4: 0.6550 High Nov 25
- RES 3: 0.6482 50-day EMA
- RES 2: 0.6429 High Dec 12
- RES 1: 0.6337/6370 Low Dec 11 / 20-day EMA
- PRICE: 0.6215 @ 16:07 GMT Dec 27
- SUP 1: 0.6199 Low Dec 19
- SUP 3: 0.6158 1.236 proj of the Sep 30 - Nov 6 - 7 price swing
- SUP 3: 0.6100 Round number support
- SUP 4: 0.6045 1.500 proj of the Sep 30 - Nov 6 - 7 price swing
The trend needle in AUDUSD continues to point south and the pair is trading closer to recent lows. Recent weakness maintains the price sequence of lower lows and lower highs. Note that moving average studies are in a bear-mode position too, highlighting a dominant downtrend. Scope is seen for an extension towards 0.6158 next, a Fibonacci projection. Initial firm resistance to monitor is 0.6370, the 20-day EMA.
US TSYS: Lat SOFR/Treasury Option Roundup
Decent SOFR & Treasury option flow leaned towards low delta Tsy puts while SOFR options focused on upside calls as short end rates rebounded, helping projected rate cuts into early 2025 gain slightly vs. this morning levels (*) as follows: Jan'25 steady at -2.7bp, Mar'25 -13.3bp (-13.1bp), May'25 -18.5bp (-17.7bp), Jun'25 -26.5bp (-25.7bp).
- SOFR Options:
- Screen/Block +60,000 SFRM5 96.12/96.62 call spds 3.0-3.25 over 95.56 puts vs. 95.92/0.36%
- +5,000 SFRH5 96.00 calls, 4.0 vs. 95.81/0.24%
- +3,000 0QF5/0QH5 96.00/96.12/96.25 call tree strip, 10.5 total (+1 leg 0QF, +2 legs 0QH)
- +2,500 0QH5 96.00/96.50 1x2 call spds, 7.5 vs. 95.995/0.14%
- +2,500 SFRH5 96.25 calls, 2.25 ref 95.815
- -2,500 SFRG5/SFRH5 96.00 call strip, 6.0 vs. 95.80/0.38%
- -3,000 SFRZ5 96.00 puts, 39.0 vs. 95.995/0.50%
- +2,500 SFRZ5 95.61/96.12 2x1 put spds, 2.0 ref 96.01
- +2,000 0QH5 96.00 puts. 22.0 vs. 95.995/0.51%
- +5,000 SFRM5 96.62/96.87 call spds, 1.5 vs. 95.91
- +5,000 SFRM5 98.00 calls, 1.5
- +2,500 SFRJ5 96.00/96.50 call spds, 8.0
- 2,400 SFRU5 96.12 calls ref 95.96
- 1,000 0QF5 95.87/96.00/96.12/96.25 put condors ref 95.99
- 4,000 0QH5 96.12/96.37 call spds ref 95.98
- 1,000 0QH5 95.37/95.50/95.75 broken put flys
- Treasury Options:
- 2,500 TYG5 111/111.5 call spds ref 108-18
- 2,100 FVG5 107/108 call spds ref 106-03.75
- 1,000 USG5 122/125 1x2 call spds
- over 5,800 TYG5 104 puts, 3 ref 108-16.5
- over 4,400 TYF5 108.5 puts, 5 last
- over 4,200 TYF5 108.25 puts, 1 last
- 3,200 TYG5 104 puts, 3 last
- 3,000 TYG5 111/112 call spds ref 108-21.5
- 2,500 FVF5 106.25 calls, 1 ref 106-04.5
