EMISSIONS: Siemens CEO Urges To Simplify Environmental Reporting Requirements

Aside from some decent SOFR call plays, better put volume on net reported in SOFR & Treasury options overnight. Underlying futures mildly lower/off lows. Projected rate cuts through mid-2025 continue to retreat, current vs. late Friday levels* as follows: Jan'25 steady at -0.7bp, Mar'25 -4.7bp (-6.3bp), May'25 -8.4bp (-10.5bp), Jun'25 -15.9bp (-18.2bp), Jul'25 -17.7bp (20.2bp).

• SOFR Options:
  • 5,000 SFRG5/SFRH5 95.87/96.06 call spd spds
  • 3,500 2QJ5 96.25/96.87 call spds ref 95.74
  • over 26,000 SFRU5 95.87/96.06 call spds vs. 95.25 puts ref 95.835
  • 2,000 SFRU5 96.50/97.00 call spds ref 95.835
  • +10,000 SFRU5 95.50/95.62 put spds, 3.5 ref 95.835 to -.85
  • 1,500 0QJ5/3QJ5 95.25 put spds 
  • Block, 4,100 SFRU5 96.12 puts, 45.5 ref 95.85
  • Block, 3,156 0QU5 96.12 puts, 58.0 ref 95.80
  • 5,200 0QG5 95.87/96.12/96.25 broken put trees ref 95.845
  • 3,000 SFRM5 95.75 puts ref 95.82
  • 2,000 SFRM5 96.12/96.37 call spds ref 95.825
• Treasury Options:
  • 2,500 FVH5 105.5/105.75/106/106.25 call condors
  • over 6,300 TYG5 108.5 calls, 6 last
  • 2,000 TYH5 106 puts, 28 last
  • 3,000 TYH5 106/107 put spds ref 107-08.5
  • 1,500 TYG5 107.5/109 put spds, 114 ref 107-08.5
  • over 4,700 FVH5 104.5 puts, 17 last
  • 4,600 FVG5 105.5 puts, 24.5 last
  • 4,400 FVH5 105 puts, 28 ref 105-11
  • 3,500 FVZH5 101.75 puts ref 105-14

• In the FI space, the trend in Bund futures remains bearish and last week’s extension reinforces this theme. The contract has cleared key support at 132.00, the Nov 6 low. The breach strengthens a bearish theme and sights are on the 130.00 handle next. Key short-term resistance is at 133.26, the 20-day EMA. Gains would be considered corrective and allow an oversold condition to unwind. First resistance is at 131.71, the Jan 9 high.
• The trend condition in Gilt futures is unchanged, it remains bearish and last week’s fresh cycle lows reinforce current conditions. The latest move down also highlights an acceleration of the trend. Sights are on 88.87 next, a 2.764 projection of the Dec 20 -27 - Jan 2 price swing. Initial resistance is at 90.31, last Thursday’s intraday high. Resistance at the 20-day EMA, is at 92.13. The EMA is seen as an important hurdle for bulls.

• With Cable testing the 1.2100 figure, immediate attention will now turn to 1.2087 0.764 proj of the Sep 26 - Nov 22 - Dec 6 price swing.
• GBPUSD has so far printed a 1.2100 low.