AUDUSD TECHS: Trend Needle Points South

• Treasuries look to finish near the top end of the range Monday after marking session highs following much weaker than expected Chicago PMI data. Chicago Business Barometer™, produced with MNI slipped 3.3 points to 36.9 in December. This is the third consecutive monthly decline, with the index at its lowest since May 2024, and below the 2024 average.
• Higher than expected pending new home sales (2.2% vs. 0.8% est) and a jump in Dallas Fed mfg index data (3.4 vs. -3.0 est) tempered Tsy support by midmorning with the Mar'25 10Y contract trading around 108-30 (+16) through the second half, 10Y yield -.0806 at 4.5447% after the bell.
• Despite the pull-back, Projected rate cuts into early 2025 gained momentum vs. this morning, levels (*) as follows: Jan'25 steady at -2.8bp, Mar'25 -14.6bp (-13.6bp), May'25 -20.6bp (-19.5bp), Jun'25 -30.3bp (-28.8bp).
• Tuesday data (prior, est) includes FHFA House Price Index MoM (0.7%, 0.4%) and S&P CoreLogic CS 20-City MoM SA (0.18%, 0.20%) at 0900ET, Dallas Fed Services Activity (9.8, --) at 1030ET.
• Reminder for Tuesday's session: Rate futures have full session (1600ET close) while cash Tsys close at 1400ET. Still no decision from the CME Group regarding the "day of mourning" in honor of Pres Carter on January 9, while stocks and Federal Gov is closed.

• RES 4: 166.69 High Oct 31 
• RES 3: 166.18 2.0% 10-dma envelope  
• RES 2: 166.10 High Nov 6
• RES 1: 165.04 High Nov 15 and a key short-term resistance
• PRICE: 163.08 @ 16:11 GMT Dec 30
• SUP 1: 162.82 Low Dec 30   
• SUP 2: 162.22/159.82 20-day EMA / Low Dec 18
• SUP 3: 158.67 Low Dec 11
• SUP 4: 157.87 Low Dec 09

EUR/JPY faded into the European close Monday, but a bullish S/T condition remains intact for now. The cross is holding on to the bulk of its recent gains. Price has breached all the relevant Fibonacci retracement points of the bear leg between Oct 31 - Dec 3. Sights are on 165.04, the Nov 15 high. Clearance of this hurdle would open 166.69, the Oct 31 high and the next major resistance. Initial firm support lies at 162.22, the 20-day EMA. A  pullback would be considered corrective.         

Decent SOFR & Treasury option flow leaned towards low delta put structures Monday, fading the bounce in underlying futures to mid-December levels. Projected rate cuts into early 2025 gain momentum vs. this morning, levels (*) as follows: Jan'25 steady at -2.8bp, Mar'25 -14.6bp (-13.6bp), May'25 -20.6bp (-19.5bp), Jun'25 -30.3bp (-28.8bp).

• SOFR Options
  • Update, over +18,000 SFRZ5 95.00 puts 8.0 vs. 96.065/0.10%
  • +2,500 SFRJ5/SFRM5 95.50/95.62/95.75 put fly strip, 5.25
  • +2,500 SFRF5 95.75 puts 1.25 vs. 95.805/.05%
  • Block, 15,000 SFRM5 96.125/96.62 call spds 4.5 over SFRM5 95.56 puts vs. 95.945/0.36%
  • +6,000 SFRZ5 95.00 puts, 8.0 vs. 96.065/0.10%
  • -3,000 2QG5 95.87/96.00/96.12 put trees 4.0, 2 legs over ref 96.025
  • over +34,200 0QM5 96.37/97.00 call spds 6.5 over 95.37/95.62 put spds ref 96.02
  • 3,800 SFRK5 96.06/96.25 call spds ref 95.945
  • 2,500 SFRF5 95.75/95.87/96.00/96.12 call condors ref 95.825
  • 2,500 0QH5 95.62 puts ref 96.015
• Treasury Options
  • -10,000 TYH5 109 straddles, 209-211 ref 108-30.5
  • 1,000 TYG5 106/107 4x3 put spds ref 108-12
  • +10,000 wk2 TY 107/108 put spds, 8
  • +5,000 wk3 FV 106.75 calls 2 over FVG5 107 calls vs. 106-11/0.05%
  • 1,200 FVH5 105/107.5 strangles ref 106-08
  • 3,800 Wednesday wkly 30Y 113/113.5 put spds
  • 1,200 TYG5 107/108.25 put spds ref 108-19