CANADA DATA: Wholesale Sales Slowed In Feb Per Estimate, Echoing Manufacturing

SOFR & Treasury option flow remained mixed Monday, early SOFR call structure buyers fading this morning's weaker underlying futures continued into the second half reversal. Projected rate cuts through mid-2025 steady to firmer vs. this morning levels (*) as follows: Mar'25 steady at -0.5bp, May'25 steady at -7.1bp, Jun'25 at -18.0bp (-17.3bp), Jul'25 at -25.6bp (-23.6bp).

• SOFR Options:
  • Block, 1,250 SFRM5 95.87/96.00 4x5 call spds, 4.0 net, vs. 95.865/0.26%
  • Block +5,000 2QJ5 96.25/96.62/97.00 call flys, 6.0 vs. 96.13/0.10%
  • over 7,800 SFRH5 96.06 calls, 0.75 last 
  • -12,000 SFRJ5 95.62/95.68/95.75 put flys, 1.25
  • +10,000 SFRU5 96.25/96.37 call spds, 2.0 ref 95.985
  • +4,000 SFRM5 96.18/96.31/96.43/96.56 call condors, 0.5 vs. 95.885
  • +4,000 0QJ5 96.31/96.62 call spds, 6.0 ref 96.135
• Treasury Options:
  • Block, +15,000 wk1 TY 110.75/111.25 call spds 5 ref 109-25.5, exp Mar 7)
  • 10,000 TYJ5 106/107 put spds, 1 ref 109-18.5 to -19
  • +4,200 TYM5 111/113.5 call spds 2 to 3 over TYU5 104.5/107 put spds
  • 2,500 FVJ5 106.25 puts, 13.5 ref 106-28
  • 1,200 wk4 TY 109.5/110.25/110.5 broken put trees ref 109-16.5 (expire Fri)

• RES 4: 161.35 61.8% retracement of the Dec 30 - Feb 10 bear leg     
• RES 3: 161.19 High Feb 13       
• RES 2: 160.38 50-day EMA and key short-term resistance 
• RES 1: 159.04 20-day EMA
• PRICE: 156.35 @ 16:01 GMT Feb 24
• SUP 1: 155.82/155.61 Low Feb 21 / 10 and the bear trigger 
• SUP 2: 155.15 Low Sep 16 ‘24
• SUP 3: 154.42 Low Aug 5 ‘24 and key medium-term support
• SUP 4: 153.87 Low Dec 14 ‘23

EURJPY last week, pulled back further from its recent high. Attention is on key short-term support at 155.61, the Feb 10 low. Clearance of this level would highlight an important bearish break and set the scene for an extension towards 155.15, the Sep 16 ‘24 low, and 154.42, the Aug 5 ‘24 low and a key medium-term bear trigger. Initial firm resistance to watch is 159.04, the 20-day EMA. Key resistance is unchanged at 160.38, the 50-day EMA.

Front Bund futures are consolidating after a quick 26 tick drop to session lows, following a Bloomberg sources piece titled "Germany Discussing €200 Billion in Emergency Defense Spending".

• It had been reported earlier that CDU President Merz was in talks with the SPD to pass a bill under the outgoing parliament to boost defence spending before the next legislature comes in on March 24, but the latest piece both offers further confirmation and an amount (E200B).
• At 131.90, next major support level level to watch for Bund is 131.26 (Low Feb 19 and the bear trigger).