US TSYS: Late SOFR/Treasury Option Roundup
Focus on downside puts Tuesday, though total volumes were rather muted ahead Wednesday's FOMC policy announcement.
- SOFR Options:
- Block, 5,000 SFRZ3 96.50/97.75 1x2 call spds, 5.0 ref 95.66
- -20,000 SFRJ3 96.00 calls, 6.5
- Block, 20,000 SFRU3 94.25/94.75/95.25 put trees, 16.0 net ref 95.39
- over +14,700 OQJ3 96.00 puts, 14.0 ref 96.39
- +3,000 SFRZ3 94.62 puts, 21.0 vs. 96.766/0.22%
- -10,000 SFRM3 94.25/94.50/94.75 put flys, 3.5-3.25
- +20,000 SFRZ3 94.50/94.75/95.00/95.25 put condors, 4.5 ref 96.765
- 6,000 SFRZ3 93.25/93.50/93.75/94.00 put condors, ref 95.775
- 4,750 OQM3 95.87/96.00 strangles, ref 96.375
- 5,000 SFRM3 96.25 calls, ref 95.295
- over 8,800 OQJ3 96.00/2QJ3 96.50 put spds around even
- Block, 3,500 SFRM3 94.68/94.75 put spds, 1.5 ref 95.45
- Treasury Options:
- 14,000 FVK3 108.75/109.25 strangle ref 108-30
- 2,100 FVK3 107.5 puts, ref 109-10.25
- 1,000 TYK3 112/118 call over risk reversal, 1 net ref 114-19
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Historical bullets
USDCAD TECHS: Building Base for Recovery
- RES 4: 1.3751 High Nov 4
- RES 3: 1.3705 Dec 16 and the bull trigger
- RES 2: 1.3665 High Jan 6
- RES 1: 1.3537 High Feb 17
- PRICE: 1.3500 @ 16:25 GMT Feb 17
- SUP 1: 1.3275/3262 Low Feb 14 / 2
- SUP 2: 1.3226 Low Nov 15 and bear trigger
- SUP 3: 1.3205 61.8% retracement of the Aug 11 - Oct 13 rally
- SUP 4: 1.3131 0.764 proj of the Oct 13 - Nov 15 - Dec 16 price swing
USDCAD traded higher again Friday, hitting the week’s best levels at 1.3537. This defies the view that the recent bounce was corrective, as the pair builds a base for further gains. The bull trigger is still someway off at 1.3705, but a weekly close above the 1.3500 would prove constructive. A break of 1.3262, Feb 2 low, would strengthen bearish conditions and open 1.3226, the Nov 15 low and the bear trigger.
US TSY FUTURES: BLOCK, Late 10Y Sale
- -8,000 TYH3 112-00.5, sell through 112-01.5 post-time bid at 1527:48ET, 112-00.5 last (+4)
AUDUSD TECHS: Pullback Nears Support
- RES 4: 0.7245 2.00 proj of the Nov 21 - Dec 13 - Dec 20 price swing
- RES 3: 0.7202 High Jun 9
- RES 2: 0.7172 1.764 proj of the Nov 21 - Dec 13 - Dec 20 price swing
- RES 1: 0.7082/0.7158 High Feb 3 / 2 and the bull trigger
- PRICE: 0.6855 @ 16:24 GMT Feb 17
- SUP 1: 0.6812 Low Feb 16
- SUP 2: 0.6781 38.2% retracement of the Oct 13 - Feb 2 uptrend
- SUP 3: 0.6755 Trendline support drawn from the Oct 13 low
- SUP 4: 0.6688 Low Jan 3
AUDUSD printed a lower low early Friday, putting prices through first support at 0.6856 to expose 0.6781. The broader uptrend remains intact for now, and the recent move lower highlights a correction that is allowing a recent overbought trend condition to unwind. Key resistance and the bull trigger have been defined at 0.7158, the Feb 2 high. A break would resume the uptrend.
