HIGHLIGHTS
- Treasuries look to finish mildly higher after lower than expected JOLTS, improved Consumer Confidence helped rate climb off this morning's four month lows.
- A strong 7Y note auction improved sentiment after Monday's poor 2- and 5Y auctions.
- Focus turns to Wednesday's ADP employment data, GDP and Pending Home Sales, not to mention Friday's headline NFP for October.
- Treasuries have drifted back to near post-JOLTS data related highs in late trade, initial impetus for second half rebound was the strong 7Y note auction that stopped 2bp through with 4.215% high yield vs. WI of 4.235%.
- The Dec'24 10Y contract is trading at 110-22 (-.5) vs. this morning's 110-09.5 low, 10Y yield tapped 4.3365% high. Curves remain mildly steeper (2s10s +1.514 at 15.312, 5s30s +.036 at 41.045) with short end outperforming, 5s to 10s +/-.5 around steady at the moment.
- Futures had gapped higher following this morning's surprisingly low JOLTS job openings with possible hurricane impact, whilst quit rates on balance point to a still low level having declined after a reasonable upward revision. Additionally, job openings surprised lower with 7443k (cons 8000k) in September after a downward revised 7861k (initial 8040k) in Aug.
- Meanwhile, within the surprisingly strong Conference Board consumer survey for October (confidence at 108.7 vs cons 99.5 after 99.2), the labor differential improved for the first time in eight months.
- Cross asset look: Gold climbs to new all-time high 2773.12, crude mildly weaker following yesterday's fall (WTI -.17 at 67.21) while the DJIA lags gains in S&P Eminis and Nasdaq.
- Focus turns to Wednesday's ADP employment data, GDP and Pending Home Sales, not to mention Friday's headline NFP for October.
SOFR FIXES AND PRIOR SESSION REFERENCE RATES
SOFR Benchmark Settlements:
- 1M -0.01081 to 4.69649 (-0.01081/ wk)
- 3M -0.01547 to 4.58917 (-0.01547/wk)
- 6M -0.01802 to 4.41270 (-0.01802/wk)
- 12M -0.00823 to 4.14467 (-0.00823/wk)
US TSYS: Repo Reference Rates
- Secured Overnight Financing Rate (SOFR): 4.82% (-0.01), volume: $2.194T
- Broad General Collateral Rate (BGCR): 4.81% (-0.01), volume: $791B
- Tri-Party General Collateral Rate (TGCR): 4.81% (-0.01), volume: $757B
- (rate, volume levels reflect prior session)
STIR: FRBNY EFFR for prior session:
- Daily Effective Fed Funds Rate: 4.83% (+0.00), volume: $104B
- Daily Overnight Bank Funding Rate: 4.83% (+0.00), volume: $267B
FED Reverse Repo Operation:
RRP usage recedes to $244.841B from $251.032B prior, compares to new multi year low of $202.798B from Thursday, October 24, '24. Number of counterparties slips to 58 from 67 prior.
US SOFR/TREASURY OPTION SUMMARY
Decent overall SOFR and Treasury option volumes on the day despite the range trade in the underlying. SOFR structures still leaned toward downside put/rate hike insurance buying with some sporadic call spread buying on tap. Treasury options saw a pick-up in bullish Dec 10Y skew plays in late trade as underlying futures climbed back near post-JOLTS data highs. Current projected rate cuts into early 2025 are steady to mildly higher vs. this morning's levels (*): Nov'24 cumulative steady at -24.1bp, Dec'24 -43.7bp (-42.3bp), Jan'25 -59.6bp (-59.1bp), Mar'25 -77.9bp (-77.4bp).
SOFR Options:
+10,000 SFRX4 95.50/95.62/95.75 put flys 4.25 ref 95.62
-8,000 2QX4/2QZ4 96.00 put spds, 4.25 ref 96.355
+10,000 SFRM5 96.50/96.62 call spds, 3.5 ref 96.195
+8,000 SFRZ4 95.56/95.62/95.68/95.75 put condors, 1.75 ref 95.62
+5,000 SFRX4 95.31/95.43 put spds 1.0 ref 95.62
-5,000 SFRZ4 95.37 puts, 1.5 ref 95.625
+4,000 SFRM5 96.75/97.25 call spds vs 2QM5 97.00/97.37 call spds, 1.0-1.25
-5,000 2QF5 96.12 puts, 15.5 vs. 96.33/0.38%
Block, 8,250 3QH5 96.00 puts, 20.0 ref 96.30
Block, 8,250 0QH5 96.00 puts, 17.0 ref 96.41
Block, +10,000 SFRF5 95.68/95.87 put spds, 7.5 ref 95.930 to -.935
5,000 SFRF5 95.31/95.43/95.56/95.68 put condor ref 95.39
7,600 SFRZ4 95.06/95.18 put spds ref 95.61
3,000 SFRX4 95.81 calls
Treasury Options:
Block, 22,300 TYZ4 109.5 puts, 34 vs. 20,000 TYZ4 114 calls, 8 vs. 11,500 TYZ4 110-21.5 -- trading desks say the puts sold over calls (buying futures)
-22,000 TYZ109 puts 20 over TYZ4 114 calls vs. 110-18.5 on a .36% delta
8,000 wk1 TY 110.25/110.75 strangles, 41 ref 110-17.5 expire Friday
2,000 FVZ4 105.5/107 put spds ref 107-12
2,500 FVZ4 106 puts, ref 107-12.25
2,000 TYZ4 106/108 put spds ref 110-17
2,500 TYZ4 112.5/113.75 1x2 call spds, 4 ref 110-19.5
Misc smaller trades with larger totals:
10,250 TYZ4 109.5 puts, 38 last
over 7,100 TYZ4 108.5 puts, 22 last
over 7,200 TYZ4 109 puts, 28 last
over 4,500 USZ4 123 calls
over 3,200 USZ4 127 calls
over 2,600 USZ4 130 calls
MNI EGB BONDS: EGBs-GILTS CASH CLOSE: Broad Weakness Ahead Of Euro CPI, UK Budget
European yields rose Tuesday, with a second consecutive session of Gilt underperformance vs Bund.
- Most of the session's weakness came overnight, led by Bunds after they had strengthened Monday - but there was no clear trigger for the move.
- Much lower than expected US job openings data saw a global core FI rally in early Europeaan afternoon trade,but the impact eventually reversed as potentially mitigating factors such as hurricane effects were considered (and US consumer confidence came in strong).
- The European data calendar was relatively light: The UK saw growth in loan approvals alongside a softening in mortgage rates in September, though consumer credit remains dampened.
- The UK and German curves bear steepened through the 10Y segment, with 30Y instruments outperforming. Periphery EGB spreads were slightly wider, led by Italy and Greece.
- The UK budget release is Wednesday's highlight - MNI's Preview is here (link). Also garnering attention will be the start of the Eurozone October flash inflation round with Spain and Germany (MNI's Preview is here - link), as well as the first read of Q3 eurozone GDP.
Closing Yields / 10-Yr Periphery EGB Spreads To Germany
- Germany: The 2-Yr yield is up 4.2bps at 2.142%, 5-Yr is up 5.7bps at 2.159%, 10-Yr is up 5.1bps at 2.337%, and 30-Yr is up 3.4bps at 2.63%.
- UK: The 2-Yr yield is up 5.1bps at 4.259%, 5-Yr is up 5.7bps at 4.19%, 10-Yr is up 6.1bps at 4.315%, and 30-Yr is up 3.9bps at 4.791%.
- Italian BTP spread up 2bps at 122.6bps / Spanish up 0.4bps at 69.9bps
MNI EGB OPTIONS: Upside Interest In Medium-Term Euro Rates Continues
Tuesday's Europe rates/bond options flow included:
- DUZ4 107.00/107.40cs 1x2, bought for 4.5 in 3.75k.
- DUZ4 106.90/107.20/107.50c fly, bought for 5 in 2k
- RXZ4 133.50/132.50ps, bought for 60 in 2.5k.
- ERZ4 97.12p sold at 1.25 in 14k.
- 0RH5 98.50c, bought for 8 in 20k (ref 98.065).
MNI FOREX: AUDUSD Extends losing Streak, UK Budget Keeps GBP in Focus
- Despite some intra-day volatility for US yields amid a mixed set of data releases, the curve remains close to unchanged levels on Tuesday. The USD index has held steady in sympathy, as markets await not only the advanced reading of US GDP tomorrow, but Friday’s release of the US employment report.
- EURUSD tried lower, briefly reaching 1.0769, before reversing those losses back to 1,08 ahead of the APAC crossover. In similar vein, market participants are lacking conviction given the upcoming Eurozone inflation releases and the next week’s US election.
- Both AUD and NZD are the poorest performers, keeping a string of losing sessions in lay. For AUDUSD, a bear cycle remains intact and the clearance of multiple supports has bolstered a bearish theme. The pair now targets 0.6490, the 76.4% retracement of the Aug 5 - Sep 30 bull leg.
- GBPUSD has edged higher Tuesday to briefly breach the Monday and Friday highs at 1.3001 and 1.2999 respectively. Pre-setting and squaring ahead of the Wednesday budget may be responsible here - and further spot strength and a close above the 1.30 handle would expose 1.3067, the 50-day EMA, as the next upside target.
- GBP strength in the crosses remains evident in EURGBP's brief show below the 0.83 handle today. The break lower in the cross is clearly meeting some support into the 0.8295 bear trigger, a level that could come into focus should tomorrow's Budget prove GBP positive - potentially via less aggressive BoE rate cut pricing as a result of sped-up infrastructure spending, or a less punitive shift in the tax regime.
MNI US STOCKS: Late Equities Roundup: DJIA Continues to Lag Nasdaq, S&P Eminis
- S&P Eminis and Nasdaq index continue to inch higher late Tuesday, the DJIA still lagging but off early session lows with oil and gas shares weighing. Stocks supported after this morning's dip in jobs data and a rise in consumer confidence buoyed sentiment. Currently, the DJIA trades down 86.47 points (-0.2%) at 42301.2, S&P E-Minis up 17.25 points (0.29%) at 5878.75, Nasdaq up 168 points (0.9%) at 18735.17.
- Communication Services and Information Technology continue to lead gainers in late trade, interactive media and entertainment shares supported the Communication sector: News Corp +3.09%, Meta +2.16% while Google gains 1.84%. Semiconductor stocks buoy the IT sector for the second day running: Monolithic Power +4.24%, Broadcom +3.78%, Advance Micro Devices +3.31% while Lam Research gains 2.90%.
- Conversely, Utilities and Energy sector shares weighed on broader markets in the first half, electricity and multi-energy providers weighing on the former: NexEra Energy -3.56%, AES Corp -2.64%, Eversource Energy -2.56%. Meanwhile, oil and gas shares weighed on the Energy sector: Phillips 66 -4.51%, Marathon Petroleum -4.02%, Valero -3.42%
- Corporate earnings expected after the close include: Stryker Corp, Chipotle, Visa, First Solar, Electronic Arts, Alphabet and Advanced Micro Devices.
MNI EQUITY TECHS: E-MINI S&P: (Z4) Trend Signals Remain Bullish
- RES 4: 6012.75 1.00 projection of the Aug 5 - Sep 3 - 6 price swing
- RES 3: 6000.00 Psychological handle
- RES 2: 5961.00 1.00 projection of the Sep 6 - 17 - 18 price swing
- RES 1: 5927.25 High Oct 17 and the bull trigger
- PRICE: 5858.25 @ 14:30 GMT Oct 29
- SUP 1: 5801.00/5757.80 Low Oct 23 / 50-day EMA
- SUP 2: 5724.00 Low Oct 2
- SUP 3: 5675.25 Low Sep 18
- SUP 4: 5658.00 Low Sep 13
S&P E-Minis continue to trade below their recent highs. Short-term weakness is considered corrective and the uptrend remains intact. Price has recently traded through support at the 20-day EMA, at 5837.02, but is - for now - trading above this average once again. A clear bearish break of the EMA would open 5757.80, the 50-day EMA. For bulls, a stronger resumption of gains would refocus attention on 5961.00, a Fibonacci projection.
MNI COMMODITIES: Gold Rises To Fresh Record High, WTI Resumes Decline
- Spot gold rose to a fresh record high of $2,773.6/oz today amid on-going safe haven demand ahead of the US election.
- The yellow metal is currently up by 1.1% on the day, just below that high and above resistance at $2,767.1 next, a Fibonacci projection point.
- Above here, sights are on the $2,800.0 handle next.
- Analysts at Saxo Bank note that gold trades up given prospects of Trump 2.0, which may bring greater policy disruption, trade tariffs and increased geopolitical risk.
- Meanwhile, silver is outperforming with a 2.3% gain to $34.5/oz, putting the precious metal within sight of the 12-year of $34.9 reached last week.
- Bullish conditions in silver remain intact and the Oct 18 rally, plus last week’s initial extension, reinforce the current trend set-up and confirm a resumption of the uptrend.
- Scope is seen for a climb towards $35.167, a Fibonacci projection.
- Elsewhere, WTI resumed its downtrend from yesterday, with pressure from headlines that Israel may be ready for talks on ending the war in Lebanon.
- WTI Dec 24 is down by 0.3% at $67.2/bbl.
- A bearish theme in WTI futures remains intact, with eyes on $65.99 next, the Oct 1 low, and $64.16, the Sep 10 low and a key support.
WEDNESDAY DATA CALENDAR
| Date | ET | Impact | Period | Release | Prior | Consensus | |
| 30/10/2024 | 0700 | ** | 25-Oct | MBA Mortgage Applications w/w | -6.7 | -- | % |
| 30/10/2024 | 0815 | *** | Sep | ADP Private Payrolls | 143 | 98 | (k) |
| 30/10/2024 | 0830 | *** | Q3 | GDP annualized QQ | 3.0 | 3.0 | % |
| 30/10/2024 | 0830 | ** | Sep | Advance Goods Trade Gap | -94.3 | -96.0 | USD (b) |
| 30/10/2024 | 0830 | ** | Sep | Advance Retail Inventories | 0.5 | -- | % |
| 30/10/2024 | 0830 | ** | Sep | Advance Wholesale Inventories | 0.1 | -- | % |
| 30/10/2024 | 0830 | *** | Q4 | Ave Month 10Y for Upcoming Qtr | 40.0 | -- | USD (b) |
| 30/10/2024 | 0830 | *** | Q4 | Ave Month 20Y for Upcoming Qtr | 14.0 | -- | USD (b) |
| 30/10/2024 | 0830 | *** | Q4 | Ave Month 30Y for Upcoming Qtr | 23.0 | -- | USD (b) |
| 30/10/2024 | 1000 | ** | Sep | NAR Pending Home Sales | 70.6 | -- | |
| 30/10/2024 | 1000 | ** | Sep | Previous Pending Home Sales Index Revised, m/m | -- | -- | |
| 30/10/2024 | 1030 | ** | 25-Oct | Crude Oil Stocks ex. SPR w/w | -- | -- | bbl (m) |
| 30/10/2024 | 1030 | ** | 25-Oct | Distillate Stocks w/w change | -- | -- | bbl (m) |
| 30/10/2024 | 1030 | ** | 25-Oct | Gasoline Stocks w/w change | -- | -- | bbl (m) |