ECB: Bloomberg Sources Suggest Hike Discussion In Premature

Surge in Tsy quarterly futures roll volumes for December'25 to March'26 outlined below. Percentage complete still in the single digits ahead the "First Notice" date of Friday, November 28. Current roll details:

• TUZ5/TUH6 appr 84,500 from -5.88 to -5.37, -5.88 last; 4% complete
• FVZ5/FVH6 appr 312,500 from -2.75 to -2.0, -2.5 last; 6% complete
• TYZ5/TYH6 appr 212,000 from 1.5 to 1.0, 1.75 last; 8% complete
• UXYZ5/UXYH6 40,800 from 5.25 to 5.5, 5.5 last; 4% complete
• USZ5/USH6 39,000 from 11.75 to 14.0, 12.75 last; 7% complete
• WNZ5/WNH6 appr 45,800 from 9.75 to 10.25, 10.0 last; 3% complete
• Reminder, Dec'25 futures don't expire until next month: 10s, 30s and Ultras on December 19, 2s and 5s on December 31. Meanwhile, Dec'25 Tsy options will expire this Friday, November 21

The DMO has announced it will be looking to sell GBP4.5bln of the 4.125% Mar-31 Gilt (ISIN: GB00BVP99673) at its auction next Tuesday, November 25.

Large flattener blocked/crossed at 1008:21ET:

• -20,000 FVZ5 109-12.75, sell through 109-13.25 post time bid (DV01 $855k) vs
• +2,500 WNZ5 120-12, buy through 120-11 post time offer (DV01 $465k)