US EURODLR OPTIONS: Broken Call Fly
- +12,000 May 98.62/98.75/98.93 broken call flys, 0.0
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GILTS: Another huge move higher for yields as 10-year hits 1.50%
Some huge moves in gilts today with a decent steepening of the curve with 10-year gilt yields up 9.2bp at the time of writing on the day. This puts them above 1.50% for the first time since 2018. This has happened against the backdrop of the syndicated launch of a new 50-year gilt and a political cabinet reshuffle. The chart below shows the entire curve has shifted substantially higher since before the February MPC meeting. Indeed, the magnitude of the move since the December MPC meeting (most of the curve seeing yields 50-60bp higher) is stark.
BONDS: EGB/Gilt - Another impressive session for EGBs and Gilt
- Another busy session for European EGBs, while more stable in the US Rate space, in terms of volumes.
- Bund is through 165.37, which was 0.25% in Yield.
- Next tech support is now at 164.82 Low May 3, 2019 (cont).
- While the next area of interest in yield comes at 0.306% = 164.54.
- Peripherals has seen a more subdued price action in the Greek/Bund spread compared to yesterday at least.
- The same cannot be said for the BTP/Bund, which has widened by another 4.8bps, and widest since 17/07/20.
- Next upside target is at 168.69bps, now at 159.5.
- Gilt has seen another impressive session, testing the 1.5% yield resistance.
- This is the second largest move and Volume session for the year.
- The Gilt has so far found some dip buying around 1.5%, and in oversold territory.
- Looking ahead, ECB's Villeroy speaks in Paris.
- Gilt futures are down -0.67 today at 120.28 with 10y yields up 8.8bp at 1.495% and 2y yields up 7.0bp at 1.332%.
- Bund futures are down -0.48 today at 165.12 with 10y Bund yields up 4.0bp at 0.265% and Schatz yields down -0.5bp at -0.300%.
- BTP futures are down -0.21 today at 139.73 with 10y yields up 8.6bp at 1.866% and 2y yields up 3.2bp at 0.332%.
- OAT futures are down -0.50 today at 156.76 with 10y yields up 5.9bp at 0.724% and 2y yields up 0.3bp at -0.261%.
US STOCKS: Mixed Stocks, Muted Risk Appetite, CPI Revisions
US stocks open, trading mixed w/Dow Industrials gaining (106.17 points (0.3%) at 35191.16), SPX eminis modestly weaker (-5.75 points (-0.13%) at 4468.75) holding to narrow range, NASDAQ weaker (-39.4 points (-0.3%) at 13969.8). Risk appetite looks muted ahead of Thu's CPI inflation data, (0.6% revised, vs. 0.5% prior).
- Technicals: SPX eminis still trading below recent highs and below the 50-day EMA that intersects at 4565.55 today. This average remains a key pivot resistance where a break is required to suggest scope for a stronger rally that would initially open 4671.75, the Jan 18 high. For bears, a resumption of weakness would refocus attention on 4212.75, the Jan 24 low and a key support.
- On this morning's CPI seasonal revisions (data available on request, BLS site not updated until 1100ET), JP Morgan economists said the "underlying data (before seasonal adjustment) did not change, and the %oya price increases through December were unaffected and continue to look strong (headline: 7.0%, core: 5.5%)."
- JPM posited the "story on inflation has not changed much—the headline CPI surged 8.9% saar over the three months through December (9.1% before the revisions), and the core CPI is now reported up 7.0% saar over these three months (6.9% before the revisions)."
- JPM forecast for Thu's January CPI "is not meaningfully impacted by the revised seasonal factors, and we still look for 0.4% monthly increases in both the headline and core CPI measures, with the core change at 0.44% to two decimals."
