ERU4 97.00/97.25/97.37 broken c fly, bought for 4.5 in 5k.
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Gilt futures firm in early Monday trade given the rally in Bund & Tsy equivalents since Friday’s gilt close (although do note that the latter is comfortably shy of Asia-Pac highs), before moving back from best levels.
Late on Friday J.P.Morgan recommended entering a long 5Y Italy CDS cash basis position as an attractive risk-off hedge to their broadly overweight portfolio.
Recent flow in SFRM4/U4 saw 4K lots given at -40.5, looks to have triggered some activity in the SFRM4/U4/Z4 fly.