BONDS: Core Yields Steadily Moving Higher, But Bulk Of Overnight Move Has Held
Core bond yields have steadily moved away from session lows over the last two hours, amid increasing risks around the durability of the US-Iran ceasefire agreement. There is a conflicting understanding around whether Lebanon is included in the touted agreement. That said, the bulk of overnight moves have stuck, suggesting markets remain cautiously optimistic that some form of ceasefire – and return of Strait of Hormuz flows – can be attained.
10-year Bund yields have moved back to 2.94% from 2.90% earlier, though remain almost 15bps below yesterday’s close. The curve still leans bull steeper, with 2s10s up 9bps to 45.5bps.
Estoxx50 futures remain up 4.8% today, with opening lows of 5797.00 untested for now.
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US TSY OPTIONS: Large Apr'26 2Y Call Buyer
- +50,000 TUJ6 105.25 calls, 1.5 ref 104-04.75
EURIBOR: OI Data Suggests Net Short Setting Dominated On Friday
OI data suggests that net short setting dominated in Euribor futures on Friday, though some pockets of long cover were still noted in the H6, M6, U7 and Z8 contracts. Futures settled -1.0 to -11.0 ticks through the blues on Friday, with weakness centred in the reds. The red pack also saw the largest one-day OI adjustment (+28k), concentrated in H7 (+23k).
Across the week as a whole, indicative net short setting was seen in the whites while net long cover was prevalent in the reds, greens and blues. Futures finished the week up to 41.0 ticks lower. Markets now assign a material implied probability of 2x25bp hikes this year, after previously pricing a modest implied chance of another cut.
Daily OI Adjustment On Friday, March 6 (Source: Bloomberg Finance L.P)
| 06/03/2026 | 05/03/2026 | Daily OI Change | Daily OI Change In Packs | ||
| ERH6 | 675,080 | 677,177 | -2,097 | Whites | -17,440 |
| ERM6 | 817,862 | 844,800 | -26,938 | Reds | +27,830 |
| ERU6 | 623,412 | 614,109 | +9,303 | Greens | +6,198 |
| ERZ6 | 709,198 | 706,906 | +2,292 | Blues | +14,696 |
| ERH7 | 445,546 | 422,254 | +23,292 | ||
| ERM7 | 387,479 | 379,721 | +7,758 | ||
| ERU7 | 257,803 | 265,355 | -7,552 | ||
| ERZ7 | 299,634 | 295,302 | +4,332 | ||
| ERH8 | 223,196 | 220,838 | +2,358 | ||
| ERM8 | 176,930 | 172,662 | +4,268 | ||
| ERU8 | 158,008 | 152,494 | +5,514 | ||
| ERZ8 | 156,755 | 162,697 | -5,942 | ||
| ERH9 | 95,172 | 86,018 | +9,154 | ||
| ERM9 | 79,769 | 75,283 | +4,486 | ||
| ERU9 | 65,149 | 64,100 | +1,049 | ||
| ERZ9 | 52,911 | 52,904 | +7 |
Weekly OI Adjustment W/C March 2 (Source: Bloomberg Finance L.P)
| 06/03/2026 | 27/02/2026 | Daily OI Change | Daily OI Change In Packs | ||
| ERH6 | 675,080 | 618,294 | +56,786 | Whites | +53,752 |
| ERM6 | 817,862 | 788,350 | +29,512 | Reds | -119,415 |
| ERU6 | 623,412 | 615,784 | +7,628 | Greens | -100,990 |
| ERZ6 | 709,198 | 749,372 | -40,174 | Blues | -12,373 |
| ERH7 | 445,546 | 400,331 | +45,215 | ||
| ERM7 | 387,479 | 441,010 | -53,531 | ||
| ERU7 | 257,803 | 319,228 | -61,425 | ||
| ERZ7 | 299,634 | 349,308 | -49,674 | ||
| ERH8 | 223,196 | 226,735 | -3,539 | ||
| ERM8 | 176,930 | 200,902 | -23,972 | ||
| ERU8 | 158,008 | 184,965 | -26,957 | ||
| ERZ8 | 156,755 | 203,277 | -46,522 | ||
| ERH9 | 95,172 | 77,352 | +17,820 | ||
| ERM9 | 79,769 | 86,982 | -7,213 | ||
| ERU9 | 65,149 | 72,991 | -7,842 | ||
| ERZ9 | 52,911 | 68,049 | -15,138 |
EGB OPTIONS: Bobl Put Spread seller
OEJ6 117.5/117ps, sold at 36 in 3.6k (ref: 116.44).
