EQUITIES: Etoxx put spread
Apr-12 08:28
SX5E (21st June) 4900/4750ps bought for 37.7 in 8k vs 1.2k at 4970.
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EURIBOR OPTIONS: Call condor buyer
Mar-13 08:24
ERM4 96.25/96.37/96.5096.62c condor bought for 6.25 in 6k.
US TSY FUTURES: FV Blocked
Mar-13 08:24
Latest block trade lodged at 08:02:47 London/04:02:47 NY:
- FVM4 2.8K lots blocked at 107-12+, looks like a buyer.
- DV01 ~$121K.
BUNDS: /SWAPS: Commerzbank Remain Short ASWs
Mar-13 08:21
Commerzbank note that “swap spreads remain under heavy pressure”
- “We have made the case that ‘this tightening is different’ as the latest leg tighter is entirely driven by the (ultra-)long-end.”
- “With 30y spreads already de-anchored above swaps as free-floating flows meet aggressive issuance, there is a risk that the 10y point will be much less anchored by Schatz spreads than thought before.”
- “We stay short.”
