BONDS: EUREX Settlement price
Mar-07 12:11
March contract settlement price:
- Buxl: 136.34
- Bund: 133.68.
- Bobl: 116.54.
- Schatz: 105.175.
- BTP: 119.67.
- BTS: 105.51.
- OAT: 128.94.
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CHINA STOCKS: Margin Liquidation Continued On Monday, Will Have Factored Into CSRC Pledges
Feb-06 12:06
Monday’s data points to the largest percentage fall in Chinese equity margin usage since ’16, as the space remained under pressure.
- A quick reminder that we have previously flagged that this data has suggested that the liquidation of levered positions (forced margin calls, although the CSRC have pushed back on the idea that forced margin calls have been widespread) has factored heavily into the recent sell off in Chinese equities, albeit with margin usage and the liquidations paling into comparison when compared to what was seen during the ’15 equity market meltdown.
- In view of this, after hours on Monday saw the CSRC note that it will guide brokerages to adjust margin calls and maintain flexible liquidation lines, which factored into a broader round of support outlined between then and Tuesday, resulting in a meaningful uptick in Chinese equities.
- We will continue to monitor margin dynamics in the time ahead.
Fig. 1: China Outstanding Margin Balance (CNY 000 Mn)
OUTLOOK: Bunds Remain Bearish
Feb-06 12:05
- In the FI space, Bund futures traded lower Monday and the contract maintains a bearish tone. A continuation lower would further undermine the recent bullish theme and expose key short-term support at 133.55, the Jan 25 low. Clearance of this level would strengthen a bearish threat. For bulls, clearance of last week’s high at 136.29 (Feb 1), is required to reinstate the recent bullish theme. Initial resistance is at 134.96, the 20-day EMA.
- Gilt futures traded sharply lower Friday and again yesterday, highlighting a clear bearish threat. The move lower has defined a key short-term resistance at 100.62, the Feb 1 high. A break of this level is required to reinstate the recent bullish theme and would open 100.76, 50.0% of the Dec 27 - Jan 25 bear leg. Key support and the bear trigger lies at 97.57, the Jan 25 low. A break of this support would confirm a resumption of the downtrend and signal scope for weakness towards 97.39, the Dec 11 low.
EGB OPTIONS: Schatz call spread
Feb-06 12:02
DUH4 106.20/106.40cs, bought for 1.5 in 5k.
