OPTIONS: Euribor Call Condors Closed, Sonia Call Fly Bought Pre-Jackson Hole
Aug-22 16:52
Friday's Europe rates/bond options flow included:
- OEV5 117.75/117.25ps 1x2, bought for 2.5 up to 3 in 3.5k
- RXV5 123p, bought for 2 in 7.2k
- ERU5 98.12/98.1875/98.25/98.3125c condor, sold at 0.25 in 20k (closing)
- SFIH6 96.20/96.30/96.40c fly vs 96.00/9590ps, bought the fly for half in 2k
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
OPTIONS: Schatz, Euribor / Sonia Call Structures Feature Wednesday
Jul-23 16:52
Wednesday's Europe rates/bond options flow included:
- DUQ5 107.40/107.50/107.60 call fly paper paid 0.75 on 2K
- DUU5 107.00/107.20/107.40 call fly paper paid 5.5 on 4K
- ERZ5 98.25/37/50/62 call condor paper paid 3 on +6.5K
- SFIZ5 96.60/96.85/97.10 call fly vs. SFIZ5 96.05 puts paper buys the puts back vs. selling the calls fly package trades for 1.00 & 1.25 on 10K
FED: US TSY 19Y-10M BOND AUCTION: NON-COMP BIDS $122 MLN FROM $13.000 BLN TOTAL
Jul-23 16:45
- US TSY 19Y-10M BOND AUCTION: NON-COMP BIDS $122 MLN FROM $13.000 BLN TOTAL
BONDS: EGBs-GILTS CASH CLOSE: Late Tariff Surprise Sinks Bunds, Gilts Pre-ECB
Jul-23 16:44
EGBs and Gilts weakened Wednesday, with bear steepening in the German and UK curves.
- Core yields had gapped higher to start the day on positive trade news (US-China, US-Japan developments) and a poor 40-year Japanese bond auction, but were broadly flat/lower over the course of the session as concerns lingered over EU countermeasures against proposed US tariffs.
- That seemingly set yields on course to rise modestly for the day, with slight bear steepening. But there was a late twist when just before the cash close, the Financial Times reported that the EU and US were close to reaching a trade deal (including 15% tariffs on US imports from the EU) which would stave off a harsher regime being imposed from Aug 1.
- That news saw core EGB and Gilt yields spike to their highest levels of the day into the close, and judging from futures would have headed higher yet.
- The bear steepening move in the German and UK curves was reinforced, with Gilts underperforming on the day.
- As we noted in our latest Europe Pi update (PDF Here), longs have been building going into the ECB decision which may have helped exacerbate the move.
- Periphery/semi-core spreads tightened smartly into the close as well, leaving them tighter on the day led by Spain and Portugal.
- Thursday's calendar highlights are July flash PMIs and of course the ECB decision.
- MNI's ECB preview is here - we will be closely watching Lagarde's characterisation of risks at the press conference, which will likely shape the market reaction.
Closing Yields / 10-Yr EGB Spreads To Germany
- Germany: The 2-Yr yield is up 3.2bps at 1.844%, 5-Yr is up 4.2bps at 2.194%, 10-Yr is up 4.9bps at 2.639%, and 30-Yr is up 5.6bps at 3.173%.
- UK: The 2-Yr yield is up 3.9bps at 3.881%, 5-Yr is up 4.7bps at 4.044%, 10-Yr is up 6.6bps at 4.635%, and 30-Yr is up 8.2bps at 5.482%.
- Italian BTP spread down 2.1bps at 82.3bps / Spanish down 2.5bps at 58.9bps
