OPTIONS: Euribor Call Structure Buying And Weekly Bund Put Spread Buying
Jan-30 17:52
Friday's Europe rates/bond options flow included:
- OEH6 114p, bought for half in 4k
- RX (6th Feb) 125.5/125ps, bought for flat in 3k
- RX (6th Feb)127.5/127ps bought for 5.5 in 8k
- RXH6 127.00 puts 4K given at 13/12.5 vs. 128.10
- ERU6 98.37/98.62/98.87c fly, bought for 0.75 in ~12.4k
- ERU6 97.5625/97.4375ps, bought for half in 4k
- ERZ6 97.93/98.00/98.06 call fly paper paid 0.5 on 10K
- ERZ6 97.9375/98.00/98.0625c fly, bought for 0.25 in 4k
- ERZ6 98.00/98.12cs vs 97.8125p, bought the cs for 2 in 5k
- 0RH6 97.87/97.75ps 1x1.5, bought for 2 in 10k
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US TSYS: Wrapping Up 2025
Dec-31 17:48
- Treasuries reversed early support after the final weekly claims data for 2025 came out lower than expected Wednesday, rather a decent range on moderate volumes ahead of the early close for the New Year's Eve holiday (1300ET; 1600ET Globex), re-open/electronic trade Thursday evening for Friday's order of business.
- TYH6 currently trades 112-17 (-3.5) vs. 112-14 low, curves mixed: 2s10s +.738 at 67.887, 5s30s -.890 at 111.961.
- The technical trend theme remains bearish and a break of 111-29 would confirm a resumption of the bear cycle. This would open 111-19, a Fibonacci projection. Key short-term resistance has been defined at 112-31, the Dec 18 high, where a break would undermine a bear theme and signal scope for a stronger recovery instead.
- Treasury yields slipped overnight in reaction to additional tariffs on beef by China: the US will have to pay 55% additional tariffs on beef exports to China, above its specified quota (164k tons a year in 2026). 10Y yield tapped a low of 4.1024% before climbing to 4.1513% high following the jobless claims data.
- Initial jobless claims for the Dec 27 week were much lower than expected at 199k, vs the 218k consensus (215k prior rev from 214k). This marked the lowest level of seasonally-adjusted initial claims since the Nov 29 week, though it is for that reason that we suggest caution: both are holiday weeks (the other is Thanksgiving) which typically translates into volatility in claims.
- Meanwhile continuing claims for the Dec 20 week came in at 1,866k (1,902k consensus, 1,913k prior rev from 1,923k), marking a 3-week low but still in the recent ranges. NSA claims dropped 103k to 1,881k, and like initial, we would expect a large pickup the following week.
FED: US TSY TO SELL $86.000 BLN 13W BILL JAN 05, SETTLE JAN 08
Dec-31 17:05
- US TSY TO SELL $86.000 BLN 13W BILL JAN 05, SETTLE JAN 08
FED: US TSY TO SELL $77.000 BLN 26W BILL JAN 05, SETTLE JAN 08
Dec-31 17:05
- US TSY TO SELL $77.000 BLN 26W BILL JAN 05, SETTLE JAN 08
