EURIBOR OPTIONS: Large Put Fly

We've just published our latest MNI Europe Pi Positioning Indicator (PDF here):

• As we head into the quarterly Eurex roll (last trade for Sept contracts is Sep 6th), European bond futures structural positioning is largely flat.
• Longs built in early August have evaporated, with the exception of Bund and Gilt.
• Last week saw mixed indicative trade, with some longs set and some short covering across various contracts.

Of note:

EURGBP 2.58bn at 0.8475.

EURUSD 1.34bn at 1.1150.

EURUSD 3.43bn at 1.1150/1.1200 (wed).

USDJPY 3.51bn at 145.25/145.50 (wed).

• EURUSD: 1.1100 (1bn), 1.1150 (1.34bn), 1.1170 (447mln).
• EURGBP: 0.8440 (225mln), 0.8450 (404mln), 0.8475 (2.58bn).
• USDJPY: 144.30 (550mln), 144.80 (280mln), 144.90 (456mln), 145.20 (438mln).
• USDCAD: 1.3485 (434mln), 1.3550 (430mln).

The 10-year Gilt/Bund spread has mechanically widened over 4bps this morning to 174bps, as UK markets catch-up with FI counterparts following yesterday’s Bank holiday. This week’s UK data calendar lacks tier 1 releases, with focus on remarks from BoE's resident hawk Mann, due to speak tomorrow in Frankfurt.

• A near 3% surge in crude futures following Libyan supply outages weighed on global FI yesterday.
• The UK cash curve has bear steepened, with yields 3.5 to 4.5bps higher.
• In futures, U4 remains the active contract, though the roll to Z4 will likely be complete by tomorrow/Thursday. U4 currently trades -41 ticks at 99.53, with Z4 -50 ticks at 98.98.
• Overnight, the BRC shop-sales index fell 0.3% Y/Y (vs 0.2% prior).
• A reminder that BoE Governor Bailey re-iterated the August MPS guidance in his Jackson Hole remarks on Friday, endorsing a “steady course” for monetary policy.
• UK PM Starmer is expected to deliver his “State of the Nation” speech at around 10am today.