OPTIONS: Expiries for Jan07 NY cut 1000ET (Source DTCC)
Jan-07 09:27
- EUR/USD: $1.1725(E685mln), $1.1775(E1.4bln)
- USD/JPY: Y156.00($677mln), Y157.00($903mln)
- NZD/USD: $0.5650(N$1.1bln)
- USD/CAD: C$1.3800($1.3bln), C$1.3835($852mln)
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EGB OPTIONS: Downside interest via Bund Options
Dec-08 09:26
- RXG6 128.5/127.5/126 broken p fly, bought for 7.5 in 2k.
- RXG6 127.50/126.50ps 1x1.5, bought for 16 in 3k.
FOREX: FX OPTION EXPIRY
Dec-08 09:21
Large expiry in the EUR on Thursday.
Of note:
USDJPY 1.33bn at 155.00 and 1.49bn at 156.00.
AUDUSD 1.2bn at 0.6630/0.6635 (tue).
USDCNY 1.2bn at 7.1088 (wed).
EURUSD 6.51bn at 1.1595/1.1600 (thu).
USDJPY 1.24bn at 156.00 (thu).
- EURUSD: 1.1625 (510mln), 1.1650 (855mln), 1.1670 (587mln).
- USDJPY: 155.00 (1.33bn), 156.00 (1.49bn).
- NZDUSD: 0.5730 (768mln).
GILTS: Outperformance Vs. Bunds Stalls Around 165bp
Dec-08 09:16
Gilt outperformance vs. Bunds stalled around the 165bp level last week, after the spread tightened by ~25bp since November 12.
- The speed of the tightening, coupled with ongoing medium-term UK fiscal fisks, have been cited as limiting factors by some.
- Fresh extension through 165bp would target the September ’24 closing low (162.01bp).
- Meanwhile, gilt bears will want to force the spread back above the November closing low (172.94bp) to start turning the tide back in their favour.
- Note that Goldman Sachs remain constructive on gilts and maintain their long vs. Bunds and long 10-Year swap spread recommendations.
- Goldman write “gilt risk premia continue to compress, with our measure of country risk premia embedded in 10-Year yields 20bp lower since the budget. We think this reflects the outsized risk premia priced in before, as there was relatively little news on the day, but with ongoing uncertainty in upcoming labour market data and into a likely December BoE cut, we expect this to continue. Gilts have been relatively resilient to bearish impulses from other markets, and the potential for dovish spillovers from upcoming U.S. data could reinforce a move lower in UK yields”.
