OPTIONS: Expiries for Oct16 NY cut 1000ET (Source DTCC)
Oct-16 07:18
- EUR/USD: $1.1500-20(E1.5bln), $1.1580-00(E4.0bln), $1.1650-55(E783mln), $1.1700-05(E1.2bln), $1.1735-40(E837mln)
- USD/JPY: Y150.50($729mln), Y151.00($511mln), Y152.00($728mln)
- AUD/USD: $0.6500-20(A$598mln)
- USD/CAD: C$1.3975($946mln)
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BONDS: Demand As European Equities Falter
Sep-16 07:17
No clear, fresh headline driver for the pull away from session highs in European equity index futures, which has accelerated since the cash open. This is providing demand for core global FI markets. A downtick in crude oil is also helping bonds (albeit small at this stage).
EURIBOR OPTIONS: Call Condor buyer
Sep-16 07:17
ERX5 98.00/98.0625/98.125/98.1875c condor, bought for 0.75 in 3.5k.
OAT: Monday's Early Widening Vs. Bunds Reversed, Still Lagging Iberians & BTPs
Sep-16 07:13
While OAT/Bunds reversed the early widening impetus on Monday, French paper still lagged peripheral equivalents in the wake of Fitch’s one-notch rating downgrade of France.
- Fitch’s move underscored rating divergence between the Iberians (with Spain & Portugal receiving one-notch upgrades on the same day), although the bid in equities provided a tightening impulse for OATs & peripherals (vs. Bunds) as the day wore on.
- OAT/Bunds has stabilised below 80bp after failing to re-test early ’25 closing highs (86.3bp).
- The combination of France’s delivery when it comes to the initial stages of fiscal tightening, limited short-term uncertainty with the swift installation of the new PM and markets being more up to speed with the political and fiscal risks than they were during widening instances in ’24 & early ’25 has limited moves higher.
- Underdelivery on the fiscal front or a fresh political shock is probably needed to generate a test of year-to-data highs in the spread.
- The Iberians continue to trade comfortably through 10-Year OATs, with the 10-Year BTP/OAT spread also in marginal negative territory.
- Commerzbank note that they “have heard of some market participants no longer buying OAT repos as a consequence of the downgrade, but this is not showing up in cheaper valuations for now. Term indications are also not cheaper than before the downgrade. However, once a second agency downgrades to single-A, OAT repos may cheapen visibly, similar to BTPs, where more than half of bonds already trade above the depo rate”.
