US TSYS: Extending Highs, Risk-Off Gathers Momentum
Mar-28 17:54
- Treasuries are extending session highs as stocks continue to retreat, SPX eminis falling to the lowest level in two weeks (5618.75, -120.75).
- The risk-off tone gathers momentum after this morning's drop in Consumer Sentiment and risking inflation expectations as reported by the University of Michigan this morning while accounts square positions ahead of next week's "liberation Day" Trump tariff rollout on April 2.
- Jun'25 10Y futures have breached initial technical resistance of 110-26 (Mar 25 high) marking session high of 111-07 (+25.5) -- medium-term trend condition is bullish, the first key resistance is located at 111-17+, the Mar 20 high.
- Cross asset update: CBOE's VIX volatility index has climbed to 22.18 (+3.49) in the last few minutes, Gold off recent high of 3086.09 at 3076.84, Bbg US$ index weaker at 1271.79 (-1.51) is off low of 1270.18.
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STIR: Renewed Trump Tariff Threats Extend Day's Euribor Outperformance
Feb-26 17:54
- 3-month Euribor futures have lifted 2-2.5 ticks back towards session highs on Trump saying EU tariffs are to be 25% on autos and other things per Bloomberg headlines.
- It’s been met with a growth-negative reaction in rates despite it broadly being a repeat of previous threats of auto tariffs of “around 25%” which had earlier in the month been accompanied by threats of 25% or higher tariffs on pharmaceutical products (seen relative sensitivities in the bottom chart below).
- The below charts show clear outperformance for Euribor futures on the day vs US and UK counterparts, but continued prospects of heavy European defense spending and the broader results of the German election have seen sizeable underperformance for both Euribor and Sonia futures vs SOFR since levels shortly ahead of the European close on Friday.
OPTIONS: Recent Euribor Spread Buying Shifts To Selling Wednesday
Feb-26 17:52
Wednesday's Europe rates/bond options flow included:
- ERH5 97.625 calls ~4K given at 1.25
- ERM5 97.875/98.00/98.0625/98.1875 call condor 4K given at 4.
- ERM5 97.8125/97.6875ps 1x2, bought for 1.75 in 20k.
- ERM5 97.62/97.75cs sold at 9.75 in 6.25k.
- ERM5 97.875/98.00/98.125/98.25c condor vs 97.625/97.50ps, sold the Condor at 3.25 in 5.5k
US TSYS/SUPPLY: WI 7Y
Feb-26 17:51
WI 7Y has slipped to 4.201% from 4.217% heading into the US Tsy $44B 7Y Note auction (91282CMR9) cutoff at 1300ET, 25.6bp rich to last month's stop: 4.457% high yield vs. WI of 4.465%.
