TURKEY: Final Guidance: Turkiye USD Benchmarks (May Price Today)
Jan-07 16:43
May price today. Details below via Bloomberg: * USD Long 7Y Fixed (March 14, 2033) 6.35%# * IPT 6...
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STIR: Heavy OI In 97.9375 Puts May Act As Magnet In Euribor Whites
Dec-08 16:34
- Although today’s sell-off in Euribor futures has been centred in the green/blue portion of the strip, it will be interesting to see how the price action in the whites develops at current levels. Dealer hedging flows have the potential to contain downside momentum in the near-term, even if hawkish repricing extends further out the strip.
- Both ERH6 and ERM6 are currently hovering a touch above 97.940. There is substantial (over 200k) put OI at the 97.9375 strike for both H6 and M6 options.
- Earlier this year, when market focus was still on the speed and magnitude of ECB cuts, popular options trades included dovish call structures partially or fully funded through put sales. The 97.9375 puts were often used as funders in this respect.
- This would leave dealers long those puts, and so hedging flows could prompt the 97.940 level to act as a magnet at the front of the Euribor strip.
- Option OI may play a smaller role further out the strip though, with red, green and blue futures now all priced below 97.850. As the chart below shows, total OI drops off markedly after the 97.9375 strike.
- Today’s options volumes have been impressive, with over 700k calls and 350k puts traded. Call flow has been mixed, with some now participants being paid to put on dovish hedges given the recent selloff in spot (e.g. ERU6 98.00/98.12 call spread vs. 97.87/97.75 put spread paper paid -0.5 on 25K, buying the call), and others potentially closing or pushing back existing positions.
FED: US TSY 26W BILL AUCTION: HIGH 3.580%(ALLOT 82.34%)
Dec-08 16:32
- US TSY 26W BILL AUCTION: HIGH 3.580%(ALLOT 82.34%)
- US TSY 26W BILL AUCTION: DEALERS TAKE 29.72% OF COMPETITIVES
- US TSY 26W BILL AUCTION: DIRECTS TAKE 10.34% OF COMPETITIVES
- US TSY 26W BILL AUCTION: INDIRECTS TAKE 59.94% OF COMPETITIVES
- US TSY 26W BILL AUCTION: BID/CVR 3.01
FED: US TSY 13W BILL AUCTION: HIGH 3.650%(ALLOT 31.80%)
Dec-08 16:32
- US TSY 13W BILL AUCTION: HIGH 3.650%(ALLOT 31.80%)
- US TSY 13W BILL AUCTION: DEALERS TAKE 39.89% OF COMPETITIVES
- US TSY 13W BILL AUCTION: DIRECTS TAKE 8.15% OF COMPETITIVES
- US TSY 13W BILL AUCTION: INDIRECTS TAKE 51.97% OF COMPETITIVES
- US TSY 13W BILL AUCTION: BID/CVR 2.73
