OPTIONS: Further Schatz Structure Unwind Features Friday
Sep-30 16:51
Friday's Europe rates / bond options flow included:
- Buy DUX2 107.70/108.10 cs in 17.5k, sell DUX2 107.10/106.60 ps in 17.5k - net receives 11.25. Had unwound 17.5k earlier in the week as well
- RXZ2 134/130 put spread bought for 81 in 4.25k
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OPTIONS: Multiple Bobl Put Spreads, Large Euribor Structures
Aug-31 16:49
Wednesday's Europe rates / bond options flow included:
- OEV2 123.50/122.00 put spread sold at 64 in 2k
- OEV2 122/120 put spds bought for 44 in 4k
- OEV2 121.0/119.5 put spd bought for 23.5-24.0 in 2k
- ERH3 98.375/98.125/98.00 put fly vs 99.625 call. Sells put fly at 8 in 5k
- ERV2 98.25/98.125/98.00/97.875 put condor vs ERZ2 99.00/99.125 call spread, bought for 2.25 in 8k (+condor, - call spread)
- ERZ2 98.12/97.87/97.62 put flys bought for 3.25 in 10k
PIPELINE: $1.25B Nordic Investment Bank 5Y SOFR Priced
Aug-31 16:45
Still waiting for KDB:
- Date $MM Issuer (Priced *, Launch #)
- 08/31 $1.25B *Nordic Investment Bank 5Y SOFR+36
- 08/31 $Benchmark Korea Development Bank (KDB) 3Y +90a, 3Y SOFR, 10Y +140a
- Rolled to Thursday:
- 09/01 $1B OKB WNG 5Y SOFR+45a
BONDS: EGBs-GILTS CASH CLOSE: Bear Flattening With 75bp Sept Hikes Eyed
Aug-31 16:37
Wednesday’s main development was continued pressure at the front end of European curves as near-term central bank hike pricing ratcheted higher. The UK and German curves bear flattened, with Gilts underperforming.
- Today’s catalysts were higher-than-expected Italian and Eurozone August inflation, with multiple analysts changing their calls for next week's meeting to reflect a 75bp hike (the market is now pricing in 67bp, vs 54bp last week). BoE currently 62bp for September.
- Plenty of attention on the monthly closes, with yields across the German and UK curves rising by their most in decades - 2s and 5s in both the UK and Germany saw their biggest monthly rises since at least the early 1990s. 2Y UK yields rose a total of 131bp in August.
- High-beta periphery instruments underperformed, with 10Y Italian and Greek spreads widening 3/4bp on the day.
Closing Yields / 10-Yr Periphery EGB Spreads To Germany:
- Germany: The 2-Yr yield is up 4.9bps at 1.202%, 5-Yr is up 5bps at 1.391%, 10-Yr is up 3bps at 1.541%, and 30-Yr is up 2.4bps at 1.627%.
- UK: The 2-Yr yield is up 10.1bps at 3.021%, 5-Yr is up 9.4bps at 2.764%, 10-Yr is up 9.7bps at 2.801%, and 30-Yr is up 9.9bps at 3.078%.
- Italian BTP spread up 3.2bps at 235.2bps / Greek up 4.2bps at 256.6bps
UK 2Y Generic Yield, pp Change On MonthSource: Bloomberg, MNI
