FOREX: FX OPTION EXPIRY - Large USDJPY on Friday
Jan-14 09:13
Option expiry in the USDJPY at 160.00 for Friday have gone up to 4.59bn from 3.86bn Yesterday.
Of note:
EURUSD 2.65bn at 1.1600/1.1650.
GBPUSD 1.31bn at 1.3450 (thu).
USDJPY 1.37bn at 159.00 (thu).
USDCAD 1.68bn at 1.3850 (thu).
USDJPY 4.59bn at 160.00 (fri).
AUDUSD 2.51bn at 0.6800 (fri).
- EURUSD: 1.1600 (941mln), 1.1605 (330mln), 1..1625 (942mln), 1.1650 (435mln), 1.1700 (660mln).
- USDJPY: 159.00 (628mln).
- USDCAD: 1.3900 (900mln).
- AUDUSD: 0.6650 (680mln), 0.6700 (876mln).
- NZDUSD: 0.5745 (350mln).
- EURNOK: 11.7500 (453mln).
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SOFR: SFRH6/U6 Sold
Dec-15 09:05
SFRH6/U6 8K given at -35.5 over a few clips
GILTS: Firmer To Start, Futures Stick To Well-Defined Range
Dec-15 08:45
Gilts follow core global FI peers away from Friday lows at the open, with futures recovering to 91.20.
- Our technical analyst notes that recent price action in futures highlights 90.53, the Nov 25/26 low, and 91.93, the Nov 27 high, as important short-term directional triggers.
- Yields 1-2bp lower, curve leans flatter after 2s10s and 5s30s recovered by ~8bp from their respective post-Budget closing lows.
- STIR pricing roughly in line with pre-gilt open levels, indicating ~22bp of easing for this week’s BoE decision and 63bp of cuts through end ‘26.
- The Bank will receive both of the releases this morning and as long as there are no notable surprises, we expect Governor Bailey to join the four dovish dissenters from the November meeting, which would mean that the Bank would deliver a 25bp cut.
- Expect our full suite of previews and reviews around those events.
- Some early focus on an article noting that Indeed wage tracking points to slower wage growth for lower paid workers (the cohort’s wage growth had been fairly resistant to BoE tightening), although wage growth only slowed to +5.9% Y/Y in October from a 7-month high of +6.6% in September.
EQUITIES: US and EU Roll Pace
Dec-15 08:39
- Expect for the Roll to dominate the flows in Equity Futures.
- Looking at the US Emini. ESZ5/H6 was trading at its highest level since 20th November but has been fading in early trade.
- Front Dec (ESZ5) is still slightly the most active, although expect for March to become front as soon as the end of Today.
ROLL PACE:
- ESA: 33%.
- NQA: 19%.
- DOW: 18%.
- VGA: 19%.
- GXA: 8% (below pace).
- Z A: 20%.
