GBP: GBP/USD Gains Gather Pace Headed into NY Hours
Jul-06 10:35
- GBP/USD gains continue to gather pace in recent trade, pushing the rate to fresh daily highs at 1.2757 as a volume surge at around 1121BST buoyed prices. Daily cumulative volumes now sit ahead of average for this time of day across futures - with the gyrations across rates markets clearly filtering through to currencies.
- GBP price action may be a case of currencies catching up with the run higher in implied BoE pricing. As noted earlier, BoE-dated OIS terminal policy rate pricing holds above 6.50% after piercing 6.60% earlier in the day - a move which initially left GBP unmarked, but has now begun to catch-higher.
- Short-end implied vols across GBP remain elevated, with overnight vols now north of 11 points as markets eye tomorrow's NFP release. Further out the curve, 1m vols remain heavy despite the contract now capturing the next BoE rate decision on August 3rd.
- Next upside level of note at 1.2849, the 0.618 proj of the Mar 8 - May 10 - May 25 price swing.
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ESM ISSUANCE: 3-Month ESM Bills
Jun-06 10:34
| Type | 3-month bills |
| Maturity | Sep 7, 2023 |
| Amount | E1.084bln |
| Target | E1.1bln |
| Previous | E1.027bln |
| Avg yield | 3.2281% |
| Previous | 3.1236% |
| Bid-to-cover | 2.54x |
| Previous | 2.48x |
| Previous date | May 02, 2023 |
BONDS: Bund and OAT lead
Jun-06 10:33
- Some upside continuation in Bund and French OAT, as the US joins the session, and the German 10yr now targets 135.00, followed by the 135.28 area.
- Tnotes are unmoved, but next upside resistance in TYU3 is seen towards 114.20.
STIR: BLOCK, SOFR Conditional Bear Curve
Jun-06 10:29
- 4,000 OQN3 96.00/96.43 put spds vs. 2QN3 96.68 puts, 6.5 net with Jul'23 SOFR midcurve spd over the Green Jul'23 at 0621:47ET
