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Goldman Sachs think that the SFRZ6/Z7 spread offers attractive asymmetry and recommended initiating steepeners at 6.0 on Friday, targeting a move to 20.0, with a stop set at 0.0.

• They believe that “the widely anticipated September payrolls print did not offer the definitive answer that market participants were likely looking for. The lack of another NFP release before the December FOMC meeting leaves something on the table for both the doves and hawks on the committee, although we still view risks to the very front-end - including December - as skewed dovish versus current pricing given the continued softening in labor market slack measures and recent wobbles in risk sentiment”.
• Goldman note that “amid the lack of clarity, terminal rate pricing has remained steady around 3%, with forward gaps beyond 2026 at historically flat levels. weaker labor market activity could front-load cuts and take terminal rate pricing more firmly below 3% but keep forwards relatively stickier, while signs of reacceleration in underlying activity could see the market open up the right tail on forward rates”.

RXH6 133/134.50cs, bought for 9.5 in 3k.

Large Euribor Calendar spread, helps explain the jump in Volume for these Expiries.

• ERM6/U6 sold at -0.5 in 25k, offered over.