EQUITIES: Large Options in Commerzbank Today

5s extend on their late June run of outperformance on the 2-/5-/10-Year fly, given the curve steepening driven by questions surrounding the future of Chancellor Reeves.

• The structure is set to close below -45bp for the first time this year, with the next level of downside interest located at the Mar ’24 closing low (-46.9bp).

Fig. 1: UK 2-/5-/10-Year Gilt Butterfly (bp)

Source: MNI 0 Market News/Bloomberg Finance L.P.

UK fiscal worry also showing up in longer dated UK swap spreads, the 10-Year spread is the best part of 3bp lower since speculation surrounding Chancellor Reeves’ future intensified, while 30-Year swap spreads are more than 4bp lower over the same horizon. April lows are still some distance away.

• -5,000 FVU5 108-22.25, sale through 108-22.75 post time bid at 0905:20ET, DV01 $220,000.
• The 5Y contract trades 108-23.75 last, however.