US: Latest SFR Options
Dec-19 13:29
- SFRH5 95.68/95.81/95.93c fly, bought for 1.75 in 10k.
- SFRZ5 98.00/99.00cs 1x2, bought for 1.5 in 10k.
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EURIBOR OPTIONS: ERM5 97.375/97.125 Put Spread Lifted
Nov-19 13:23
ERM5 97.375/97.125 put spread paper paid 2 on 8K
GILTS: Early Rally Fades, TSC Has Little Impact
Nov-19 13:22
Global cues continue to dominate, with the apparent lack of meaningful damage from the Ukrainian missile attack on Russia seemingly placating some worry for now.
- Futures slowly edging away from session highs alongside core global peers, last +41 at 94.15 vs. best levels of 94.64.
- Key resistance at 94.73 went untested.
- Yields 1.5-4.5bp lower on the day, 4-5bp off session lows, curve flattens.
- BoE TSC headlines had little lasting impact, with the main takeaways being newcomer Taylor seemingly positioning himself at the dovish end of the spectrum, as well as Bailey and Lombardelli noting "balanced risks" for the inflation outlook.
- Based on current conditions, we believe that February and May cuts seem likely.
- This seems to tie in with the BoE’s idea of “gradual” cuts, along with the MPC meetings.
- STIRs currently price 19bp of cuts through February and 42bp through May, so lean towards our view, albeit not quite fully discounting it.
BoE Meeting | SONIA BoE-Dated OIS (%) | Difference vs. Current Effective SONIA Rate (bp) |
Dec-24 | 4.682 | -1.9 |
Feb-25 | 4.511 | -18.9 |
Mar-25 | 4.429 | -27.1 |
May-25 | 4.282 | -41.8 |
Jun-25 | 4.230 | -47.0 |
Aug-25 | 4.151 | -54.9 |
Sep-25 | 4.112 | -58.8 |
Nov-25 | 4.056 | -64.4 |
Dec-25 | 4.032 | -66.8 |
EURIBOR OPTIONS: ERH5 97.50/97.75 Call Spread Also Sold
Nov-19 13:21
ERH5 97.50/97.75 call spread 10K given all day at 14.25-14.0.
