OPTIONS: Multiple Put Spread Purchases Across Bund, Euribor Thursday
Feb-27 17:52
Thursday's Europe rates/bond options flow included:
- RXJ5 130.50/129.50 put spread, bought for 16.5 on 10k
- RXJ5 130.50/129.50 put spread bought for 18.5 on 10K vs. 58s.
- ERJ5 97.75/97.685 put spread vs. ERM5 97.75/97.685 put spread paper paid 0.75 on 5K for the M5.
- ERH5 97.56/97.50 1x2 put spread paper paid 0.5 on 2K.
- ERJ5 97.81/97.75/97.68 put ladder, paper paid 1.25 on 4K.
- ERZ5 97.93/98.18/98.43/98.68c condor vs 97.50p, bought the condor for 4.25 in 5k.
- 2RM5 97.875^ paper paid 33 on 4K
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OPTIONS: More Varied Rates Structures Remain Centred Around Upside
Jan-28 17:52
Tuesday's Europe rates/bond options flow included:
- DUJ5 107 calls, bought for 10.5 in +5k
- RXH5 131.50/130.50ps 1x2, bought the 1 for 1.5 in ~1.95k.
- ERM5 98.00/98.12/98.25/98.37c condor, bought for 1.25 in 8k.
- ERM5 98.00/98.25cs 1x2, bought for 0.75 in 4k.
- ERU5 97.625/97.50/97.375p fly 1x3x2, bought for -0.5 in +3k.
- SFIJ5/M5 95.95/96.05cs calendar spread, bought the June for 1 in 8k total.
- SFIG5 95.65/95.70/95.75c ladder 2x1x1, bought for 2.5 in 5k.
BONDS: EGBs-GILTS CASH CLOSE: Bear Steeper Ahead Of Slew Of Cenbank Decisions
Jan-28 17:51
European curves bear steepened Tuesday, ahead of a heavy slate of central bank decisions.
- Core bonds performed well overnight, after further concerns over US tariffs emerged. But a risk-on tone returned to markets with equities rallying in European morning trade, ultimately applying pressure on both Bunds and Gilts.
- Implied ECB policy rates ticked slightly higher ahead of Thursday's decision, for which a 25bp cut remains nearly 100% priced (MNI's preview was out today, see here)
- The German belly outperformed its UK counterpart, but underperformed throughout most of the rest of the curve.
- Periphery/semi-core EGB spreads closed tighter. However, BTP spreads reversed most of the session's earlier tightening on news that Italy PM Meloni was under investigation in a case relating to the repatriation of a Libyan police officer.
- Wednesday's calendar includes a policy address by UK Chancellor Reeves and Spanish GDP, with attention on global central bank decisions (BOC, Riksbank, Federal Reserve) ahead of the ECB Thursday.
Closing Yields / 10-Yr EGB Spreads To Germany
- Germany: The 2-Yr yield is up 2.3bps at 2.272%, 5-Yr is up 2.4bps at 2.365%, 10-Yr is up 3.4bps at 2.565%, and 30-Yr is up 2.9bps at 2.78%.
- UK: The 2-Yr yield is up 2.2bps at 4.31%, 5-Yr is up 2.7bps at 4.31%, 10-Yr is up 2.9bps at 4.614%, and 30-Yr is up 3.1bps at 5.174%.
- Italian BTP spread down 0.7bps at 109.5bps / French OAT down 1.9bps at 72.1bps
US TSYS/SUPPLY: WI 7Y
Jan-28 17:51
WI has slipped to 4.465% from 4.470% heading into the US Tsy $44B 7Y Note auction (91282CMK4) cutoff at 1300ET, 6.7bp rich to last month's stop: 2.2bp through with 4.532% high yield vs. WI of 4.554%.
