EQUITIES: Roll pace update
Jun-10 13:03
Equity roll update, pace will really start to pick up next week, ahead of expiry next Friday.
Looking at Estoxx (VGM2), a third of the front Month volume is spread related.- ESA: 15%
- NQA: 14%
- DOW: 14%
- VGA: 18%
- DAX: 11%
- FTSE: 16%
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US TSYS: Market Roundup: Post-Data Bear Flattening
May-11 12:59
Rates still weaker after higher than expected April inflation data, reversals pauses with some two-way last few minutes with fast$ buying 10s. Heavy front end selling (2YY taps 2.7276% high vs. 2.6124% late Tue) on prospect of renewed hawkishness from the Fed to combat inflation.
- Yield curve volatility at the moment, flatter but off lows: 2s10s -4.544 at 32.892 vs. 28.372 low; 5s30s holding off inversion for the moment at 5.4684 (-1.750) vs. 2.519 low.
- US 10Y technicals: primary downtrend remains intact and the recovery from Monday’s low is considered corrective. Recent fresh cycle lows confirmed a resumption of the downtrend and an extension of the price sequence of lower lows and lower highs.
- Furthermore, recent corrections have tended to be shallow and this highlights bearish sentiment. June 10Y futures trading 118-07 (-18) with key support at 117-08+ (Low May 9 and the bear trigger). Below that, attention on 116-28, a Fibonacci projection. Key resistance is 120-18+, Apr 27 high.
- Cross-assets: WTI Crude Oil (front-month) holding gains +$3.10 at $102.86; while support in Gold evaporates, currently at $1839.00.
UK: Reaction in UK markets to higher than expected US CPI
May-11 12:50
- SONIA futures now down up to 5.0 ticks on the day (a move of around 10 ticks for some contracts since the data was released).
- Markets now pricing in around 115bp for BOE this year - up from around 110bp pre-data. There has been a gradual steepening of the curve through the near-dated MPC pricing.
- Gilt futures now around 50 ticks lower on the day (118.65 at writing - down 100 ticks from a high of 119.69 earlier this morning and around 50 ticks since the US inflation print).
US EURODLR FUTURES: BLOCK, Dec'22 Sale
May-11 12:42
- -10,000 EDZ2 96.84 (-0.100), post-time bid at 0836:35ET, 96.83 last
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