EQUITIES: Selling orders going through
Mar-07 08:18
- Clips seller in Equities as they break lower, VGH4 in 5k and NQH4 in 1k.
- More of a order related move with both contract lacking clear downside traction.
- Initial support in VGH4 is seen at 4862.00, but the contract is so far finding some support circa 4900.00, although did print a 4894.00 low.
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US TSY FUTURES: Some selling emerging in Treasuries
Feb-06 08:18
- Few clips sellers in Treasuries, TYA in 3.5k, USA 1.2k.
- Looking at US Tnotes, and despite the future (TYH4) printing through the January low of 110.26+, and its lowest level since mid December, printed a 110.22+ low Yesterday, the 10yr Yield remains below the January high, after forming a double top at 4.1957, just ahead of the Psychological 4.20% level.
- Today the 4.20% level would equate circa 110.18.
STIR: Euribor Firms, ECB-Dated OIS Stabilises after Recent Removal Of '24 Rate Cut Pricing
Feb-06 08:13
The firmer-than-expected German factory orders data has helped cap the move away from yesterday’s session lows in wider core global FI markets, leaving Euribor futures running +1.0 to +3.0 through the blues, a little shy of best levels.
- ECB dated OIS is little changed to ~1.5bp lower on the day, with ~128bp of cuts showing across ’24.
- A reminder that participants did not want to push end '24 pricing meaningfully below 125bp of cuts on Monday, despite a couple of limited forays beyond that marker.
- Further forwards, Apr ’24 ECB pricing sits at ~16bp of cuts (~64% odds of a 25bp cut come the end of that gathering). The recent unwind of some of the easing priced in for '24 has not seen a test of the 50/50 rate cut odds in that metric.
- The ECB inflation expectations survey and Eurozone retail sales data headline the Eurozone data docket today.
| ECB Meeting | €STR ECB-Dated OIS (%) | Difference Vs. Current Effective €STR Rate (bp) |
| Mar-24 | 3.871 | -3.6 |
| Apr-24 | 3.746 | -16.1 |
| Jun-24 | 3.488 | -41.9 |
| Jul-24 | 3.249 | -65.8 |
| Sep-24 | 3.010 | -89.8 |
| Oct-24 | 2.823 | -108.4 |
| Dec-24 | 2.629 | -127.8 |
SONIA: Put condor buyer
Feb-06 08:12
SFIZ4 95.00/94.80/94.70/94.50p condor, bought for 1.75 in 8.8k.
