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.

Historical bullets

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.