OPTIONS: Upside-Leaning Structures In European Rates
Aug-06 18:09
Wednesday's Europe rates/bond options flow included:
- RXV5 131/130/129p fly, bought for 15.5 in 2k.
- ERH6 99.0/99.50 call spread, bought for 0.75 in 10k
- SFIQ5 96.15/96.20 call spread saw paper pay 1.0 on 7K
- SFIZ5 96.55/96.75cs, bought for 2 in 2k
- SFIZ5 96.60/96.80/97.00/97.20c condor sold at 0.75 in ~1.3k with SFIZ5 96.50/96.70cs, sold at 2.25 in ~2.88k
- SFIM6 96.75/97.50/98.25c fly, bought for 10.25 in 8k
- SFIM6 97.00 calls paper paid 8.75 on 4K vs. 96.535
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BONDS: Europe Pi: Twist Steepening An Apparent Theme In Germany (1/2)
Jul-07 18:04
From our latest Europe Pi positioning indicator (PDF here):
- If there is a theme in German contracts' structural positioning, it's twist steepening.
- After being "short" in our last biweekly update, Schatz has reverted to "long", where it was most of April/May.
- Conversely, Bund has moved to "very short" from "short", and Buxl has moved to "short" from "flat".
- Bobl is the only non-mover, remaining flat. Longs were set across all four contracts last week.
EURGBP TECHS: Bull Cycle Still Intact
Jul-07 18:00
- RES 4: 0.8781 2.236 pro of the Mar 3 - 11 - 28 price swing
- RES 3: 0.8738 High Apr 11 high and a key resistance
- RES 2: 0.8694 High Apr 14
- RES 1: 0.8670 High Jul 02
- PRICE: 0.8610 @ 15:49 BST Jul 7
- SUP 1: 0.8603 Low Jul 7
- SUP 2: 0.8550/8503 20- and 50-day EMA values
- SUP 3: 0.8459 Low Jun 11
- SUP 4: 0.8407 Low Jun 4
The trend condition in EURGBP is unchanged, it remains bullish and last week’s gains reinforce current conditions. Moving average studies are in a bull-mode position - highlighting a dominant uptrend. 0.8648, 76.4% of the Apr 11 - May 29 downleg, has been pierced. A continuation higher would open 0.8738, the Apr 11 high and a key resistance. Support to watch lies at 0.8541, the 20-day EMA.
US TSY OPTIONS: Sep'25 10Y Put Skew
Jul-07 17:49
- -20,000 TYU5 113 calls vs. 109/110 put spds 1 net ref 111-00.5
