OPTIONS: Week Ends With Mixed Bund, Euribor Midcurve, And Sonia Plays
Sep-05 16:52
Friday's Europe rates/bond options flow included:
- RXV5 128.50/127.50/125.00 broken put fly paper paid 12 on 2.5K
- 2RZ5 97.75/98.00 call spread vs 3RZ5 97.625/97.875 call spread. Paper pays 2.5 to 2.75 in 5k, buying the 2RZ5 spread
- SFIZ5 96.30/96.55/96.80 call fly 10K given at 1.5
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US TSYS SUMMARY: WI 10Y
Aug-06 16:47
WI 10Y inches up to 4.247% from 4.245% earlier heading into the $42B 10Y note auction (91282CNT4) cut-off at 1300ET, compares to last month's stop: 4.362% high yield vs. 4.365% WI.
FED: US TSY 10Y AUCTION: NON-COMP BIDS $143 MLN FROM $42.000 BLN TOTAL
Aug-06 16:45
- US TSY 10Y AUCTION: NON-COMP BIDS $143 MLN FROM $42.000 BLN TOTAL
STIR: 60bp Of Fed Cuts Eyed By Year-End, Fedspeak Still To Come
Aug-06 16:44
- Fed Funds implied rates for meetings out to Mar 2026 have levelled off after steadily declining earlier in US hours, back more firmly into post-payrolls ranges.
- The Dec 2025 rate is 1.5bp lower on the day after a 4bp intraday decline.
- Cumulative cuts from 4.33% effective: 23.5bp Sept, 40bp Oct, 60bp Dec, 71bp Jan and 84bp Mar.
- Declines in implied yields are limited across the SOFR curve, however, steepening with the terminal yield currently 2bp higher on the day at 3.05% (SFRH7) and up to 4.5bp increases seen in the blues.
- Earlier today, Minneapolis Fed’s Kashkari (’26 voter) told CNBC he's concerned about the trajectory of economic growth. His outlook for two rate cuts by year-end is still "reasonable" (he said in June that this implied a "possible first cut in September") though he suggests that the Fed could reverse course if it turns out tariffs are too inflationary for comfort.
- Bloomberg sources reported that Trump’s advisers are encouraging him to nominate a temporary Fed governor to fill the vacant seat on the central bank’s board (from Kugler’s earlier than planned departure). Kalshi odds of Trump announcing a new Fed Chair in 2025 stand at 66% vs highs of around 80% earlier this week.
- ING brought forward their next Fed cut call from Dec to Sep, to be followed by cuts in Oct and Dec plus two more in early 2026.
- Still to come today, Gov. Cook (voter) and Collins (’25 voter) in a panel event at 1400ET in the first update in two months for Cook. Daly (non-voter) follows at 1610ET where she will likely build on her dovish tilt following payrolls: “I think the more likely thing is that we might have to do more than two [cuts this year]...we also should be prepared in my judgment to do more if the labor market looks to be entering that period of weakness and we still haven’t seen spillovers to inflation”.
- Trump’s announcement at 1630ET will be investment-focused after earlier Apple news.
