BUNDS: A Large jump in the Bund Roll
A massive jump in the Bund roll, over half the front Month is spread related, the trades below are UK time, showing the March leg, and only the sizes above 30k outright in just the last 30 minutes.
- 14:34:18 in 75k.
- 14:21:49 in 45.75k.
- 14:21:49 in 100k.
- 14:11:07 in 73.11k.
- 14:11:07 in 30.38k.
- 14:11:07 in 100k.
Latest order saw the spread sold at 89 and 88.
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
STIR FUTURES: BLOCK: December'25 SOFR Sale
- -5,000 SFRZ5 96.11, post time bid at 0941:40ET, the Dec contract trades 96.115 last (-0.020).
EGBS: OAT Outperformance Vs. Iberians Stalls
Looking a little more broadly than the spread to Bunds, the mid-January richening for French paper on the 10-Year SPGB/OAT/PGB butterfly has seemingly stalled.
- This suggests that the latest leg of tightening seen in OAT/Bunds (since the middle of last week) has been more of a broad EGB spread tightening move, as opposed to an OAT-driven move.
- The structure last trades at -45.2bp vs. a January closing high of -44bp, with the December closing high at -41.6bp remaining intact.
- Relative Spanish & Portuguese credit rating trajectories and fiscal situations (outside of short-term Spanish spending on flood relief) will likely prevent meaningful OAT outperformance on the structure as long as French fiscal and political risks remain evident.
Fig. 1: 10-Year SPGB/OAT/PGB Butterfly (bp)
Source: MNI - Market News/Bloomberg
EQUITIES: US Cash opening calls
US Equity futures have ran out of steam in the last few hour, the NQH5 has managed to bounce 3.18%, and the Emini 2.1% from Yesterday's low to their printed high today.
Looking at Cash Indices, SPX should see a small upside gap, but the NDX should be quite short of Yesterday's best level.
- Calls: SPX: 6,029.0 (+0.3%); DJIA: 44,750 (+0.1%/+36pts); NDX: 21,174.6 (+0.2%).
