GILTS: Coiling Ahead Of A Busy Week
Gilt futures are left to coil within yesterday’s range, with bulls unable to test yesterday’s high during the rally that followed the softer-than-expected U.S. retail sales data.
- Initial support and resistance (92.31/94.35) untouched, with the bull cycle remaining in play in the contract.
- Yields now 0.5-1.5bp higher across the curve.
- BoE-dated OIS back to little changed on the day, showing 57.5bp of cuts through year-end, with markets continuing to price ~90% odds of the next cut coming by the end of the May meeting.
- Next week’s UK data calendar is headlined by the labour market (Tuesday) and inflation (Wednesday) reports.
- Next week will also bring the release of the volatile retail sales data, which is less important for BoE policymaking.
- Note that BoE Governor Bailey will speak on Tuesday, but the topic of the address (“preserving and enhancing open financial markets”) seemingly lessens the chances of market impact.
- DMO supply will come via GBP1.75bln of the 4.00% Oct-63 gilt (Tuesday) and GBP4.25bln of the 4.375% Mar-28 gilt (Wednesday).
BoE Meeting | SONIA BoE-Dated OIS (%) | Difference vs. Current Effective SONIA Rate (bp) |
Mar-25 | 4.429 | -2.5 |
May-25 | 4.233 | -22.1 |
Jun-25 | 4.150 | -30.4 |
Aug-25 | 3.998 | -45.6 |
Sep-25 | 3.966 | -48.8 |
Nov-25 | 3.897 | -55.7 |
Dec-25 | 3.882 | -57.2 |
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Historical bullets
EQUITY TECHS: E-MINI S&P: (H5) Approaching The 50d EMA Resistance
- RES 4: 6178.75 High Dec 6 and key resistance
- RES 3: 6163.75 High Dec 16
- RES 2: 6068.25/6107.50 High Jan 6 / High Dec 26
- RES 1: 5987.43 50-day EMA and a pivot resistance
- PRICE: 5978.00 @ 14:56 GMT Jan 15
- SUP 1: 5809.00 Low Jan 13
- SUP 2: 5784.00 Low Nov 4
- SUP 3: 5698.25 50.0% retracement of the Aug 5 - Dec 6 bull leg
- SUP 4: 5658.00 Low Sep 12 ‘24
A bear threat in the S&P E-Minis contract remains present. However, today’s gains have exposed resistance at 5987.43, the 50-day EMA. The average marks an important short-term pivot level and a clear break would signal a possible reversal. This would open 6107.50, the Dec 26 high. Key short-term support has been defined at 5809.00, the Jan 13 low. A breach of this level would confirm a resumption of the downtrend.
US TSY OPTIONS: Large Mar'25 10Y Call Buyer, Ongoing
- +40,000 TYH5 109 calls, 35 vs. 108-09/0.36%, corresponds to appr 4.543%. Total volume in the call just over 74,000 on the day
US TSY FUTURES: BLOCK: Recent Mar'25 2Y Sale
- -6,000 TUH5 102-24.25, post time bid at 0932:00ET, DV01 $216,000. The 2Y contract trades 102-23.75 last (+5.62), contributing to curve flattening this morning with 2s10s -4.033 at 38.106.
