STIR: Mixed SOFR Call Positioning
Feb-28 15:27
- +20,000 0QM5/0QU5 97.50 call spds, 3.75 to 4.0
- -20,000 SFRJ5 96.12/96.37/96.50/96.75 call condors, 1.25 vs. 95.895/0.10%
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EURIBOR OPTIONS: Call Fly buyer, the Call Spread trades for more
Jan-29 15:26
- ERM5 98.00/98.12/98.25c fly, bought for 1.25 in 20k.
- For the ERM5 98.12/98.25cs, this has now been bought for half in 79.5k.
CANADA: Dovish Rates Reaction To BoC Gains Ground, FX Unfazed
Jan-29 15:26
- 2Y GoCs have extended a dovish reversal of what was initially, and only briefly, a small hawkish reaction to the BoC statements.
- 2Y yields are now 3bp lower for -5.5bp on the day, setting new lows since 2022 in the process.
- It sees the Can-US 2Y differential fall to fresh multi-decade lows of -142bps (-3bp post-decision, -5.7bp on the day).
- BoC-dated OIS currently shows a rough 50/50 call for a 25bp cut or pause with the March decision, whilst CORRA futures are 2.5-3bp lower across the curve implying a terminal of 2.5-2.55% depending on spread assumptions.
USDCAD meanwhile, at 1.4440, is still within a few pips of pre-announcement levels, remaining below the session high of 1.4472 and resistance at 1.4516 (Jan 21 high).
EQUITIES: EU Bank Index trades at a new 9.5 years high
Jan-29 15:20
- A new 9.5yrs high for the Bank index (SX7E), so far printed a 162.75 high, and edging closer to the 163.00 handle, with main level in focus coming at 163.34, the 2014 high.
- The Tech sector is nonetheless still leading today in Europe, up 3.18%.
