CROSS ASSET: Risk-Off Move Starts To Fade
Initial risk-off cross market reaction to the cancellation of the Zelenskiy-Kellogg press conference has started to moderate, with the broader BBDXY trading to fresh session lows (see recent USD bullet for greater colour on the FX move), equities also off worst levels and core global FI off initial reaction highs.
- Nothing in the way of fresh fundamental drivers to explain the pullback.
- Our best guess is that the market has started to view this as a continuation of already strained U.S.-Ukraine relations as opposed to a deepening/escalation of the situation.
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OPTIONS: Expiries for Jan22 NY cut 1000ET (Source DTCC)
- EUR/USD: $1.0345-50(E3.1bln), $1.0375(E826mln), $1.0400(E1.0bln), $1.0500(E1.1bln)
- USD/JPY: Y154.50-60($1.1bln), Y155.50($1.3bln), Y156.45($555mln)
- AUD/USD: $0.6210(A$2.1bln)
- USD/CAD: C$1.4500($829mln)
EURIBOR: Mixed Positioning Adjustments In Euribor Futures On Monday
OI data suggests a mix of positioning adjustments in Euribor futures on Monday, as markets assessed the likely outcomes of yesterday evening’s inauguration. The strip twist flattened yesterday, with future -0.5 to +1.0 ticks through the blues.
- The largest net pack positioning swing was seen in the whites, where indicative short setting was seen in H5, M5 and Z5 futures.
- A mix of long setting and short cover dominated in the reds, greens and blues.
| 20/01/2025 | 17/01/2025 | Daily OI Change | Daily OI Change In Packs | ||
| ERH5 | 632,332 | 619,574 | +12,758 | Whites | +20,663 |
| ERM5 | 690,882 | 684,320 | +6,562 | Reds | +6,226 |
| ERU5 | 508,568 | 508,662 | -94 | Greens | -5,176 |
| ERZ5 | 671,141 | 669,704 | +1,437 | Blues | -1,589 |
| ERH6 | 404,761 | 405,566 | -805 | ||
| ERM6 | 334,283 | 330,503 | +3,780 | ||
| ERU6 | 272,064 | 271,353 | +711 | ||
| ERZ6 | 284,522 | 281,982 | +2,540 | ||
| ERH7 | 163,600 | 168,609 | -5,009 | ||
| ERM7 | 127,802 | 128,388 | -586 | ||
| ERU7 | 99,111 | 100,505 | -1,394 | ||
| ERZ7 | 130,490 | 128,677 | +1,813 | ||
| ERH8 | 53,911 | 53,367 | +544 | ||
| ERM8 | 44,479 | 44,457 | +22 | ||
| ERU8 | 22,284 | 23,384 | -1,100 | ||
| ERZ8 | 39,655 | 40,710 | -1,055 |
GILT AUCTION RESULTS: On offer next week
The DMO has announced it will be looking to sell GBP1.5bln of the new 1.125% Sep-35 linker (ISIN: GB00BT7HZZ68) at its auction next Tuesday, January 28.
