Bulls Chew Away At Opening Gap Lower, Cash Still Cheaper On The Day But Off Extremes

Gilt bulls have chewed away at the opening gap lower in futures but haven’t managed to fully erase the move as of yet, leaving the contract +30 or so, with Thursday’s late high (95.20) presenting the initial area of technical resistance as the contract shows back above 95.00. Cash Gilts see 0.5-3.5bp of cheapening on the day as the curve steepens after flattening early on, with intermediates bouncing from session cheaps to sit little changed on the day.

• The early BoE hawkish repricing has moderated alongside Gilts moving away from cheaps, leaving terminal pricing on the BoE-dated OIS strip closer to 6.20% after the show above 6.25% early on.
• SONIA futures sit -0.5 to +3.0 on the day, twist flattening as the late reds/early greens outperform.
• Swap spreads are little changed to a touch wider, with the moves most pronounced out to 10s.