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Indices Fade After Multi-Day Run Higher


Schatz call fly


EGB/Gilt: EGBs Under Pressure


Strangle vs Call


SONIA call spread

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EGBs have traded within this morning's ranges, and while Bund is still up on the session, contracts look better offered at the time of typing, ahead of the FOMC.

  • German curve has consolidated some of this morning flattening bias, but we are still in the tight range of this past week (77.469/73.86).
  • Peripheral spreads are wider, with Spain by 1.1bp on the session.
  • Gilts are also underperforming versus Germany, with some reversal in the curve.
  • 5/30s was bull flatter this morning, but now bear steeper this afternoon.
  • And the Gilt/Bund spread has widened by 2.7bps, and widest since the 6th May, now at 102.289bps
  • Looking ahead, all the attention now turns to the FOMC and Fed Powell's presser
  • Gilt futures are down -0.05 today at 129.68 with 10y yields up 1.7bp at 0.574% and 2y yields up 1.0bp at 0.080%.
  • Bund futures are up 0.16 today at 176.42 with 10y Bund yields down -0.8bp at -0.450% and Schatz yields down -0.9bp at -0.758%.
  • BTP futures are up 0.07 today at 154.24 with 10y yields up 0.1bp at 0.623% and 2y yields down -1.0bp at -0.452%.
  • OAT futures are up 0.01 today at 161.84 with 10y yields up 0.5bp at -0.85% and 2y yields down -0.6bp at -0.711%.