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Twist Flattening Maintained, Futures Off Lows

US TSYS

Bear Flattening Consolidated

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Recap: TYX2 110.00/114.00 Strangle Blocked

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EGB/Gilts - Reverse some of Friday's sell off

BONDS
  • A calm start of the week, although Bund still manages to trade in a 122 ticks range at the time of typing.
  • Nonetheless, volumes are still very low and way below averages, not too surprising, with all the action starting on Wednesday this week.
  • Real Money are likely sitting on the sidelines, and flow is most likely from Prop desk and Locals.
  • Some desk will also likely position for the US CPI, with consensus going for a slowdown median reading of 0.2% MoM versus 1.3% last Month.
  • Cross assets have continued to unwind post NFP price action, seen in Govies, Equities and FX.
  • Peripheral spreads are all wider, and Greece leads today, by 7.8bps, but within past ranges.
  • Gilts outperforms, pushing the Gilt/Bund spread 3.6bps tighter.
  • Investors have faded some of the widening after Gilt/Bund spread, after it traded at its highest level since March last week.
  • Gilt futures are up 1.02 today at 117.68 with 10y yields down -11.4bp at 1.933% and 2y yields down -10.9bp at 1.836%.
  • Bund futures are up 1.02 today at 156.96 with 10y Bund yields down -7.7bp at 0.875% and Schatz yields down -4.1bp at 0.415%.
  • BTP futures are up 0.11 today at 128.25 with 10y yields down -2.4bp at 2.993% and 2y yields up 1.7bp at 1.292%.
  • OAT futures are up 0.75 today at 145.92 with 10y yields down -6.7bp at 1.421% and 2y yields down -0.3bp at 0.353%.
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  • A calm start of the week, although Bund still manages to trade in a 122 ticks range at the time of typing.
  • Nonetheless, volumes are still very low and way below averages, not too surprising, with all the action starting on Wednesday this week.
  • Real Money are likely sitting on the sidelines, and flow is most likely from Prop desk and Locals.
  • Some desk will also likely position for the US CPI, with consensus going for a slowdown median reading of 0.2% MoM versus 1.3% last Month.
  • Cross assets have continued to unwind post NFP price action, seen in Govies, Equities and FX.
  • Peripheral spreads are all wider, and Greece leads today, by 7.8bps, but within past ranges.
  • Gilts outperforms, pushing the Gilt/Bund spread 3.6bps tighter.
  • Investors have faded some of the widening after Gilt/Bund spread, after it traded at its highest level since March last week.
  • Gilt futures are up 1.02 today at 117.68 with 10y yields down -11.4bp at 1.933% and 2y yields down -10.9bp at 1.836%.
  • Bund futures are up 1.02 today at 156.96 with 10y Bund yields down -7.7bp at 0.875% and Schatz yields down -4.1bp at 0.415%.
  • BTP futures are up 0.11 today at 128.25 with 10y yields down -2.4bp at 2.993% and 2y yields up 1.7bp at 1.292%.
  • OAT futures are up 0.75 today at 145.92 with 10y yields down -6.7bp at 1.421% and 2y yields down -0.3bp at 0.353%.