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GILT SUMMARY

Curve Flattening Into Weekend

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Expiries for Mar08 NY cut 1000ET (Source DTCC)

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Latest block trade lodged at 02:21:16 London, 21:21:16 NY:

  • TYJ1 138.00 calls, 10.0K blocked at 0-06, looks like a seller
  • TYJ1 133.50 puts, 10.0K blocked at 0-10, looks like a buyer
  • Looks like another round of buying the puts to sell the calls via the TYJ1 138.00/133.50 risk reversal. We saw the same trade, on the same volume, in the same direction during Asia-Pac hours last week, in addition to a similar play in the TYJ1 138.00/133.00 risk reversal (although that was hedged with long FV futures).