Gap Lower Filled, Futures Briefly Print At Unchanged Levels

The opening gap lower in gilt futures has been filled, with bulls pushing the contract to highs of 92.38, which is in line with yesterday’s settlement level, before a fade to 92.25.

• The failure of bears to breach technical support in futures, coupled with some weakness in crude oil futures and the broader rebound in core global FI markets, have been the driving factors observed during the recovery from session cheaps.
• PM Sunak’s Conservative Party conference comments haven’t been a needle mover for gilts, with all of the comments outlined thus far expected and/or non-market moving.
• Cash gilts run 0.5-3.0bp richer, with the wings outperforming intermediates.
• SONIA futures are +1.5 to -3.5 through the blues, with the strip twist steepening.
• BoE-dated OIS contracts are little changed to a couple of bp softer.