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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
Fig 1: BTP Spreads Continue To Compress
EGB SUMMARY : Augusty Markets
- Bunds have moved higher alongside gilts today in a fairly unvolatile day. Bund futures have stuck to a narrow range between 175.54-176.06 in what appear to be very Augusty markets.
- Peripheral spreads are mixed on the day with BTP and GGB spreads tightening but Portuguese spreads widening on the day. Most other spreads are largely unchanged.
- In terms of curves, there has been some steepening of the 10s30s Bund curve but most other curves are little changed on the day.
- The data calendar is very thin this week with the flash August PMIs on Friday the highlight while the Accounts of the ECB meeting will also be watched.
- Sep Bund futures (RX) up 30 ticks at 176.06 (L: 175.54 / H: 176.06)
- Sep BTP futures (IK) up 55 ticks at 147.65 (L: 146.92 / H: 147.66)
- Sep OAT futures (OA) up 34 ticks at 168.07 (L: 167.64 / H: 168.07)
- Italy / German 10-Yr spread 2.4bps tighter at 138.4bps
GILT SUMMARY : TRADING FIRMER
Gilts have firmed through the session and now trade near the highs of the day.
- The Sep-20 gilt future trades at 137.02, the session high.
- Cash yields are broadly 2-3bp lower on the day. Last yield levels: 2-year -0.0475%, 5-year -0.0443%, 10-year 0.2205%, 30-year 0.7763%.
- The short sterling futures strip has flattened with greens/blues up 3.0-4.0 ticks.
- Looking ahead, July CPI data will be published on Wednesday, followed by August CBI trends for August on Thursday.
- Tomorrow the DMO will sell GBP3.25bn of the 0.125% Jan-23 gilt and GBP2.0bn of the 0.625% Oct-50 gilt.
EGB options flow included:
- DUU0 111.80/111.70 put spread bought for 0.5 in 10k. Expires this Friday
- OEU0 135.00 call bought for 4.5 in 10k (expiry this Friday)
- RXU0 175.00/174.50 put spread trades at 5.5 in 2.8k
- RXV0 175.00 call bought for 33 / 35 in 5k
- ERU0 100.50/100.625 call spread sold down to 0.25 in 16k (v 100.455, 5d)
- LZ0 99.875/100.00 call spread sold at 3.25 in 2k
- 2LZ0 / 2LV0 99.875/100.00 call spread calendar, sold the Dec (Z) at flat in 2k
LOOK AHEAD:
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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