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COMMODITIES

WTI Strikes Sept High, Narrows in On Bull Trigger

EURUSD TECHS

Eyeing Key Support

FED

Nordea on FOMC, Keep Eye on NFP

US TSY OPTIONS

Large 5Y Put Trade

US TSY OPTIONS

Late Week Vol Seller

FOREX

Risk Appetite Capped, High Beta FX Edges Lower

GILTS
GILTS: On today's 5-yr Gilt re-opening auction both RBC and Citi say that the
Jul-23 gilts has cheapened on the curve and that the 2s/5s/10s fly is at all
time cheap levels.
- Both also agree that 5s/10s asset swap box is at or near historic lows due
mainly to recent political turmoil in Italy.
- On A cross market basis RBC say that 5-yr Gilt/Tsy spread is at its lows while
compared to 5-yr Bobl its towards this years highs. While Citi say the 2s/5s
Gilt spread has steepened compared to both German and US Tsys since March and
both box spreads are very close to their steepest levels this year.