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GILT AUCTION RESULTS

DMO sells GBP2.25bln of the 1.25% Oct-41 gilt

ESM ISSUANCE

E1.5bln of 6-month bills sold

US 10YR FUTURE TECHS

(M1)‌‌ Bearish Focus

BUNDS

Block trade

AUD

AUD: Keeping an eye on options, there has been some increased implied volatility ahead of the key data releases tomorrow.

  • 1-week implied volatility is 0.2575 higher at 10.0475 – and up from 7.9575 as recently as Dec 24. 1-month is up to 9.785. Tail risks in the pair have crept higher too, with 1-month 10-delta butterflies at 0.81.
  • Puts remain favoured over calls, 25-delta risk reversals fall to -0.6475, though are off lows of -1.04 seen on Jan 11.