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GILT TECHS

(Z1) Heavy!

EURIBOR OPTIONS

Put condor

MARKET INSIGHT

Price Signal Summary - BOND Bear Cycle Extends

EURIBOR OPTIONS

Large call spread

BTP

BTP option, call spread buyer

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Coming up: $41B 10Y-Note R/O (91282CCS8). 10Y yield is currently running around 1.372% -- in-line with July's auction:

  • Tsy futures bounced off lows after last month's strong 10Y-Note re-open stopped through with 1.371% high-yield vs. 1.375% WI at the cut-off.
  • July bid-to-cover slipped to 2.39x vs. June's 2.58x -- the highest in over a year, but closer to the five month average of 2.43x.
  • Indirect take-up eased slightly to 63.48% vs. 61.09% 5M avg, direct bidders slipp to 17.48% vs. June's 19.23% (>1Y high). Primary dealer take-up climbed to 19.04% vs. June's 15.73%, but still off 21.06% five month average
  • Timing: The 10Y note auction results will available shortly after the competitive auctions closes at 1300ET.
  • The next 10Y auction is tentatively scheduled for September 8.