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US EURODLR OPTIONS

BLOCK, Long Green Dec'23 Put Spd

SOUTH AFRICA

Eskom Applies for 20.5% Electricity Price Hike in 2022

US TSY FUTURES

BLOCK, 5Y

US 10YR FUTURE TECHS

(H2)‌‌ Shows Below 20-Day EMA

US TSYS
US TSYS: T-Notes held a 0-05 range overnight, last -0-02+ at 130-2+, curve twist
steepening. Focus on the ever-spreading Coronavirus featured heavily in holiday
thinned Asia-Pac trade, with the first case of the virus declared in Germany.
Elsewhere, the latest round of leaks from John Bolton's book crossed via the
NYT, suggesting that Bolton was concerned that President Trump carried out
favours for autocratic leaders, namely Xi & Erdogan.
- Asia saw risk reversals blocked, adding to the recent theme in the timezone.
FVH0 119.25/50 puts seemingly bought vs. 120.00/120.25 calls, with a slight
overweighting of the puts & the delta hedged. We also saw a FV/TY steepener
blocked. Worth recapping that Monday saw bulls fail to mount a sustained
challenge of 131-00 in TYH0, (yields bottomed out at ~1.60%). Some highlighted
large short positioning in various TY 131.00 calls as a source of resistance.
- Eurodollar futures sit -0.5 to -1.0 through reds.
- Flash durables & consumer conf. headline the local docket on Tues. 2-Year FRN
& straight 7-Year supply also slated after the recent richening resulted in less
than stellar 2- & 5-Year supply Monday, with 5s particularly suffering.
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com