2 January 7AM
Euribor We are
long Dec9 Euribor ,
Euribor1Yr
Dec 22 - sell 10 Mar9 Euribor/buy 10 Mar10 Euribor at .25 based on Sep9 Euribor 30min max
Short Sterling we are
long Dec9 ShortSterling,
Sterling 1yr
Dec 22 - sell 10 LH9 / buy 10 LH10 at .78
Gilt we are
long
Mar9 Gilt - Mar10 Sterling
Dec 29 - sell 2 Gilt/buy 12 Mar10 Sterling at +1.29
Euribor - Short Sterling
Dec 17 - long 6 Dec9 Euribor /short 8 Dec8 Sterling at -.19
Gilt / Bund
Dec 23 - buy 11 Bunds /sell 10 Gilts at 2.5 points
EURO/BP Cross
Dec 1 - sell 3 B6 / buy 2 E6 at 1.185
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Sep9 Euribor
trades 97.74
Dec 22 - buy 8 Dec9 Euribor at 97.56, sell stop at 97.68
Dec 19 - sell 8 Dec9 Euribor at 97.54 , buy stop at 97.20
Dec 15 - buy 8 Dec9 Euribor at 97.27, sell stop at 97.56
Dec 12 - sell 8 Dec9 Euribor at 97.27 , buy stop at 97.32
Mar9 / Dec9 Euribor
trades + .26
Dec 22 - sell 10 Mar9 Euribor/buy 10 Mar10 Euribor at .25
Dec 19- buy 10 Mar9 Euribor/sell 10 Mar10 Euribor at .19
Dec 15 - sell 10 Mar9 Euribor/buy 10 Mar10 Euribor at .16
Dec 12- buy 10 Mar9 Euribor/sell 10 Mar10 Euribor at .17
Sep9/Sep10 Red/Green Euribor
trades + .75
Dec 19 - buy 10 Dec0 Euribor/ sell 10 Dec11 Euribor at +.58
Dec 17 - sell 10 Dec0 Euribor/ buy 10 Dec11 Euribor at +.54
Dec 9 - buy 10 Dec0 Euribor/ sell 10 Dec11 Euribor at +.54
Euribor 2yr Front vs Green spread
trades .92
Dec 22 - sell 10 Mar9 Euribor/ buy 10 Mar11 Euribor at + .82
Dec 19 - buy 10 Mar9 Euribor/ sell 10 Mar11 Euribor at .69
Dec 15 - sell 10 Mar9 Euribor/ buy 10 Mar11 Euribor at + .64
Dec 12 - buy 10 Mar9 Euribor/ sell 10 Mar11 Euribor at .61
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Sep9 ShortSterling
trades 97.83
Dec 22 - buy 10 Dec9 Sterling at 97.65,sell stop at 97.73
Dec 19 - sell 10 Dec9 Sterling at 97.75, buy stop at
Dec 9 - buy 10 Dec9 Sterling at 97.47,sell stop at 97.75
Dec 4 - sell 10 Dec9 Sterling at 97.62, buy stop at 97.50
Mar9/Dec9 Sterling 1yr spreads
trades + .70
Dec 22 - sell 10 LH9 / buy 10 LH10 at .78
Dec 19 - buy 10 LH9 /sell 10 LH10 at .60
Dec 9 - sell 10 LH9 / buy 10 LH10 at .46
Dec 4 - buy 10 LH9 /sell 10 LH10 at .29
Sep9/Sep10 Sterling RED VS GREEN
trades + 1.11
Dec 18 - buy 10 LZ9 /sell 10 LZ10 at + 1.00
Dec 15 - sell 10 LZ9 /buy 10 LZ10 at + .96
Dec 9 - buy 10 LZ9 /sell 10 LZ10 at + .90
Nov 13 - sell 10 LZ9 /buy 10 LZ10 at + .99
Sterling 2yr FRONT VS GREEN
trades + 1.65
Dec 22 - sell 10 LH9 / buy 10 LH11 at +1.77
Dec 19 - buy 10 LH9 / sell 10 LH11 at + 1.50
Dec 9 - sell 10 LH9 / buy 10 LH11 at +1.30
Dec 4 - buy 10 LH9 / sell 10 LH11 at + 1.10
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Gilt
trades 122.7
Dec 15 - buy Mar9 Gilt at 118.87 ,sell stop at 122.4
Dec 12 - sell 1 Mar9 Gilt at 118.3 , buy stop at 118.8
Dec 12 - buy Mar9 Gilt at 118.65 ,sell stop at
Dec 5 - sell 1 Mar9 Gilt at 119.75. , buy stop at 118.6
Mar9 Gilt - Mar10 Sterling
trades + 1.30
Dec 29 - sell 2 Gilt/buy 12 Mar10 Sterling at +1.29,
Dec 17 - buy 2 Gilt/sell 12 Mar10 Sterling at +1.35,
Dec 11 - sell 2 Gilt/buy 12 Mar10 Sterling at +1.44,
Dec 4 - buy 2 Gilt/sell 12 Mar10 Sterling at +1.60,
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EURO vs UK
EURO/BP Cross
trades 1.04
Dec 1 - sell 3 B6 / buy 2 E6 at 1182
Nov 28 - buy 3 B6 /sell 2 E6 at 1.195
Nov 21 - sell 3 B6 / buy 2 E6 at 1.185
Nov 17 - buy 3 B6 /sell 2 E6 at 1.175
Sep9 Euribor - Sep9 Short Sterling
trades - .10 (IM - L)
Dec 17 - long 6 Dec9 Euribor /short 8 Dec8 Sterling at -.19
Dec 8 - sell 6 Dec9 Euribor /buy 8 Dec9 Sterling at -.14,
Dec 5 - long 6 Dec9 Euribor /short 8 Dec8 Sterling at -.10
Dec 1 - sell 6 Dec9 Euribor /buy 8 Dec9 Sterling at -.08,
Gilt / Bund
trades 2.5 points,
Dec 23 - buy 11 Bunds /sell 10 Gilts at 2.5 points
Nov 25 - sell 11 Bunds/buy 10 Gilts at 5 , points
Nov 17 - buy 11 Bunds /sell 10 Gilts at 4.75 points