EQUITY TECHS: E-MINI S&P: (H6) Corrective Cycle
* RES 4: 7042.67 2.0% Upper Bollinger Band * RES 3: 7014.00 High Oct 30 and the bull trigger * RES 2...
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BONDS: Domestic Agents Filling The Void Left By CBs Across DM
Central bank balance sheet reduction policies (either through active sales or passive runoff) have increased the amount of debt needing to be absorbed by private (i.e. non-official) market participants. In many DM countries, the decrease in central bank footprint has largely been absorbed by domestic (particularly nonbank) agents. Meanwhile in New Zealand, foreign agents have played a much more even role alongside domestic counterparts.
- Data from the IMF's "Sovereign Debt Investor Base for Advanced Economies" indicates that the proportion of UK general government debt held by the BOE fell 16pp between Q1 2022 and Q2 2025. During this timeframe, the proportion of debt held by domestic banks increased by 3pp, and nonbanks by 10pp.
- Within the nonbank sector, there is also likely a redistribution amongst agents. Two well known dynamics in the UK bond markets are reduced structural long-end Gilt demand from defined benefit pension funds and an increased footprint of hedge funds (e.g. https://www.reuters.com/markets/wealth/hedge-fund-dominance-latest-risk-febrile-uk-debt-markets-2025-03-21/ )
- Meanwhile, increases in foreign exposure to UK debt may have been permanently impacted by the fallout of the 2022 mini-budget/LDI crisis.
- In the US, the 8pp fall in the Fed’s footprint since 2022 has largely been accounted for by an increase in nonbank exposure.
- New Zealand stands out in the DM complex. The notable 28pp reduction in exposure since the start of 2022 has been fairly evenly absorbed by domestic (12pp) and foreign (10pp) nonbanks.
US TSY OPTIONS: December Tsy Option Expiration Roundup: Eye on 10Y Pin Risk
Reminder, Dec'25 Treasury options expire Friday, the latest open interest as of Monday's close outlined below. Options that are 0.5 tic in-the-money (0.25 tic for 5- & 2Y option) are auto-exercised. Underlying futures are firmer this morning, projected rate cuts gain slightly with first 25bp cut fully priced in for March meeting.
| Expiry | Total Calls | Total Puts | Total | Nearest ATM Strike (Total C/P) |
| Dec 30Y | 227,110 | 380,311 | 607,421 | 116.5 (1,867C, 6,761P; 8,628 total) |
| USZ5 117-00 | 117 (15,523C, 21,117P; 36,640 total) | |||
| 117.5 (6,257C, 4,237P; 10,494 total) | ||||
| Dec 10Y | 1,685,316 | 1,052,479 | 2,737,795 | 112.75 (42,163C, 49,954P; 92,117 total) |
| TYZ5 112-29.5 | 113.0 (232,956C, 92,796P; 325,752 total) | |||
| 113.25 (33,589C, 9,013P; 42,602 total) | ||||
| Dec 5Y | 394,283 | 277,512 | 671,795 | 109.0 (24,386C, 40,310P; 64,696 total) |
| FVZ5 109-11.75 | 109.25 (24,850C, 35,156P; 60,006 total) | |||
| 109.5 (46,118C, 20,588P; 66,706 total) | ||||
| Dec 2Y | 227,307 | 260,388 | 247,695 | 104 (8,488C, 38,220P; 46,708 total) |
| TUZ5 104-05.5 | 104.12 (10,056C, 24,364P; 34,420 total) | |||
| 104.25 (33,431C, 27,248P; 60,679 total) |
EQUITIES: US Cash Opening Calls
US Cash Opening calls, NDX should be close but above Yesterday's low.
- Fair value opens: SPX: 6,643.0 (-0.4%); DJIA: 46,199 (-0.8%/-391pts); NDX: 24,659.2 (-0.6%).
