US TSY FUTURES: Early December'25-March'26 Roll Update
Nov-21 11:48
December'25 to March'26 Tsy quarterly futures roll volumes outlined below. Expect another surge in volume with percentage complete running 25%-34% ahead next week's "First Notice" date of Friday, November 28. Current roll details:
- TUZ5/TUH6 appr 94,500 from -6.5 to -6.25, -6.25 last; 33% complete
- FVZ5/FVH6 appr 95,500 from -3.0 to -2.5, -3 last; 34% complete
- TYZ5/TYH6 appr 92,400 from 1.5 to 2.0, 1.75 last; 33% complete
- UXYZ5/UXYH6 18,500 from 4.75 to 5.0, 4.75 last; 26% complete
- USZ5/USH6 21,500 from 12.5 to 13.0, 12.5 last; 29% complete
- WNZ5/WNH6 appr 39,900 from 9.75 to 10.25, 10.0 last; 32% complete
- Reminder, Dec'25 futures don't expire until next month: 10s, 30s and Ultras on December 19, 2s and 5s on December 31. Meanwhile, Dec'25 Tsy options will expire this Friday, November 21.
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OUTLOOK: Price Signal Summary - Bull Cycle In Gilts Extends
Oct-22 11:29
- In the FI space, short-term resistance in Bund futures remains intact for now. The trend outlook is bullish following recent strong impulsive gains and sights are on the next key resistance at 130.80, the Jun 13 high. Clearance of this level would strengthen the bullish condition. Note that the contract is overbought, a deeper pullback would allow this condition to unwind. Initial key support is 129.30, the 20-day EMA.
- A bull cycle in Gilt futures remains intact and today’s gap higher strengthens the bullish condition. The contract is through its recent high of 93.17, the Oct 17 high. This confirms a resumption of the uptrend and signals scope for an extension towards 93.95 next, a 1.500 projection of the Sep 3 - 11 - 26 price swing. Note that the contract is overbought, a pullback would allow this condition to unwind. A key support to watch lies at 91.65, the 20-day EMA. Initial support lies at 93.17, the Oct 17 high.
CHINA-EU: EU Preparing Responses To Rare Earth Restrictions: BBG
Oct-22 11:25
Bloomberg reporting on potential EU responses to China's rare earth restrictions:
- "The European Union is working on trade options to counter China’s planned export controls on critical raw materials should the bloc fail to reach a diplomatic solution with Beijing."
- "The European Commission is preparing a list of trade measures by the end of the month that can later be deployed against China to boost its negotiating leverage, according to people familiar with the matter. The commission is also developing a plan to protect critical supplies in the short-term and secure other sources. "
- "The issue will likely be addressed at an EU leaders’ summit in Brussels this week, though the commission wants to avoid a discussion on specific measures, said the people, who spoke on the condition of anonymity. They declined to say what trade options the EU could consider, citing the sensitive nature of the matter."
OPTIONS: Larger FX Option Pipeline
Oct-22 11:17
- EUR/USD: Oct23 $1.1515-25(E1.1bln), $1.1555-65(E1.3bln), $1.1575(E1.2bln), $1.1650(E1.1bln), $1.1670-80(E1.0bln), $1.1750-70(E2.8bln); Oct24 $1.1500-20(E1.2bln), $1.1635-50(E1.1bln); Oct27 $1.1520-35(E1.2bln), $1.1670-80(E1.1bln), $1.1700-10(E1.1bln)
- USD/JPY: Oct24 Y150.00($2.0bln), Y151.00-20($1.4bln)
- AUD/USD: Oct23 $0.6585-00(A$1.1bln); Oct24 $0.6450(A$1.6bln); Oct27 $0.6490(A$1.8bln)
