EUR: FX Exchange traded Option
EURUSD (8th Nov) 1.1100c, bought 0.0040 in 1.56k.
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US TSY FUTURES: Long Setting Dominated Across Most Of Curve During Tuesday Rally
OI data points to long setting across most of the curve during yesterday’s rally, with only short cover in FV and WN futures interrupting that theme.
- This came as the latest pull lower in crude oil markets weighed on break evens and drove conventional Tsys higher, while firm pricing metrics at the latest round of 3-Year supply provided further tailwinds.
| 10-Sep-24 | 09-Sep-24 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,339,267 | 4,310,811 | +28,456 | +1,133,913 |
FV | 6,356,393 | 6,356,550 | -157 | -7,040 |
TY | 4,775,203 | 4,729,408 | +45,795 | +3,116,524 |
UXY | 2,105,853 | 2,093,642 | +12,211 | +1,158,458 |
US | 1,725,680 | 1,711,998 | +13,682 | +1,950,237 |
WN | 1,689,810 | 1,701,402 | -11,592 | -2,650,029 |
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| Total | +88,395 | +4,702,063 |
EGBS: Firmer Alongside Core FI, Markets Eye US CPI
Bund futures followed USTs higher overnight and currently trade just short of intraday highs, +35 ticks at 135.12. This week’s rally has exposed key resistance and the bull trigger at 135.66, the August 5 high.
- Vice President Harris was deemed the winner of last night’s presidential debate, prompting an unwind of “Trump trades” centred around reflation and fiscal easing.
- Today’s regional calendar has otherwise been light, with primary macro focus on the US CPI report at 1330BST/1430CET.
- Today’s 10-year Bund supply was digested smoothly, but pre-auction hedging pressure may have contributed to the intraday tightening in broader EGB spreads (alongside a move off overnight lows in European equities).
- A reminder that the ECB are unanimously expected to cut rates by 25bps at tomorrow’s meeting.
BONDS: A very active session in Bonds ahead of the CPI.
- French OAT has found resistance at the initial mentioned Yield level of 2.820%, was the 12th April low and equated to 127.96 today.
- The contract has printed a 127.99 high and a 2.815% low in Yield.
- The next downside target in the French Yield is at 2.773% = 128.42 (61.8% retrace of Dec/Jul range).
- Regardless of the US CPI day, EGBs and Gilt are seeing very good elevated volumes in early trades, clearly all type of Accounts are involved with counterparties finding themselves.
