US 10YR FUTURE TECHS: (H6) Bear Cycle Extends
- RES 4: 113-29+ High Oct 17 and a key resistance
- RES 3: 113-23 High Oct 23
- RES 2: 113-07/22+ High Dec 3 / High Nov 25
- RES 1: 112-10+/112-25+ Low Nov 20 / 20-day EMA
- PRICE: 111-30 @ 11:09 GMT Dec 10
- SUP 1: 111-29+ Intraday low
- SUP 2: 111-19 1.236 proj of the Oct 17 - Nov 5 - 25 price swing
- SUP 3: 111-11 1.382 proj of the Oct 17 - Nov 5 - 25 price swing
- SUP 4: 111-00 Round number support
A bearish theme in Treasuries remains intact and this week’s move down reinforces current conditions. An important short-term support at 112-07, the Nov 5 low and a bear trigger, has been cleared. The breach strengthens a bear theme and signals scope for a move towards 111-19 next a Fibonacci projection. Initial key resistance is seen at 112-25+, the 20-day EMA. A break of this average would signal a possible reversal.
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OPTIONS: Expiries for Nov10 NY cut 1000ET (Source DTCC)
- EUR/USD: $1.1475(E1.9bln), $1.1500(E1.1bln), $1.1550(E723mln), $1.1600(E784mln), $1.1750(E1.1bln), $1.1770(E1.2bln)
- GBP/USD: $1.3100(Gbp712mln)
- EUR/GBP: Gbp0.8825(E609mln)
- AUD/USD: $0.6610-20(A$1.3bln)
- USD/CNY: Cny7.1000($651mln)
EGBS: SPGBs Twist Flatten, J.P.Morgan Recommend 30s50s Flattener
The SPGB curve has twist flattened on the day, with the long end outperforming on cross-market demand stemming from the rally in equities. Note that demand has pulled broader yields off early session highs.
- Spain’s positive fiscal narrative and related sovereign credit rating trajectory continue to provide background support for Spanish paper.
- J.P.Morgan deem the SPGB 30-/50-Year curve to be “excessively steep” and recommended entering a flattener late on Friday, also flagging convexity benefits of the trade.
- They believe that a large part of the steepening move is in “anticipation of large-scale selling of long-end EGBs by Dutch pension funds as part of the pension reform transition”.
- They do not expect the Dutch pension fund transition process to trigger meaningful bond selling from the cohort (albeit set to reduce demand going forwards) and view that matter as far more important for the swap curve.
- J.P.Morgan also believe that “30-Year+ issuance pressure is set to stay muted going forward”. Elsewhere, they suggest that “although still in early phases, the Solvency II reform once adopted over coming years will also potentially lead to higher demand for longer duration bond securities”.
US TSY FUTURES: Exposure Rose On Friday
OI data points to a mix of net long setting (TU & FV), short cover (TY), long cover (US) and short setting (WN) as the curve twist steepened on Friday. Additions to curve-wide net exposure comfortably outweighed more limited instances of cover.
| 07-Nov-25 | 06-Nov-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,670,919 | 4,663,989 | +6,930 | +259,724 |
FV | 6,880,202 | 6,852,719 | +27,483 | +1,177,056 |
TY | 5,436,482 | 5,447,959 | -11,477 | -765,922 |
UXY | 2,494,108 | 2,479,221 | +14,887 | +1,333,333 |
US | 1,853,409 | 1,854,908 | -1,499 | -189,983 |
WN | 2,161,227 | 2,154,048 | +7,179 | +1,332,946 |
|
| Total | +43,503 | +3,147,153 |
