US TSY FUTURES: Late September'25-December'25 Roll Update - Massive Volume
Massive Tsy quarterly futures roll volumes from September'25 to December'25 today. The percentage complete has jumped to about a third of outstanding Sep'25 open interest. Direction appears better selling in 2s-10s vs. buying 30Y & 30Y Ultra spds in the afternoon. "First Notice" date next week Friday, August 29. Current roll details:
- TUU5/TUZ5 appr 1,140,600 from -8.88 to -8.12, -8.88 last; 40% complete
- FVU5/FVZ5 appr 1,798,200 from -5.25 to -4.5, -5.25 last; 39% complete
- TYU5/TYZ5 appr 1,468,400 from -1.25 to -0.5, -1.25 last; 37% complete
- UXYU5/UXYZ5 app 702,500 from -0.5 to +0.5, -0.25 last; 34% complete
- USU5/USZ5 appr 326,400 from 12.5 to 13.0, 12.5 last; 34% complete
- WNU5/WNZ5 appr 767,700 from 7.75 to 8.25, 7.5 last; 34% complete
- Reminder, Sep futures don't expire until next month: 10s, 30s and Ultras on September 22, 2s and 5s on September 30. Meanwhile, Sep'25 Tsy options will expire this Friday, August 22.
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TARIFFS: Navarro: Take EU-US Trade Deal Reports With "Grain Of Salt"
A brief risk-off move on a comment by White House adviser Peter Navarro on Bloomberg TV referring to earlier reports of a EU-US trade deal nearing completion that would include a 15% baseline tariff - Navarro says:
- "We don't negotiate in public. These other countries aspirationally negotiate in public to try to get us to where they want us to go. I would say even though it was reported on Bloomberg, I would take it with a grain of salt. Never assume anything is fixed until the boss says it is fixed... Let's see what happens."
- Navarro's comments weren't quite as concrete as initially feared from the headlines ("*NAVARRO ON US-EU DEAL REPORT: TAKE IT WITH A GRAIN OF SALT" -bbg) so the risk-off move (worth about 10 points in the S&P) quickly reversed.
- Immediate focus is on a reported EU member state vote on tariff countermeasures Thursday in case a deal can't be reached with the US by Aug 1.
EURGBP TECHS: Trend Needle Points North
- RES 4: 0.8800 Round number resistance
- RES 3: 0.8781 2.236 pro of the Mar 3 - 11 - 28 price swing
- RES 2: 0.8738 High Apr 11 high and a key resistance
- RES 1: 0.8698 High Jul 16
- PRICE: 0.8653 @ 16:07 BST Jul 23
- SUP 1: 0.8626 20- day EMA
- SUP 2: 0.8597 Low Jul 7
- SUP 3: 0.8561 50-day EMA
- SUP 4: 0.8508 Low Jun 27
The trend condition in EURGBP remains bullish and the cross continues to trade closer to its recent highs. A bullish price sequence of higher highs and higher lows is intact and note too that moving average studies are in a bull-mode position, highlighting a dominant uptrend. A resumption of gains would open key resistance at 0.8738, the Apr 11 high. Support to watch is 0.8626, the 20-day EMA.
US: FED Reverse Repo Operation
RRP usage slips to $189.632B this afternoon from $196.374B yesterday, total number of counterparties at 30. Usage had fallen to $54.772B on Wednesday, April 16 -- lowest level since April 2021 - compares to July 1: $460.731B highest usage since December 31.
