US TSY FUTURES: Long Cover In TY & US Futures Dominated After CPI
Feb-13 11:14
OI data points to a mix of net short setting and long cover during yesterday’s CPI-driven sell off.
- Net long cover in TY & US futures provided the most notable DV01 equivalent adjustments, tilting the curve-wide net positioning bias in that direction.
| 12-Feb-25 | 11-Feb-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,084,671 | 4,109,783 | -25,112 | -921,359 |
FV | 6,364,256 | 6,364,442 | -186 | -7,624 |
TY | 4,822,057 | 4,872,897 | -50,840 | -3,225,798 |
UXY | 2,267,182 | 2,257,748 | +9,434 | +818,022 |
US | 1,998,428 | 2,014,515 | -16,087 | -2,002,027 |
WN | 1,794,959 | 1,794,634 | +325 | +60,980 |
|
| Total | -82,466 | -5,277,807 |
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US TSY FUTURES: CFTC Shows H Funds & A Managers Cutting Exposure To Start ‘25
Jan-14 11:12
The latest CFTC CoT report showed hedge funds and asset managers lightening their overall net exposure in the week to January 7.
- Levered funds trimmed net shorts across the curve, unwinding over $16.5mn of DV01 equivalent exposure. They remain net short in all contracts.
- Asset managers trimmed their net long position. The exception to the broader theme came via FY and TY futures, where they added to existing longs. They remain net long in all contracts.
- Meanwhile, non-commercial participants added to (TY & WN) and trimmed net short exposure (TU, FV, UXY & US) at different points on the curve.
Source: MNI - Market News/CFTC/Bloomberg
OUTLOOK: Price Signal Summary - USDJPY Trend Needle Points North
Jan-14 11:10
- In FX, the trend condition in EURUSD remains bearish and recent short-term gains have proved to be a correction. Friday’s move lower resulted in a print below 1.0226, the Jan 2 low. The break of 1.0226 confirms a resumption of the downtrend. Sights are on 1.0138 next, a 1.764 projection of the Sep 25 - Oct 23 - Nov 5 price swing. Resistance to watch is 1.0458, Dec 30 high. Resistance at the 20-day EMA, is at 1.0361.
- The trend condition in GBPUSD remains bearish and the pair traded to a fresh trend low on Monday. Last week’s move down confirmed a resumption of the downtrend. Note too that moving average studies are in a bear-mode position highlighting a dominant bear trend. Sights are on 1.2087 next, a 0.764 projection of the Sep 26 - Nov 22 - Dec 6 price swing. Initial firm resistance is at 1.2367, the Jan 9 high.
- The trend condition in USDJPY is unchanged, it remains bullish and the pair is holding on to the bulk of its recent gains. Last week’s fresh cycle high, reinforces the bullish theme. The recent breach of 156.75, the Nov 15 high, confirmed a resumption of the uptrend and opens 159.45, the Jul 12 high. Initial firm support is 156.78, the 20-day EMA.
EQUITIES: Estoxx put ladder
Jan-14 11:02
SX5E (21st Mar) 4500/4200/4100 broken p ladder, bought for 1.6 in 6k.
