US TSY FUTURES: Long Setting At The Fore Again On Thursday
Jun-27 10:13
OI data points to meaningful net long setting in curve-wide terms during Thursday’s rally, with the only exception to that theme coming via modest net short cover in US futures.
- TY futures accounted for ~$5.4mn DV01 of the ~$13.4mn DV01 in fresh net longs added across the curve on the day.
- 3/4 sessions of the week have seen relatively meaningful net long setting.
| 26-Jun-25 | 25-Jun-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,253,603 | 4,184,107 | +69,496 | +2,690,467 |
FV | 7,121,394 | 7,081,149 | +40,245 | +1,756,149 |
TY | 5,019,882 | 4,939,441 | +80,441 | +5,368,787 |
UXY | 2,404,819 | 2,378,961 | +25,858 | +2,279,631 |
US | 1,760,130 | 1,760,976 | -846 | -106,900 |
WN | 1,887,275 | 1,879,641 | +7,634 | +1,392,661 |
|
| Total | +222,828 | +13,380,794 |
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LOOK AHEAD: 5Y Supply and FOMC Minutes
May-28 10:12
US Data/Speaker Calendar (prior, estimate). All times ET
- 28-May 0700 MBA mortgage applications
- 28-May 1000 Richmond Fed mfg (-13, -9)
- 28-May 1030 Dallas Fed services (-19.4, --)
- 28-May 1130 US to sell $60bn 17W bills
- 28-May 1130 US to sell $28bn 2Y FRN re-open
- 28-May 1300 US to sell $70bn 5Y notes (91282CNG2)
- 28-May 1400 FOMC Meeting Minutes
FOREX: FX OPTION EXPIRY
May-28 10:11
Of note:
EURUSD 1.41bn at 1.1300 and 1.27bn at 1.1400.
USDJPY 2.1bn at 143.90/144.00 (could act as magnet).
- EURUSD: 1.1300 (1.41bn), 1.1345 (310mln), 1.1350 (232mln), 1.1400 (1.27bn).
- USDJPY: 143.90 (415mln), 144.00 (1.67bn), 145.00 (2.24bn).
- USDCAD: 1.3830 (380mln).
- USDNOK: 10.1900 (205mln).
OPTIONS: Larger FX Option Pipeline
May-28 09:58
- EUR/USD: Jun02 $1.1250(E1.1bln), $1.1300-05(E1.8bln), $1.1345-50(E1.4bln)
- USD/JPY: May29 Y144.80-00($1.6bln); May30 Y143.00($3.3bln)
- USD/CAD: May29 C$1.4355-75($1.5bln); May30 C$1.4500($1.3bln)
