US TSY FUTURES: Long Setting Dominated On Thursday
Jan-17 11:17
OI data suggests that net long setting dominated in curve-wide DV01 terms on Thursday, with meaningful net long setting seen in FV, TY & UXY futures. Over $10mn of net DV01 equivalent was added across the curve.
- Non-negligible net short cover in TU and US futures lessened the net curve-wide DV01 impact a little.
| 16-Jan-25 | 15-Jan-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 4,209,549 | 4,266,889 | -57,340 | -2,132,256 |
FV | 6,177,474 | 6,117,176 | +60,298 | +2,513,569 |
TY | 4,877,556 | 4,733,981 | +143,575 | +9,207,904 |
UXY | 2,256,845 | 2,234,423 | +22,422 | +1,956,138 |
US | 1,906,833 | 1,916,736 | -9,903 | -1,228,812 |
WN | 1,796,507 | 1,796,301 | +206 | +38,542 |
|
| Total | +159,258 | +10,355,085 |
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LOOK AHEAD: FOMC Decision
Dec-18 11:06
US Data/Speaker Calendar (prior, estimate). All times ET
- Dec-18 0700 MBA mortgage applications (5.4%, --)
- Dec-18 0830 Housing starts Nov (1311k, 1345k)
- Dec-18 0830 Building permits Nov (1430k, 1419k)
- Dec-18 0830 Current account Q3 (-$266.8bn, -$287.1bn)
- Dec-17 1130 US Tsy to sell $64bn 17-week bills
- Dec-18 1400 FOMC decision/SEP
- Dec-18 1430 Fed Chair Powell press conference
BONDS: US and German 10yr Yields
Dec-18 11:04
- Continued tight early ranges for Bund and Tnotes, with way below average volumes, contracts trade in a holding pattern ahead of the Awaited Fed, but have seen better early selling interest, albeit well within Yesterday's ranges.
- Bund Tech and Yield level is still squarely at the 134.41 gap, and today that 2.263% level comes at 134.40.
- US TYH5 sees support back at the 109.20 despite breaking through and printing a 109.17 low Yesterday.
- Below that printed low, small support comes at 109.12, but the street is clearly mostly focussed on the the initial 4.50% level.
- This level has moved up to 109.04+ vs 109.03 earlier, and the TYH5 low of 109.02+ isn't as important since TYZ4 was the active Month when the Yield tested 4.50% (108.30 low in TYZ4).
MNI: UK DEC CBI INDUSTRIAL TRENDS TOTAL ORDERS -40
Dec-18 11:00
- MNI: UK DEC CBI INDUSTRIAL TRENDS TOTAL ORDERS -40
- UK CBI DEC PRICE INTENTIONS 23
