SOFR: Long Setting Most Dominant In Futures On Tuesday
OI data points to a mix of net long setting and short cover through most SOFR futures on Tuesday, with the former dominating in pack terms through the reds.
- The only exception to the wider theme came via modest net short setting in SFRM5.
| 24-Jun-25 | 23-Jun-25 | Daily OI Change |
| Daily OI Change In Packs |
SFRM5 | 1,297,037 | 1,293,133 | +3,904 | Whites | +12,281 |
SFRU5 | 1,138,586 | 1,146,262 | -7,676 | Reds | +39,217 |
SFRZ5 | 1,266,894 | 1,274,706 | -7,812 | Greens | +4,238 |
SFRH6 | 1,007,592 | 983,727 | +23,865 | Blues | +9,372 |
SFRM6 | 857,715 | 842,788 | +14,927 |
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SFRU6 | 811,812 | 805,505 | +6,307 |
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SFRZ6 | 927,790 | 917,288 | +10,502 |
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SFRH7 | 696,763 | 689,282 | +7,481 |
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SFRM7 | 632,989 | 633,197 | -208 |
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SFRU7 | 448,421 | 443,572 | +4,849 |
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SFRZ7 | 409,593 | 411,025 | -1,432 |
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SFRH8 | 298,532 | 297,503 | +1,029 |
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SFRM8 | 230,861 | 230,638 | +223 |
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SFRU8 | 197,792 | 193,828 | +3,964 |
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SFRZ8 | 176,490 | 172,310 | +4,180 |
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SFRH9 | 140,844 | 139,839 | +1,005 |
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EGBS: EU-US Tariff Delay Weighs On Bunds, But Activity Muted By Public Holidays
Bund futures are -26 ticks at 130.39, with volumes unsurprisingly depressed given today’s UK and US public holidays.
- Yesterday evening, US President Trump and EC President von der Leyen agreed to delay the imposition of 50% US tariffs on the EU to July 9 (from June 1 previously). This saw Bunds gap as low as 130.15 at the overnight open. Focus now turns back to negotiations between the two parties.
- Some decent sized block trades in Bobl futures have been noted this morning.
- The German curve has bear flattened with Schatz yields up 3.5bps and 30-year Bund yields up 1bp, as the tariff delay tempers ECB rate cut expectations a little.
- 10-year EGB spreads to Bunds are biased tighter. BTPs find additional light support from Moody’s outlook upgrade on Friday after hours.
- No regional data of note today, with focus on the start of the Eurozone May flash inflation round later this week (France tomorrow; Spain , German and Italy on Friday).
- ECB’s Simkus reiterated that there is space for another rate cut in June. Lagarde and Nagel are scheduled to speak this afternoon.
- This week’s EGB supply kicks off tomorrow with Italy (BTP Short Term/BTPei auction and the launch of the new 7-year BTP Italia) and the Netherlands. A reminder that the upcoming week sees large redemptions (E56.4bln) and coupon payments (E15.1bln), mostly from France.
OUTLOOK: Price Signal Summary - EUROSTOXX50 Bull Cycle Intact
- In the equity space, a bullish trend condition in S&P E-Minis remains intact and the latest pullback is considered corrective. Last Friday’s sell-off resulted in a print below the 20-day EMA, at 5779.53. A key support lies at 5719.58, the 50-day EMA. A clear break of this average is required to highlight a stronger reversal and signal scope for a deeper retracement. Sights are on the bull trigger at 5993.50, the May 20 high.
- A bullish theme in EUROSTOXX 50 futures remains intact and the recent pullback appears corrective. Moving average studies are in a bull-mode position, highlighting a clear uptrend and recent gains maintain the sequence of higher highs and higher lows. Sights are on 5516.00, the Mar 3 high and the key bull trigger. Key support to watch lies at 5223.87, the 50-day EMA. Clearance of this average would signal a possible reversal.
FOREX: USD Off Worst Levels, But Still Weaker Vs. Most G10 FX
The USD holds lower vs. most of its G10 peers, with U.S. President Trump’s delay to 50% tariffs on the EU (deadline kicked back to July 9) weighing on the greenback. Only the safe haven JPY & CHF are lower vs. the USD on the day.
- The USD continues to suffer from policy uncertainty, which, when coupled with stagflationary survey data and a gradually slowing labour market, is eroding some of the U.S. economic exceptionalism that the USD has benefitted from.
- This has outweighed any hight for longer pricing surrounding the Fed in recent weeks, with comments from Minneapolis Fed President Kashkari underscoring the need for the central bank to remain on hold for “a while2 over the weekend.
- EUR/USD extended the recent bullish move, trading as high as 1.1419 before fading back to 1.1380. Next resistance of note seen at the 76.4% retracement of the Apr 21 - May 12 bear leg (1.1453).
- GBP/USD tops out at 1.3593 before a pullback to 1.3560. The 1.382 projection of the Feb 28 - Apr 3 - 7 price swing (1.3605) presents the next upside area of note.
- USD/JPY has recovered from the lowest levels registered in May (142.23 printed in Tokyo trade), with the wider risk reaction to the delay of the tariffs on the EU providing some counter. Spot last deals at 142.96, with bears remaining in technical control. A move through today’s lows would expose the 76.4% retracement of the Apr 22 - May 12 bull leg (141.96). Bulls need to retake the 20-day EMA (144.66) to start turning the tide in their favour.
- Risk proxy FX (AUD, NZD, NOK & SEK) outperform on the U.S.-EU tariff relief.
- Comments from ECB’s Lagarde & Nagel are due today but will focus on a mix of trade and a fragmented world, so may not shed too much light on direct monetary policy matters.
- There isn’t much on the G20 data calendar today.
- Holidays in the UK & U.S. will thin out wider market liquidity.
