US 10YR FUTURE TECHS: (M5) Resistance Remains Intact
- RES 4: 113-04 76.4% retracement of the Apr 7 - 11 bear leg
- RES 3: 112-12 61.8% retracement of the Apr 7 - 11 bear leg
- RES 2: 111-25 50.0% retracement of the Apr 7 - 11 bear leg
- RES 1: 111-18+ High Apr 23
- PRICE: 110-28 @ 11:08 BST Apr 24
- SUP 1: 110-15/109-08 Low Apr 15 / 11 and the bear trigger
- SUP 2: 108-26+ 76.4% retracement of the Jan 13 - Apr 7 bull cycle
- SUP 3: 108-21 Low Feb 19
- SUP 4: 108-03+ Low Dec 12 ‘24 and a key support
Treasury futures traded higher Wednesday, rallying to touch 111-18+ before reversing. This reinforces recent gains as corrective. The next resistance to watch remains 111-25, 50.0% of the Apr 7 - 11 bear leg sell-off. Clearance of this level would undermine the bearish theme. The trend condition is bearish, a resumption of weakness would refocus attention on 109-08, the Apr 11 low and the bear trigger.
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US TSY FUTURES: Net Short Setting Most Prominent On Monday
OI data points to net short setting in most contracts during Monday’s downtick in futures, with the broader theme only interrupted by modest net long cover in TY futures.
- The largest net DV01 equivalent positioning swing came via short setting in US futures.
| 24-Mar-25 | 21-Mar-25 | Daily OI Change | OI DV01 Equivalent Change ($) |
TU | 3,848,401 | 3,835,758 | +12,643 | +489,547 |
FV | 6,332,681 | 6,307,088 | +25,593 | +1,112,040 |
TY | 4,879,218 | 4,888,778 | -9,560 | -620,011 |
UXY | 2,291,113 | 2,281,383 | +9,730 | +861,943 |
US | 1,809,868 | 1,800,598 | +9,270 | +1,198,301 |
WN | 1,780,391 | 1,775,225 | +5,166 | +992,103 |
|
| Total | +52,842 | +4,033,923 |
AUSTRIA T-BILL AUCTION RESULTS: 4-Month RATB / 6-Month Green RATB
| Type | 4-month ATB | 6-month Green ATB |
| Maturity | Jul 24, 2025 | Sep 25, 2025 |
| Allotted | E803mln | E704mln |
| Previous | E822mln | E1.696bln |
| Amount | E1bln | E750mln |
| Target | E1bln | E0.75bln |
| Previous | E1bln | E2bln |
| Avg yield | 2.250% | 2.170% |
| Previous | 2.410% | 2.310% |
| Bid-to-cover | 1.78x | 2.18x |
| Previous | 2.76x | 1.9x |
| Bid-to-offer | 1.43x | 2.05x |
| Previous | 2.27x | 1.61x |
| Previous date | Jan 28, 2025 | Feb 25, 2025 |
GILT AUCTION RESULTS: Reasonably Soft 20-year Gilt Auction
The 0.5bp tail at today’s 4.75% Oct-43 Gilt auction was the widest of the eight re-openings for this line (previous range 0.1-0.4bps). Meanwhile, this was the first auction for this line that saw a bid-to-cover of below 3.00x (2.97x at today’s auction, average across the seven prior re-openings: 3.42x).
The secondary market price of the Gilt has fallen to 94.212 since the auction results were published (vs a lowest accepted price of 94.263 and a pre-auction mid-price of 94.230).
