US 10YR FUTURE TECHS: (M6) Monitoring Same Resistance
Apr-16 11:26
- RES 4: 112-16 61.8% retracement of the Mar 2 - 27 bear leg
- RES 3: 112-07 High Mar 18
- RES 2: 111-31 50.0% retracement of the Mar 2 - 27 bear leg
- RES 1: 111-18+/21 50-day EMA / High Apr 15
- PRICE: 111-16 @ 17:07 BST Apr 16
- SUP 1: 111-05+ Low Apr 14
- SUP 2: 110-16/109-24 Low Apr 2 / Low Mar 27 and the bear trigger
- SUP 3: 109-22+ 1.764 proj of the Mar 10 - 13 - 18 price swing
- SUP 4: 109-12 2.000 proj of the Mar 10 - 13 - 18 price swing
The latest recovery in Treasuries still appears corrective. Trend signals remain bearish, highlighted by moving average studies that are in a bear-mode position. Support to watch is 110-16, the Apr 2 low. A break would be bearish. The next important resistance is 111-18+, the 50-day EMA. Clearance of this average is required to signal scope for a stronger recovery that would open 111-31, a Fibonacci retracement.
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SONIA OPTIONS: Call Fly buyer
Mar-17 11:18
SFIM6 96.35/96.45/96.55c fly, bought for 1.25 in 7k.
FINLAND AUCTION RESULTS: 0.125% Sep-31 / 3.00% Sep-34 RFGBs
Mar-17 11:07
| 0.125% Sep-31 RFGB | 3.00% Sep-34 RFGB | |
| ISIN | FI4000507231 | FI4000571104 |
| Amount | E867mln | E600mln |
| Previous | E680mln | E192mln |
| Avg yield | 2.840% | 3.104% |
| Previous | 2.600% | 2.924% |
| Bid-to-cover | 1.73x | 2.00x |
| Previous | 1.57x | 2.04x |
| Avg Price | 86.370 | 99.220 |
| Pre-auction mid | 86.307 | 99.064 |
| Prev avg price | 85.550 | 100.577 |
| Prev mid-price | 85.419 | 100.560 |
| Previous date | 15-Apr-25 | 26-Nov-25 |
Source: Bloomberg Finance L.P.
CROSS ASSET: UBS’ Work Points To Meaningful CTA Deleveraging On Iran
Mar-17 11:01
UBS’s latest update points to a relatively large reduction in CTA exposure across assets in the time since the escalation in the Middle East:
- “CTAs have cut 75% of their global equity exposure since the start of the Middle East conflict, leaving them close to neutral on the asset class. They have room to sell more, and their reaction function does remain skewed to the downside, but our forecasting framework would suggest that the pace of selling is likely to decelerate from here, especially in U.S. large caps. It even foresees a little bit of CTAs buying in Chinese indices”.
- “In bonds, it has been the worst-case scenario for CTAs. After aggressively buying duration in February, they spent the first half of March reselling 80% of what they just bought. More pain appears to be in order, with potentially another $100mln to $140mln of global DV01 selling if yields fail to stabilize here”.
- “In credit, it is time to be dynamic as CTAs are selling fast and big. With expected flows ranging between -20% and -90% of ADV, CTAs' market impact is likely to be felt”.
- “In FX, CTAs are rushing to cover their USD shorts. Since our last update, they bought back $150/175bln of the greenback, and we expect them to buy another $70/80bln in the coming two weeks. Until the geopolitical tensions seriously ease, negative beta & positive carry assets like the USD will likely remain popular among investors”.
- “Lastly, in commodities, CTAs are starting to delever their positions due to elevated and still rising volatilities. Agriculturals, where the current signalling is a bit weaker vs. other cohorts, is where CTAs have room to buy”.
